کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7384084 | 1480571 | 2018 | 69 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets
ترجمه فارسی عنوان
جمع بندی باورهای ناهمگون، قیمت گذاری دارایی ها و به اشتراک گذاری خطر در بازارهای مالی کامل
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کلمات کلیدی
قیمت گذاری دارایی، به اشتراک گذاری خطر، باورها، نماینده، تعادل عمومی حقوق صاحبان سهام،
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Given a competitive equilibrium in complete asset markets, we propose a method that aggregates heterogeneous individual beliefs into a single “market probability,” which, if commonly shared by investors, generates the same marginal valuation of assets by the market as well as by each individual investor. As a result of the aggregation process, the market portfolio may have to be scalarly adjusted, upward or downward, a reflection of an aggregation bias due to the diversity of beliefs. From a dual viewpoint, the standard construction of an expected utility-maximizing aggregate investor designed to represent the economy in equilibrium, is shown to be also valid in the case of heterogeneous beliefs, modulo the above scalar adjustment of the market portfolio, thereby generating an Adjusted version of the Consumption based Capital Asset Pricing Model (ACCAPM). We analyze how the allocation of aggregate and individual risks relates to deviations of individual beliefs from the aggregate market probability. Finally, we identify the channels through which the distribution of beliefs and other microeconomic characteristics (incomes, attitudes toward risk) across investors impact the pricing of risky assets an may contribute to explaining the equity premium puzzle.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in Economics - Volume 72, Issue 1, March 2018, Pages 117-146
Journal: Research in Economics - Volume 72, Issue 1, March 2018, Pages 117-146
نویسندگان
Laurent-Emmanuel Calvet, Jean-Michel Grandmont, Isabelle Lemaire,