Consistent expectations equilibria and learning in a stock market

In this article we investigate the question whether the highly demanding in formative requirements of rational expectations models are necessary to der ive equilibria within capital market models. In this analysis agents are on ly provided with publicly available information such as prices and dividend s. 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 assump tions, the stock market can be considered as a Hommes-Sorger consistent exp ectations model. We show the existence of consistent expectations equilibri a 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 a utocorrelation learning. Thus, we are able to derive a stock market equilib rium with less demanding requirements, where this equilibrium is equal to t he rational expectations equilibrium. (C) 2002 Elsevier Science B.V. All ri ghts reserved.