| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17548 |
| 来源ID | Working Paper 17548 |
| A Theory of Asset Pricing Based on Heterogeneous Information | |
| Elias Albagli; Christian Hellwig; Aleh Tsyvinski | |
| 发表日期 | 2011-10-27 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities. Our main analytical innovation is in formulating a model of noisy information aggregation through asset prices, which is parsimonious and tractable, yet flexible in the specification of cash flow risks. We show that the noisy aggregation of heterogeneous investor beliefs drives a systematic wedge between the impact of fundamentals on an asset price, and the corresponding impact on cash flow expectations. The key intuition behind the wedge is that the identity of the marginal trader has to shift for different realization of the underlying shocks to satisfy the market-clearing condition. This identity shift amplifies the impact of price on the marginal trader's expectations. We derive tight characterization for both the conditional and the unconditional expected wedges. Our first main theorem shows how the sign of the expected wedge (that is, the difference between the expected price and the dividends) depends on the shape of the dividend payoff function and on the degree of informational frictions. Our second main theorem provides conditions under which the variability of prices exceeds the variability for realized dividends. We conclude with two applications of our theory. First, we highlight how heterogeneous information can lead to systematic departures from the Modigliani-Miller theorem. Second, in a dynamic extension of our model we provide conditions under which bubbles arise. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w17548 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575222 |
| 推荐引用方式 GB/T 7714 | Elias Albagli,Christian Hellwig,Aleh Tsyvinski. A Theory of Asset Pricing Based on Heterogeneous Information. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17548.pdf（905KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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