The social value of overreaction to information☆

被引：0
|
作者：
Bizzarri, Matteo [1 ,2 ]
d'Arienzo, Daniele [3 ]
机构：
[1] Univ Federico II, Naples, Italy
[2] CSEF, Naples, Italy
[3] Capital Fund Management, Paris, France
来源：
JOURNAL OF MATHEMATICAL ECONOMICS | 2024年 / 115卷
关键词：
Overreaction; Diagnostic expectations; Non-Bayesian learning; Taxes on financial transactions; Asymmetric information; Externalities; FINANCIAL-MARKETS; OVERCONFIDENCE; POLICY;
D O I：
10.1016/j.jmateco.2024.103067
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study the welfare effects of overreaction to information in markets with asymmetric information as well as the impact of a simple intervention in the form of a tax or a subsidy on trade volume. A large enough level of overreaction is always welfare decreasing: in these situations, introducing a tax can improve welfare. However, a small degree of overreaction can increase welfare. This is because of the interplay of two competing externalities: an information externality, due to the informational role of prices, and a pecuniary externality, due to the allocative role of prices. Depending on the balance of these externalities, a trade volume subsidy may be optimal.
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页数：13
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