We study return predictability using a model of speculative trading among competitive traders who agree to disagree about the precision of private information. Although traders apply Bayes' Law consistently, returns are predictable. In addition to trading on long-term fundamental value, traders also trade on perceived short-term opportunities arising from foreseen future disagreement, as in a Keynesian beauty contest. Contradicting conventional wisdom, this short-term speculation dampens price fluctuations and generates time-series momentum. Model calibration shows quantitatively realistic patterns of return dynamics. Consistent with empirical evidence, our model predicts more pronounced momentum for stocks with higher trading volume.

中文翻译：

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信念聚合和回报可预测性

我们使用竞争交易者之间的投机交易模型来研究回报的可预测性，这些交易者同意不同意私人信息的准确性。尽管交易者始终如一地应用贝叶斯定律，但回报是可以预测的。除了根据长期基本价值进行交易外，交易者还根据可预见的未来分歧所产生的短期机会进行交易，就像在凯恩斯主义的选美比赛中一样。与传统智慧相矛盾的是，这种短期投机抑制了价格波动并产生了时间序列动量。模型校准显示了返回动态的定量现实模式。与经验证据一致，我们的模型预测交易量较高的股票会有更明显的势头。