Download or read book Asset Prices Under Heterogeneous Beliefs written by Andrew B. Abel and published by . This book was released on 1989 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Prices with Heterogeneous Beliefs written by Suleyman Basak and published by . This book was released on 2004 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Heterogeneous Beliefs Risk and Learning in a Simple Asset Pricing Model written by Carl Chiarella and published by . This book was released on 1999 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook on Systemic Risk written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2013-05-23 with total page 993 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Download or read book Essays on Asset Pricing Under Heterogeneous Beliefs written by Shangwen Wang and published by . This book was released on 2002 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Heterogeneous Beliefs Risk and Learning in a Simple Asset Pricing Model with a Market Maker written by Carl Chiarella and published by . This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Pricing with Heterogeneous Beliefs written by Suleyman Basak and published by . This book was released on 2004 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article studies the dynamic behavior of security prices in the presence of investors' heterogeneous beliefs. We provide a tractable continuous-time pure-exchange model and highlight the mechanism through which investors' differences of opinion enter into security prices. In the determination of equilibrium, we employ a representative investor with stochastic weights and solve for all economic quantities in closed form, including the perceived market prices of risk and interest rate. The basic analysis is generalized to incorporate multiple sources of risk, disagreement about nonfundamentals, and multiple investors. Other applications involving multiple goods and nominal asset pricing within monetary economies are discussed.

Download or read book Aggregation of Heterogeneous Beliefs and Asset Pricing Theory written by Carl Chiarella and published by . This book was released on 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Within the standard mean-variance framework, this paper provides a procedure to aggregate the heterogeneous beliefs in not only risk preferences and expected payoffs but also variances/covariances into a market consensus belief. Consequently, an asset equilibrium price under heterogeneous beliefs is derived. We show that the market aggregate behavior is in principle a weighted average of heterogeneous individual behaviors. The CAPM-like equilibrium price and return relationships under heterogeneous beliefs are obtained. The impact of diversity of heterogeneous beliefs on the market aggregate risk preference, asset volatility, equilibrium price and optimal demands of investors is examined. As a special case, our result provides a simple explanation for the empirical relation between cross-sectional volatility and expected returns.

Download or read book Heterogeneous Beliefs and Asset Pricing in Discrete Time written by Clotilde Napp and published by . This book was released on 2015 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid modulo a predictable aggregation bias, which takes the form of a discount factor. We use our construction of a consensus consumer to investigate the impact of beliefs heterogeneity on the CCAPM and on the expression of the risk free rate. We focus on the pessimism/doubt of the consensus consumer and we study their impact on the equilibrium characteristics (market price of risk, risk free rate). We finally analyze how pessimism and doubt at the aggregate level result from pessimism and doubt at the individual level.

Download or read book Paris Princeton Lectures on Mathematical Finance 2003 written by Tomasz R. Bielecki and published by Springer. This book was released on 2004-08-30 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Paris-Princeton Lectures in Financial Mathematics, of which this is the second volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. This volume presents the following articles: "Hedging of Defaultable Claims" by T. Bielecki, M. Jeanblanc, and M. Rutkowski; "On the Geometry of Interest Rate Models" by T. Björk; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.

Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2008-05-19 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition

Download or read book Aggregation on Heterogeneous Beliefs Asset Pricing and Risk Sharing in Complete Financial Markets written by Laurent Calvet and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model written by William A. Brock and published by . This book was released on 1999 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Incomplete Information Heterogeneous Beliefs and the Statistical Properties of Asset Prices written by Tony Berrada and published by . This book was released on 2003 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: I consider a pure exchange economy where the growth rate of aggregate consumption is mean reverting and unobservable. Agents have heterogenous beliefs which they continuously update. I study the properties of asset prices as they can be measured by an outside observer (objective probability). First, it is shown that under the objective probability, the market price of risk (Sharpe ratio) is larger than the complete information equivalent, if the agents with higher level of expectations about the growth rate also have higher level of conditional variances. I provide an analytical formula for the volatility of the stock price which identifies the respective contributions of information incompleteness and heterogeneity in beliefs. It is shown that the volatility can be higher or lower than the complete information case, depending on the parametrization. I found that a parametric specification which yields a high level of volatility necessarily implies a negative covariance of the stock return with the interest rate. Finally I discuss why asset returns appear predictable in the objective probability measure when agents rationally update their beliefs by taking into account the observable variations of the dividend.

Download or read book Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs written by Elyes Jouini and published by . This book was released on 2015 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus probability belief, as well as a consensus consumer, are shown to be valid modulo an aggregation bias, which takes the form of a discount factor. In classical cases, the consensus probability belief is a risk-tolerance weighted average of the individual beliefs, and the discount factor is proportional to the beliefs dispersion. This discount factor makes the heterogeneous beliefs setting fundamentally different from the homogeneous beliefs setting, and it is consistent with the interpretation of belief heterogeneity as a source of risk.We then use our construction to rewrite in a simple way the equilibrium characteristics (market price of risk, risk premium, risk-free rate) in a heterogeneous beliefs framework and to analyze the impact of belief heterogeneity. Finally, we show that it is possible to construct specific parametrizations of the heterogeneous beliefs model that lead to globally higher risk premia, lower risk-free rates, and risk premia that are lower for assets with higher belief dispersion.

Download or read book Do Heterogeneous Beliefs Matter for Asset Pricing written by Evan W. Anderson and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study how heterogeneous beliefs affect returns and examine whether they are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected earnings (short-term and long-term) and show they are good proxies. We first establish that the heterogeneity of beliefs matters for asset pricing and then turn our attention to estimating a structural model in which we use the forecasts of financial analysts to proxy for agents` beliefs. Finally, we investigate whether the amount of heterogeneity in analysts` forecasts can help explain asset pricing puzzles.

Download or read book Heterogeneous Beliefs and Routes to Complex Dynamics in Asset Pricing Models with Price Contingent Contracts written by William A. Brock and published by . This book was released on 2002 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: