期刊論文
學年 | 99 |
---|---|
學期 | 1 |
出版(發表)日期 | 2010-12-01 |
作品名稱 | Heterogeneous Beliefs in Asset Pricing: When Investors’ Estimates of Asset Volatility Disagree |
作品名稱(其他語言) | |
著者 | Lin, Chien-Chih; Lin, Feng-teng |
單位 | 淡江大學財務金融學系 |
出版者 | Korean Securities Association |
著錄名稱、卷期、頁數 | Asia-Pacific Journal of Financial Studies 39(6), pp.720-735 |
摘要 | The paper addresses the influence on asset prices of agents’ disagreement regarding asset volatility. Using a stochastic volatility model and assuming that the market is complete, a state-price density incorporating heterogeneous beliefs in volatility is derived and used to compute asset prices. How agent disagreement regarding volatility influences asset prices and volatility is discussed and empirical results are provided. |
關鍵字 | Asset pricing; Asset volatility; Heterogeneous beliefs |
語言 | en |
ISSN | 2041-9945 2041-6156 |
期刊性質 | 國外 |
收錄於 | SSCI |
產學合作 | |
通訊作者 | Lin, Chien-Chih |
審稿制度 | 是 |
國別 | GBR |
公開徵稿 | |
出版型式 | 紙本 電子版 |
相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/58440 ) |