How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices
通过现值模型模拟，说明投资者学习过程中的估计不确定性会加剧股价波动，并导致超额收益可预测，为金融文献中的两大异常现象提供解释。
Two of the most discussed anomalies in the financial literature are the predictability of excess returns and the excess volatility of stock prices. Learning effects on stock price dynamics are an intuitive candidate to explain these empirical findings: estimation uncertainty may increase volatility of stock prices and an estimate of the dividend growth rate that is, say, lower than the "true" value tends to increase the dividend yield and capital gain. Simulations of learning effects in a present value model confirm that learning may help to explain excess volatility and predictability of stock returns.