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1、HeterogeneousBeliefs,SpeculationandTradinginFinancialMarketsJos´eScheinkmanandWeiXiongBendheimCenterforFinancePrincetonUniversityPrinceton,NJ08540email:joses@princeton.eduemail:wxiong@princeton.eduSummary.Wesurveyrecentdevelopmentsinfinancethatanalyzehowheterogeneousbelief
2、samonginvestorsgeneratespeculationandtrading.Wedescribethejointeffectsofheteroge-neousbeliefsandshort-salesconstraintsonassetprices,usingbothstaticanddynamicmod-els,discusstheno-tradetheoremintherationalexpectationsframework,andpresentinvestoroverconfidenceasapotentialsour
3、ceofheterogeneousbeliefs.WereviewrecentresultsofScheinkmanandXiong(2003)modelingtheresaleoptionthatisembeddedinsharepricesinthepresenceofshort-saleconstraintsandheterogeneousbeliefs,highlightingtheimpliedcor-relationbetweenstockpricesandtradingvolume.Finally,wediscussthes
4、urvivalofinvestorswithincorrectbeliefs.Keywords:Heterogeneousbeliefs,speculation,trading,overconfidence,resaleoption,bub-ble,optimalstopping,survival.MSC2000subjectclassification.91B24,91B28,91B44.Acknowledgements:ResearchpartiallysupportedbytheNSFthroughgrant0001647.1Intro
5、ductionStandardassetpricingtheorieshavedifficultyexplainingepisodesofassetpricebub-blessuchastheonethatseemstohaveoccurredinthemarketforUSinternetstocksduringtheperiodof1998-2000.Inadditiontoassetpricesthataredifficulttojustifybyfundamentalssuchasexpectedfuturedividends,one
6、typicallyobservesinordi-nateincreasesintradingvolume.Forinstance,OfekandRichardson(2003)docu-mentthatduringtheinternetbubbleofthelate90’s,Internetstocksrepresentedsixpercentofthemarketcapitalizationbutaccountedfor20%ofthepubliclytradedvolumeoftheU.S.stockmarket.Cochrane(2
7、002)providesadditionalsupportforT.R.Bieleckietal.:LNM1847,R.A.Carmonaetal.(Eds.),pp.217–250,2004.cSpringer-VerlagBerlinHeidelberg2004218J.ScheinkmanandW.XiongthecorrelationbetweenbubblesandtradingvolumeforUSstocksduringthelate90’s.Thisevidenceindicatesthatasatisfactoryth
8、eoryofbubblesshouldbeabletoexplainsimultaneouslythelevelofpricesandtradingvolume.Severalpapersha
