| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5060263 | Economics Letters | 2012 | 4 Pages |
Abstract
When people agree to disagree, how does the disagreement affect asset prices? Within an equilibrium framework with two agents, two risky assets and a riskless bond, we analyze the joint impact of disagreement about expected payoff, variance and correlation, and compare prices with benchmark prices in a market with homogeneous beliefs.
⺠We analyse the impact of disagreement in a market with two risky assets and a riskless bond. ⺠Agents disagree about expected payoff, variance and correlation. ⺠Spillover effect: disagreement about one asset can affect the consensus belief of both assets. ⺠Prices are generally different from the benchmark prices in a market with homogeneous beliefs.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Xue-Zhong He, Lei Shi,