题 目：Learning, Short Horizons, and Asset Pricing

汇报人：Jinfan Zhang, Yale University

时 间：2013年1月26日（周六）10:00-11:30

地 点：J9集团国际站新楼217室

Abstract: The trading horizon affects investors’ private information production and asset prices. Under short trading horizons, investors cannot hold the asset until information gets fully reflected in the price, and therefore the private learning decision becomes complementary across different generations of investors; that is, investors in one generation will invest in learning only if they expect that the next generation will also learn. The complementary learning effect leads to four asset pricing implications in a short-horizon investor economy. First, multiple equilibria with varying levels of private information production and asset price efficiency can exist. Second, short-?‐horizon investors tend to learn less private information relative to long-?‐horizon investors, making asset prices less efficient. Third, public information disclosure can cause either an increase or a decrease in private information production depending on the specific equilibrium. Fourth, in contrast to conventional wisdom, the cost of capital can increase with public information provision when the complementary learning effect is strong.