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来源类型Working Paper
规范类型报告
DOI10.3386/w21480
来源IDWorking Paper 21480
Correlated Beliefs, Returns, and Stock Market Volatility
Joel M. David; Ina Simonovska
发表日期2015-08-24
出版年2015
语种英语
摘要Firm-level stock returns exhibit comovement above that in fundamentals, and the gap tends to be higher in developing countries. We investigate whether correlated beliefs among sophisticated, but imperfectly informed, traders can account for the patterns of return correlations across countries. We take a unique approach by turning to direct data on market participants’ information - namely, real-time firm-level earnings forecasts made by equity market analysts. The correlations of firm-level forecasts exceed those of fundamentals and are strongly related to return correlations across countries. A calibrated information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the existing literature.
主题Microeconomics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URLhttps://www.nber.org/papers/w21480
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/579155
推荐引用方式
GB/T 7714
Joel M. David,Ina Simonovska. Correlated Beliefs, Returns, and Stock Market Volatility. 2015.
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