Disagreement, correlation and asset prices

DOI10.1016/J.ECONLET.2012.04.064MaRDI QIDQ694948zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

spillover effectmispricingdisagreementconsensus beliefequilibrium asset prices

Mathematics Subject Classification ID

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

Cites work

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

Cited in

(2)

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

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