Why disagreement may not matter (much) for asset prices
Journal
Finance Research Letters
ISSN
1544-6123
ISSN-Digital
1544-6131
Type
journal article
Date Issued
2009-06-01
Author(s)
Abstract
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.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Elsevier
Publisher place
Amsterdam [u.a.]
Volume
6
Number
2
Start page
73
End page
82
Pages
10
Subject(s)
Division(s)
Eprints ID
52009
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open.access
Name
DisagreeAP.pdf
Size
152.91 KB
Format
HTML
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