Costly Interpretation of Asset Prices
提出投资者无法免费解读资产价格信息的模型，解释价格动量、过度波动和交易量，并分析投资者理性程度选择的战略互补性。
We propose a model in which investors cannot costlessly process information from asset prices. At the trading stage, investors are boundedly rational, and their interpretation of prices injects noise into the price, generating a source of endogenous noise trading. Our setup predicts price momentum and yields excessive return volatility and excessive trading volume. In an overall equilibrium, investors optimally choose sophistication levels by balancing the benefit of beating the market against the cost of acquiring sophistication. There can exist strategic complementarity in sophistication acquisition, leading to multiple equilibria. This paper was accepted by Gustavo Manso, finance.