全球智库信息集成服务系统(G2TT): DP9291 A Theory of Asset Prices based on Heterogeneous Information

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP9291
	DP9291 A Theory of Asset Prices based on Heterogeneous Information
	Christian HELLWIG; Aleh Tsyvinski; Elias Albagli
发表日期	2013-01-20
出版年	2013
语种	英语
摘要	With only minimal restrictions on security payoffs and trader preferences, noisy aggregation of heterogeneous information drives a systematic wedge between the impact of fundamentals on the price of a security, and the corresponding impact on cash flow expectations. From an ex ante perspective, this information aggregation wedge leads to a systematic gap between an asset's expected price and its expected dividend. The sign and magnitude of this expected wedge depend on the asymmetry between upside and downside payoff risks and on the importance of information heterogeneity. We consider three applications of our theory. We first show that predictions of our model provide a novel theoretical justification and are quantitatively consistent with documented empirical regularities on negative relationship between returns and skewness. Second, we illustrate how heterogeneous information leads to systematic departures from the Modigliani-Miller theorem and provide a new theory of debt versus equity. Third, we provide conditions under which permanent over- or under-pricing of assets is sustainable in a dynamic version of our model.
主题	Financial Economics ; International Macroeconomics
关键词	Asset prices Information aggregation Modigliani-miller theorem Skewness
URL	https://cepr.org/publications/dp9291
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/538127
推荐引用方式 GB/T 7714	Christian HELLWIG,Aleh Tsyvinski,Elias Albagli. DP9291 A Theory of Asset Prices based on Heterogeneous Information. 2013.