Equity Markets in a Divergent Expectations World: A Bridge between Theory and Reality
放松了投资者同质预期的假设，探讨分歧预期下价格发现的动态复杂过程，以及由此导致的短期波动加剧、收益自相关和流动性受损，对理解真实市场结构有重要参考价值。
Important academic analyses of price formation in the equity markets are based on the assumption that participants have homogeneous expectations. Relaxing this assumption, we deal with the reality that, because information sets are typically large and complex, investors have divergent expectations. In a divergent-expectation environment, price discovery is a dynamic, complex, noisy process that involves elevated short-period price volatility and return autocorrelations of first and higher orders. In the dynamic environment of divergent expectations and noisy price discovery, liquidity is impaired and market structure matters.