Asset Prices Under Heterogeneous Beliefs
Author | : Andrew B. Abel |
Publisher | : |
Total Pages | : 35 |
Release | : 1989 |
Genre | : |
ISBN | : |
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Author | : Andrew B. Abel |
Publisher | : |
Total Pages | : 35 |
Release | : 1989 |
Genre | : |
ISBN | : |
Author | : Suleyman Basak |
Publisher | : |
Total Pages | : 32 |
Release | : 2004 |
Genre | : Assets (Accounting) |
ISBN | : |
Author | : Carl Chiarella |
Publisher | : |
Total Pages | : 38 |
Release | : 1999 |
Genre | : Finance |
ISBN | : |
Author | : Shangwen Wang |
Publisher | : |
Total Pages | : 614 |
Release | : 2002 |
Genre | : |
ISBN | : |
Author | : Carl Chiarella |
Publisher | : |
Total Pages | : 42 |
Release | : 2000 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : Suleyman Basak |
Publisher | : |
Total Pages | : 35 |
Release | : 2004 |
Genre | : |
ISBN | : |
This article studies the dynamic behavior of security prices in the presence of investors' heterogeneous beliefs. We provide a tractable continuous-time pure-exchange model and highlight the mechanism through which investors' differences of opinion enter into security prices. In the determination of equilibrium, we employ a representative investor with stochastic weights and solve for all economic quantities in closed form, including the perceived market prices of risk and interest rate. The basic analysis is generalized to incorporate multiple sources of risk, disagreement about nonfundamentals, and multiple investors. Other applications involving multiple goods and nominal asset pricing within monetary economies are discussed.
Author | : Jean-Pierre Fouque |
Publisher | : Cambridge University Press |
Total Pages | : 993 |
Release | : 2013-05-23 |
Genre | : Business & Economics |
ISBN | : 1107023432 |
The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Author | : Carl Chiarella |
Publisher | : |
Total Pages | : 23 |
Release | : 2008 |
Genre | : |
ISBN | : |
Within the standard mean-variance framework, this paper provides a procedure to aggregate the heterogeneous beliefs in not only risk preferences and expected payoffs but also variances/covariances into a market consensus belief. Consequently, an asset equilibrium price under heterogeneous beliefs is derived. We show that the market aggregate behavior is in principle a weighted average of heterogeneous individual behaviors. The CAPM-like equilibrium price and return relationships under heterogeneous beliefs are obtained. The impact of diversity of heterogeneous beliefs on the market aggregate risk preference, asset volatility, equilibrium price and optimal demands of investors is examined. As a special case, our result provides a simple explanation for the empirical relation between cross-sectional volatility and expected returns.
Author | : Clotilde Napp |
Publisher | : |
Total Pages | : 36 |
Release | : 2015 |
Genre | : |
ISBN | : |
The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid modulo a predictable aggregation bias, which takes the form of a discount factor. We use our construction of a consensus consumer to investigate the impact of beliefs heterogeneity on the CCAPM and on the expression of the risk free rate. We focus on the pessimism/doubt of the consensus consumer and we study their impact on the equilibrium characteristics (market price of risk, risk free rate). We finally analyze how pessimism and doubt at the aggregate level result from pessimism and doubt at the individual level.
Author | : Hersh Shefrin |
Publisher | : Elsevier |
Total Pages | : 636 |
Release | : 2008-05-19 |
Genre | : Business & Economics |
ISBN | : 0080482244 |
Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition