کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099931 | 1377057 | 2007 | 31 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper extends the Lucas [1978. Asset prices in an exchange economy. Econometrica 46, 1429-1445] model to a setting in which investors have heterogeneous beliefs about the structure of a dividend process. By assuming that all investors have logarithmic preferences and different subjective discount rates, we can obtain a closed-form representation of the stock price. This closed-form solution enables us to analyze the dynamics of the stock price and its volatility. The model can simultaneously generate several well-known empirical facts - excessive volatility, leverage effects, and positive relationships between price and trading volume and between volatility and volume. All of these effects are driven by the different beliefs of investors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 5, May 2007, Pages 1697-1727
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 5, May 2007, Pages 1697-1727
نویسندگان
Tao Li,