The Beauty Contest and Short‐Term Trading
研究在持续流动性交易和风险厌恶的短期投资者市场中，短期行为如何不必然导致信息价格无效率，并发现两个稳定均衡对流动性、波动性和信息效率的影响。
ABSTRACT Short‐termism need not breed informational price inefficiency even when generating beauty contests. We demonstrate this claim in a two‐period market with persistent liquidity trading and risk‐averse, privately informed, short‐term investors and find that prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in “retrospective” learning to reassess inferences (about fundamentals) made during the trading game's early stages. This behavior introduces strategic complementarities in the use of information and can yield two stable equilibria that can be ranked in terms of liquidity, volatility, and informational efficiency. We derive implications that explain market anomalies as well as empirical regularities.