Consistent expectations equilibria and learning in a stock market (Q5958700)

In this article we investigate the question whether the highly demanding informative requirements of rational expectations models are necessary to derive equilibria within capital market models. In this analysis agents are only provided with publicly available information such as prices and dividends. Nevertheless, we require that agents should behave like econometricians. Additionally, we skip the assumption of rational expectations models that agents know the implied actual law of motion of the system. By these assumptions, the stock market can be considered as a Hommes--Sorger consistent expectations model. We show the existence of consistent expectations equilibria with myopic agents and independent identically distributed dividends. The only CEE is the rational expectations equilibrium. In the simulation part we demonstrate how the steady-state CEE can be derived by means of sample autocorrelation learning. Thus, we are able to derive a stock market equilibrium with less demanding requirements, where this equilibrium is equal to the rational expectations equilibrium.