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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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Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108
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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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Return and Dividend Expectations in the Cross-Section of Prices
Douglas, Reed - 2022
I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...
Persistent link: https://www.econbiz.de/10014236440
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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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Stock price booms and expected capital gains
Adam, Klaus; Beutel, Johannes; Marcet, Albert - 2014
successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …
Persistent link: https://www.econbiz.de/10011490485
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On the relationship of information processes and asset price processes
Lüders, Erik; Peisl, Bernhard - 2000
Persistent link: https://www.econbiz.de/10001450621
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Internet Appendix for 'Belief Dispersion in the Stock Market'
Atmaz, Adem - 2017
tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and … to a higher stock volatility and trading volume. We demonstrate that otherwise identical two-investor heterogeneous …
Persistent link: https://www.econbiz.de/10012956341
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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