Higher Order Expectations in Asset Pricing
研究凯恩斯提出的高阶信念如何导致资产价格偏离基于未来收益预期的基本面价值，分析其决定因素及对均衡价格的影响，发现高阶楔子降低价格波动并使价格与未来收益现值脱节。
We examine formally Keynes' idea that higher order beliefs can drive a wedge between an asset price and its fundamental value based on expected future payoffs. We call this the higher order wedge, which depends on the difference between higher and first order expectations of future payoffs. We analyze the determinants of this wedge and its impact on the equilibrium price in the context of a dynamic noisy rational expectations model. We show that the wedge reduces asset price volatility and disconnects the price from the present value of future payoffs. The impact of the higher order wedge on the equilibrium price can be quantitatively large.