Speculative Equilibrium with Differences in Higher-Order Beliefs
研究了投资者在高阶信念上存在微小差异时，即使一阶预期无偏，也可能导致资产价格被高估，且市场流动性消失，价格波动无界。
Modest differences in higher-order beliefs may have large price effects. We generalize a standard rational expectations equilibrium model with different information by allowing differences in higher-order beliefs. Investors have possibly different dogmatic beliefs about the mean, different dogmatic beliefs about other investors’ beliefs, and so on for higher and higher orders of beliefs. Even when every investor’s first-order expectations are unbiased, overvaluation results when investors have inconsistent higher-order beliefs that their own expectations are more optimistic than average. This lack of common knowledge destabilizes prices in an unbounded manner as market liquidity disappears. This paper was accepted by Gustavo Manso, finance.