G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w20190
来源IDWorking 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
URLhttps://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。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Daniel Andrei]的文章
[Bruce Carlin]的文章
[Michael Hasler]的文章
百度学术
百度学术中相似的文章
[Daniel Andrei]的文章
[Bruce Carlin]的文章
[Michael Hasler]的文章
必应学术
必应学术中相似的文章
[Daniel Andrei]的文章
[Bruce Carlin]的文章
[Michael Hasler]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。