Under-reaction: Irrational behavior or robust response to model misspecification?
研究发现，反应不足是对模型误设的稳健反应，而非导致失败的“非理性”行为；在误设学习环境中，反应不足的代理人可能比贝叶斯代理人更成功。
Abstract I find that under-reaction is a robust response to model misspecification, rewarded by financial markets, rather than an “irrational” attitude that leads to extinction. When a Bayesian agent trades with an under-reacting agent who has access to the same information, there are no paths on which the under-reacting agent loses all his wealth to the Bayesian. Conversely, the Bayesian agent loses all his wealth to the under-reacting agent in misspecified learning settings, provided that a combination of parameters is more accurate than any single parameter in the support, and the under-reaction is sufficiently strong.