Heterogeneous Beliefs in Asset Pricing: When Investors’ Estimates of Asset Volatility Disagree

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/58440

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題名:	Heterogeneous Beliefs in Asset Pricing: When Investors’ Estimates of Asset Volatility Disagree
作者:	Lin, Chien-Chih;Lin, Feng-teng
貢獻者:	淡江大學財務金融學系
關鍵詞:	Asset pricing;Asset volatility;Heterogeneous beliefs
日期:	2010-12
上傳時間:	2011-10-01 00:58:40 (UTC+8)
出版者:	Korean Securities Association
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.
關聯:	Asia-Pacific Journal of Financial Studies 39(6), pp.720-735
DOI:	10.1111/j.2041-6156.2010.01030.x
顯示於類別:	[財務金融學系暨研究所] 期刊論文

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