Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry
构建了一个包含多种证券和异质信息投资者的世代交叠模型，发现存在多重均衡，其中高波动均衡下资产收益可呈现强相关或弱相关，知情者采取反向策略，不知情者则趋势跟随，交易量与信息精度呈驼峰形关系。
ABSTRACT This paper studies an overlapping generations model with multiple securities and heterogeneously informed agents. The model produces multiple equilibria, including highly volatile equilibria that can exhibit strong or weak correlations between asset returns—even when asset supplies and future dividends are uncorrelated across assets. Less informed agents rationally behave like trend‐followers, while better informed agents follow contrarian strategies. Trading volume has a hump‐shaped relation with information precision and is positively correlated with absolute price changes. Finally, accurate information increases the volatility and correlation of stock returns in the highly volatile, strongly correlated equilibrium.