We analyze a model with information asymmetry where owning certain types of stock confers direct utility, in addition to impacting wealth. Phenomena such as a value effect, negative expected profits from trading, and volume premia arise naturally in this setting. In contrast to the more traditional wealth effects of financial assets, expected stock prices deviate from expected fundamentals even when assets are in zero net supply. Mutual funds that cater to investors' tastes earn negative expected returns in equilibrium. We also show that asset prices may non-linearly react to signals about fundamentals, leading to booms and busts, as well as crashes and recoveries, if agents derive greater utility from stocks with high past fundamentals.

中文翻译：

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影响启发式和股权：一个理论视角

我们分析了一个信息不对称模型，其中除了影响财富之外，拥有某些类型的股票还能带来直接效用。在这种情况下，自然会出现价值效应、交易的负预期利润和交易量溢价等现象。与金融资产更传统的财富效应相反，即使资产净供应为零，预期股价也会偏离预期基本面。迎合投资者口味的共同基金在均衡时的预期收益为负。我们还表明，如果代理人从过去基本面较高的股票中获得更大的效用，资产价格可能会对有关基本面的信号做出非线性反应，从而导致繁荣和萧条以及崩盘和复苏。