教師資料查詢 | 類別: 期刊論文 | 教師: 林建志 Lin, Chien-chin (瀏覽個人網頁)

標題:Heterogeneous Beliefs in Asset Pricing: When Investors’ Estimates of Asset Volatility Disagree
學年
學期
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
語言英文
ISSN2041-9945;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
國別英國
公開徵稿
出版型式紙本;電子版
相關連結
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