Why disagreement may not matter (much) for asset prices

被引：6
|
作者：
Soederlind, Paul [1 ,2 ]
机构：
[1] Univ St Gallen, SBF, CH-9000 St Gallen, Switzerland
[2] CEPR, London, England
来源：
FINANCE RESEARCH LETTERS | 2009年 / 6卷 / 02期
关键词：
Equity premium; Riskfree rate; Implied volatility; Survey of Professional Forecasters; HETEROGENEOUS BELIEFS; EQUITY PREMIUM; MARKETS;
D O I：
10.1016/j.frl.2009.01.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
A simple consumption-based two-period model is used to study the (theoretical) effects of disagreement on asset prices. Analytical and numerical results show that individual uncertainty has a much larger effect on risk premia than disagreement if (i) the risk aversion is reasonably high and (ii) individual uncertainty is not much smaller than disagreement. Evidence from survey data on beliefs about output growth suggests that the latter is more than satisfied. (c) 2009 Elsevier Inc. All rights reserved.
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页码：73 / 82
页数：10
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