| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15644 |
| DP15644 Information Aggregation and Asymmetric Returns | |
| Elias Albagli; Christian HELLWIG; Aleh Tsyvinski | |
| 发表日期 | 2022-06-19 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We study noisy aggregation of dispersed information in financial markets beyond the usual parametric restrictions imposed on preferences, information, and return distributions. This allows a general characterization of asset returns by means of a risk-neutral probability measure that features excess weight on tail risks. Using this characterization, we show that noisy aggregation of dispersed information provides a unified explanation for several prominent cross-sectional return anomalies such as returns to skewness, returns to disagreement and interaction effects between the two. Moreover, this characterization can be linked to observable moments such as forecast dispersion and accuracy, and simple calibrations suggest the model can account for a significant fraction of empirical return anomalies. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp15644-0 |
| 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/546456 |
| 推荐引用方式 GB/T 7714 | Elias Albagli,Christian HELLWIG,Aleh Tsyvinski. DP15644 Information Aggregation and Asymmetric Returns. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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