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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w20190 |
来源ID | Working Paper 20190 |
Model Disagreement and Economic Outlook | |
Daniel Andrei; Bruce Carlin; Michael Hasler | |
发表日期 | 2014-06-05 |
出版年 | 2014 |
语种 | 英语 |
摘要 | We study the impact of model disagreement on the dynamics of asset prices, return volatility, and trade in the market. In our continuous-time framework, two investors have homogeneous preferences and equal access to information, but disagree about the length of the business cycle. We show that model disagreement amplifies return volatility and trading volume by inducing agents to have different economic outlooks, which generates a term structure of disagreement. Different economic outlooks imply that investors will trade even if they do not disagree about the current value of fundamentals. Also, we find that while the absolute level of return volatility is driven by long-run risk, the variation and persistence of volatility (i.e., volatility clustering) is driven by disagreement. Compared to previous studies that consider model uncertainty with a representative agent or those that study heterogeneous beliefs with no model disagreement, our paper offers a theoretical foundation for the GARCH-like behavior of stock returns. |
主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
URL | https://www.nber.org/papers/w20190 |
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/577864 |
推荐引用方式 GB/T 7714 | Daniel Andrei,Bruce Carlin,Michael Hasler. Model Disagreement and Economic Outlook. 2014. |
条目包含的文件 | 条目无相关文件。 |
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