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    Title: Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs
    Authors: Ho, Hwai-Chung;Lin, Chien-Chih
    Contributors: 淡江大學財務金融學系
    Date: 2011-05
    Issue Date: 2011-10-01 00:59:03 (UTC+8)
    Publisher: Abingdon: Routledge
    Abstract: This study provides theoretical and empirical evidences of the effects of heterogeneous beliefs on asset volatility when agents' level of confidence differs. We derive a stock price formula that is applied to simulating stock volatility using Monte Carlo method. Through the simulation results, we observe that the influence of heterogeneous beliefs on volatility depends on the confident agents' level of optimism. Some empirical results are provided to confirm those observations.
    Relation: Applied Economics Letters 18(10), pp.955-959
    DOI: 10.1080/13504851.2010.520659
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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