Price Drift as an Outcome of Differences in Higher-Order Beliefs
受凯恩斯关于高阶信念重要性的启发，研究其在资产价格漂移中的作用，发现动态环境中信念的高阶差异是产生漂移的必要条件，而标准异质信念模型因假设共同知识而无法产生漂移。
Motivated by the insight of Keynes (1936) on the importance of higher-order beliefs in financial markets, we examine the role of such beliefs in generating drift in asset prices. We show that in a dynamic setting, a higher-order difference of opinions is necessary for heterogeneous beliefs to generate price drift. Such drift does not arise in standard difference of opinion models, since investors ’ beliefs are assumed to be common knowledge. Our results stand in contrast to those of Allen, Morris, and Shin (2006) and others, as we argue that in rational expectation equilibria, heterogeneous beliefs do not lead to price drift. 1.