| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13857 |
| DP13857 Sentiment and Speculation in a Market with Heterogeneous Beliefs | |
| Ian Martin | |
| 发表日期 | 2019-07-13 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion, but agents who were correct in hindsight become relatively wealthy; their beliefs are overrepresented in market sentiment, so “the market” is bullish following good news and bearish following bad news. Extreme states are far more important than in a homogeneous economy. Investors understand that sentiment drives volatility up, and demand high risk premia in compensation. Moderate investors supply liquidity: they trade against market sentiment in the hope of capturing a variance risk premium created by the presence of extremists. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Heterogeneous beliefs Excess volatility Sentiment Speculation Target prices |
| URL | https://cepr.org/publications/dp13857 |
| 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/542733 |
| 推荐引用方式 GB/T 7714 | Ian Martin. DP13857 Sentiment and Speculation in a Market with Heterogeneous Beliefs. 2019. |
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