Heterogeneous Beliefs in Asset Pricing: When Investors’ Estimates of Asset Volatility Disagree
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
國別 GBR
公開徵稿
出版型式 紙本 電子版
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