Asset Pricing in a World of Imperfect Foresight
研究了即使投资者对未来价格预见不完美，资产价格仍可能反映完美预见，前提是投资者表现出动态窄框架行为，即忽略再交易机会。实验验证了该行为假设能同时解释价格和选择，并重新解读了传统资产定价理论在历史数据上的成功与失败。
A key assumption of dynamic asset pricing theory is that agents have perfect foresight: for all future contingencies, they correctly foresee the corresponding equilibrium prices. Is it possible for prices to still reflect perfect foresight even if agents have imperfect foresight? We answer affirmatively, provided agents exhibit a mild form of narrow framing, which we refer to as dynamic narrow framing: while accounting for future endowments, agents ignore retrading opportunities. This behavior vastly simplifies computation of optimal choices because it obviates the need to form beliefs about future prices. Obviously, choices will generally be different, and hence, suboptimal, compared with those that obtain if agents were to optimize dynamically using perfect foresight about future prices. With a controlled experiment, we verify that our behavioral assumption explains both prices and choices. Our findings allow us to reinterpret the successes (when evaluating prices only) and failures (when evaluating prices against choices) of traditional tests of asset pricing theory on historical data from the field. This paper was accepted by Lukas Schmid, finance. Funding: P. Bossaerts acknowledges funding from the Australian Research Council [Grant DP180102284], from a R@MAP Chair at the University of Melbourne, and from The Leverhulme Trust. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2025.03690 .