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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/58441

    Title: How do Heterogeneous Beliefs Influence Asset Volatility?
    Authors: Ho, Hwai-chung;Lin, Chien-Chih
    Contributors: 淡江大學財務金融學系
    Date: 2012-10
    Issue Date: 2011-10-01 00:58:49 (UTC+8)
    Publisher: Australia: Wiley Publishing Asia Pty Ltd
    Abstract: We investigate the influence of heterogeneous beliefs on asset volatility when agents' degrees of confidence differ. With a continuous-time model subsuming agent's heterogeneous beliefs in the expected increase in dividends, a stock price formula is derived. Based on this formula, the stock volatility is computed via Monte Carlo simulation. The results show that the influence of belief heterogeneity in expectation on volatility depends on the confident agents' level of optimism. Empirical results are also provided.
    Relation: Pacific Economic Review 17(4), pp.601-616
    DOI: 10.1111/j.1468-0106.2012.00602.x
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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