Disagreement, correlation and asset prices

DOI10.1016/J.ECONLET.2012.04.064zbMATH Open1253.91076OpenAlexW1964401001MaRDI QIDQ694948FDOQ694948

Authors: Xue-Zhong He, Lei Shi 

Publication date: 19 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/18801

Recommendations

• Coordination and correlation in Markov rational belief equilibria
• Belief disagreements and collateral constraints
• Heterogeneous beliefs and asset pricing in discrete time: an analysis of pessimism and doubt
• Disagreement is unpredictable.
• Disagreement and equilibrium option trading volume

zbMATH Keywords

spillover effectmispricingdisagreementconsensus beliefequilibrium asset prices

Mathematics Subject Classification ID

Cites Work

• Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
• Are more risk averse agents more optimistic? Insights from a rational expectations model
• Unbiased disagreement in financial markets, waves of pessimism and the risk-return trade-off
• Heterogeneous beliefs and asset pricing in discrete time: an analysis of pessimism and doubt

Cited In (2)

• Belief disagreements and collateral constraints
• Disagreement and equilibrium option trading volume

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