| 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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