Rescuing Rational Expectations from Undeserved Ridicule

Oghenovo A. Obrimah
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引用次数: 5

Abstract

Heterogeneity of risk aversion parameters of economic agents facilitates risk sharing, as such, is a necessary condition for economic viability of stock markets. This study finds price equilibriums that are outcome of conditioning of homogeneously received information on heterogeneous realizations of risk preferences Pareto dominate alternate comparable equilibriums that are conditioned on the `common' component of heterogeneously received information. Necessity of an information source that is not either of stock prices or stock returns, and that equally is visible to all for feasibility of homogeneously received information establishes necessity of a `market procedural mechanism' for conditioning of rational expectations equilibriums (REE). While stock return volatility has, in context of the `Intertemporal Capital Asset Pricing Model (ICAPM)', structure that is amenable to its characterization as a market procedural mechanism, expectations that are conditioned on stock return volatility explicitly are shown to have character of uninformed gambles. Implicitness of adoption of return volatility as market mechanism suffices then, for inducement of stock markets that are characterized by, `gambles over lotteries'; the `investors trade too much' phenomenon; and intermittency of market correction events. We arrive then at a rational explanation for seeming irrationality or proneness to bias of actions of investors in stock markets, namely absence of a robustly formulated market procedural mechanism for formation of rational expectations equilibriums. In aggregate, we arrive at rescue of concept of REE from undeserved ridicule, that is, infer failings of mechanism design as bane of current workings of stock markets.
从不合理的嘲笑中拯救理性预期
经济主体风险规避参数的异质性促进了风险分担,是股票市场经济可行性的必要条件。本研究发现,价格均衡是风险偏好的异质实现对同质接收信息进行条件反射的结果,帕累托占主导地位的可比较均衡是以异质接收信息的“共同”成分为条件的。一个既不是股票价格也不是股票回报的信息源的必要性,对于所有人来说都是可见的,因为同质接收信息的可行性建立了“市场程序机制”的必要性,以调节理性预期均衡(REE)。虽然在“跨期资本资产定价模型(ICAPM)”的背景下,股票收益波动具有符合其作为市场程序机制特征的结构,但以股票收益波动为条件的预期明确显示出具有不知情赌博的特征。采用收益波动作为市场机制的隐含性足以诱导以“彩票赌博”为特征的股票市场;“投资者交易过多”现象;以及市场调整事件的间歇性。然后,我们得出了一个合理的解释,即投资者在股票市场上的行为似乎不理性或倾向于偏见,即缺乏一个强有力的制定的市场程序机制来形成理性预期均衡。总的来说,我们将REE的概念从不应有的嘲笑中拯救出来,也就是说,将机制设计的失败推断为当前股票市场运作的祸根。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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