G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12056
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
URLhttps://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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