کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
966324 | 1479275 | 2009 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Evolution of heterogeneous beliefs and asset overvaluation
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
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چکیده انگلیسی
I analyze a model in which different agents have different non-rational expectations about the future price and cash flows of a risky asset. The beliefs in the society evolve according to a very general class of evolution functions that are monotone; that is if one type has increased its share in the population then all types with higher profit should also have increased their shares. I show that the price of the risky asset converges to the risk-neutral fundamental price even though all agents in the economy are risk-averse. The risky asset thus becomes overvalued as compared to the equilibrium with rational expectations. The overvaluation is a result of the evolution of beliefs and does not rely on such asymmetric assumptions as short-sale constraints or optimistic bias.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 45, Issues 3â4, 20 March 2009, Pages 277-292
Journal: Journal of Mathematical Economics - Volume 45, Issues 3â4, 20 March 2009, Pages 277-292
نویسندگان
Dmitry Shapiro,