Choosing to Disagree: Endogenous Dismissiveness and Overconfidence in Financial Markets
研究发现，由于投资者从对未来事件的信念中获得效用，他们会主动选择忽视他人信号和价格信息，导致内生性的轻视和过度自信，且这些偏差随市场条件变化。
ABSTRACT The psychology literature documents that individuals derive current utility from their beliefs about future events. We show that, as a result, investors in financial markets choose to disagree about both private information and price information. When objective price informativeness is low, each investor dismisses the private signals of others and ignores price information. In contrast, when prices are sufficiently informative, heterogeneous interpretations arise endogenously: most investors ignore prices, while the rest condition on it. Our analysis demonstrates how observed deviations from rational expectations (e.g., dismissiveness, overconfidence) arise endogenously, interact with each other, and vary with economic conditions.