Speculation and Financial Wealth Distribution Under Belief Heterogeneity
研究了在有限承诺和抵押约束导致市场不完全的情况下，过度乐观的投机者如何通过投机生存并繁荣，以及保证金要求如何影响财富分配和资产价格波动。
Under limited commitment that prevents agents from pledging their future non‐financial wealth, agents with incorrect beliefs always survive by holding on to their non‐financial wealth. Friedman's (1953) market selection hypothesis suggests that their financial wealth trends towards zero in the long run. However, I present a dynamic general equilibrium model with incomplete markets due to collateral constraints and show that the hypothesis depends on the degree of market incompleteness. When markets are more incomplete, over‐optimistic agents not only survive but also prosper by speculation. Stricter margin requirements protect the wealth of the optimists and thereby increase asset price volatility.