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Two Trees with Heterogeneous Beliefs : Spillover Effect of Disagreement
Han, Bing - 2017
In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...
Persistent link: https://www.econbiz.de/10012972769
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The Cross-Section of Expected Jumps in Equity Returns
Caporin, Massimiliano - 2019
We investigate how individual equity prices react to stock specific expected jump components. We find that a portfolio buying stocks with negative expected jump component and selling stocks with positive expected jump component earns significant returns, equal to 51 basis points per month.The...
Persistent link: https://www.econbiz.de/10012898429
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Heterogeneous Expectations in Asset Pricing : Empirical Evidence from the S&P 500
Chiarella, Carl - 2016
reported that the model can explain the stylized facts of financial market such as heavy tails and volatility clustering …
Persistent link: https://www.econbiz.de/10013009017
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Smooth Ambiguity, Wealth Dynamics and Asset Prices with Heterogeneous Beliefs
Huang, Bo; Liu, Hening - 2022
We study a class of endowment economies with long-run risks in which agents have generalized recursive smooth ambiguity preferences and heterogeneous beliefs. The expected growth rate of aggregate consumption consists of a persistent component. Agents cannot observe the component but learn about...
Persistent link: https://www.econbiz.de/10013291472
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Fragile beliefs and the price of uncertainty
Hansen, Lars Peter; Sargent, Thomas J. - In: Quantitative economics : QE ; journal of the … 1 (2010) 1, pp. 129-162
A representative consumer uses Bayes' law to learn about parameters of several models and to construct probabilities with which to perform ongoing model averaging. The arrival of signals induces the consumer to alter his posterior distribution over models and parameters. The consumer's...
Persistent link: https://www.econbiz.de/10011719071
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Stock Market Volatility and Mathematical Expectations
James, Robert G. - 2019
It is generally believed that excessive stock market volatility reflects non-mathematical market expectations that are …
Persistent link: https://www.econbiz.de/10012862894
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Heterogeneous Beliefs and Stock Market Fluctuations
McCarthy, Odhrain; Hillenbrand, Sebastian - 2022
Stock prices aggregate the beliefs of different investors. Using this insight, we estimate the fraction of stock market investors holding survey beliefs. We find that 42% of investors hold beliefs matching those of equity analysts and 25% hold beliefs as observed in individual investor return...
Persistent link: https://www.econbiz.de/10014238395
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Information Shocks and the Cross-section of Expected Returns
Savaser, Tanseli; Tiniç, Murat - 2022
This paper examines the risk premium associated with the information shocks in equity markets. For all stocks traded in Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as the unanticipated information asymmetry by focusing on the changes in the proportion of...
Persistent link: https://www.econbiz.de/10013404748
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The Contribution of Frictions to Expected Returns
Hiraki, Kazuhiro - 2020
We document that properly scaled deviations from put-call parity estimate the contribution of market frictions to expected returns (CFER) accurately, by means of a non-parametric theoretically founded identification strategy. The required conditions are that our estimator predicts the underlying...
Persistent link: https://www.econbiz.de/10012852972
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Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic
Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13
This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …
Persistent link: https://www.econbiz.de/10012795039