Beauty contest, bounded rationality, and sentiment pricing dynamics

详细信息    查看全文

• 作者：Hanchao Liang ; ¹ ; ^{lianghanchao@hotmail.com} ; Chunpeng Yang¹ ; Chuangqun Cai¹
• 关键词：G12 ; G14
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：60
• 期：Complete
• 页码：71-80
• 全文大小：803 K
• 卷排序：60

文摘

Price volatility decreases by sentiment precision and percentage of second-order investors. Higher-order investors are more rational and attentive to the strategies of other participants rather than private signals. Bounded rationality results in mispricing on date 1 and reduces it on date 2. Investor sentiment produces more significant effects than private signals. Optimistic investor sentiment increases hedging demand, thus causing prices to soar.