學習下的回饋效果以及超額波動性

Feedback Effect and Excess Volatility with Learning

本研究分析存在雙元內生性的投資模型，人們對基本面、以及資產價格與總合投資觀察的學習，並且討論回饋性或協調誘因對超額波動性以及一些投資現象的影響。一個顯著的發現是：不論學習與否，人們之間的協調誘因可能會導因於回饋效果，並且較強的回饋效果在人們之間會有較高的協調誘因；另外，當金融市場流動性變高時、或一些衝擊變大時，學習下人們的協調誘因會下降、但沒任何學習時是不變的。資產價格的超額波動性會隨回饋效果或協調誘因增加、但是卻會隨著投資客密度減少。同時，價格學習會比沒有任何學習更放大資產價格的超額波動性；總合投資的學習也比沒有任何的學習更能擴大資產價格的超額波動性。

We set out in this study to analyze learning with regard to both fundamentals and observations on asset prices and aggregate investment, explicitly linking this to the dual endogeneity in an investment model, and then discussing the effects of both feedback and coordination incentives on excess volatility and certain investment phenomena. A notable finding is that, regardless of whether or not learning is evident, the coordination incentives amongst agents may well result from the feedback effect; indeed, the stronger the effect of feedback, the higher the coordination incentives. Alternatively, with high liquidity in the financial market, or with the occurrence of substantial shocks, the coordination incentives amongst agents are found to decline under learning, whereas under no learning, they are fixed. Although there is an increase in excess asset price volatility with both the feedback effect and coordination incentives, there is a decrease with the mass of investing firms. At the same time, learning relating to prices is found to amplify the excess asset price volatility more than no learning, whilst learning relating to aggregate investment also increases the excess asset price volatility more than no learning.