Communication, Excess Comovement and Factor Structures
构建了一个投资者在社交网络中沟通后交易的一般均衡模型，解释了资产回报为何比基本面表现出更强的联动性和更集中的因子结构，并提供了与实证一致的预测。
Abstract This paper develops a model in which investors communicate before trading in a general equilibrium. Investors repeatedly communicate in a social network but have limited knowledge of the network structure and thus do not fully realize the consequences of their communication and belief updating. As a result, asset returns contain excess comovement and more concentrated factor structures than fundamental values do. The model generates testable empirical predictions that are consistent with the empirical literature on excess comovement in asset returns.