Beliefs Aggregation and Return Predictability
研究竞争性交易者因对私人信息精度看法不同而进行投机，导致收益可预测，并发现短期投机抑制价格波动、产生时间序列动量，对高交易量股票动量更显著。
ABSTRACT We study return predictability using a model of speculative trading among competitive traders who agree to disagree about the precision of private information. Although traders apply Bayes' Law consistently, returns are predictable. In addition to trading on long‐term fundamental value, traders also trade on perceived short‐term opportunities arising from foreseen future disagreement, as in a Keynesian beauty contest. Contradicting conventional wisdom, this short‐term speculation dampens price fluctuations and generates time‐series momentum. Model calibration shows quantitatively realistic patterns of return dynamics. Consistent with empirical evidence, our model predicts more pronounced momentum for stocks with higher trading volume.