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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP12056 |
DP12056 Belief Dispersion in the Stock Market | |
Suleyman Basak; Adem Atmaz | |
发表日期 | 2017-05-20 |
出版年 | 2017 |
语种 | 英语 |
摘要 | We develop a dynamic model of belief dispersion with a continuum of investors differing in beliefs. The model is tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and trading volume. We find that the stock price is convex in cash-flow news and increases in belief dispersion, while its mean return decreases when the view on the stock is optimistic, and vice versa when pessimistic. Moreover, belief dispersion leads to a higher stock volatility and trading volume. We demonstrate that otherwise identical two-investor heterogeneous-beliefs economies do not necessarily generate our main results. |
主题 | Financial Economics |
关键词 | Asset pricing Belief dispersion Heterogeneous beliefs Stock price Mean return Volatility Trading volume Bayesian learning |
URL | https://cepr.org/publications/dp12056 |
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/540867 |
推荐引用方式 GB/T 7714 | Suleyman Basak,Adem Atmaz. DP12056 Belief Dispersion in the Stock Market. 2017. |
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