Speculating on Higher-Order Beliefs
利用20多年投资者信心调查数据，发现投资者关于他人信念的高阶信念是非基本面投机的重要动机，并构建模型表明其放大股市过度反应和超额波动。
Abstract Higher-order beliefs—beliefs about others’ beliefs—may be important for trading behavior and asset prices but have received little systematic empirical examination. Examining more than 20 years of evidence from the Robert Shiller Investor Confidence surveys, we find that investors’ higher-order beliefs provide substantial motivations for nonfundamental speculation—taking a stock market position that conflicts with one’s valuation of the market. To explore the equilibrium implications, we construct a model that matches the survey evidence and highlights that investors’ higher-order beliefs amplify stock market overreaction and excess volatility.