"Speculative Investor Behavior and Learning''
AbstractAs traders learn about the true distribution of some asset's dividends, a speculative premium occurs as each trader anticipates the possibility of reselling the asset to another trader before complete learning has occurred. Small differences in prior beliefs lead to large speculative premiums during the learning process. This phenomenon helps explain a paradox concerning the pricing of initial public offerings. The result casts light on the significance of the common prior assumption in economic models. Copyright 1996, the President and Fellows of Harvard College and the Massachusetts Institute of Technology.
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- Jarrow, Robert A, 1980. " Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices," Journal of Finance, American Finance Association, vol. 35(5), pages 1105-13, December.
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377R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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