| 题名: | Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs |
| 作者: | Ho, Hwai-Chung;Lin, Chien-Chih |
| 贡献者: | 淡江大學財務金融學系 |
| 日期: | 2011-05 |
| 上传时间: | 2011-10-01 00:59:03 (UTC+8) |
| 出版者: | Abingdon: Routledge |
| 摘要: | 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. |
| 關聯: | Applied Economics Letters 18(10), pp.955-959 |
| DOI: | 10.1080/13504851.2010.520659 |
| 显示于类别: | [財務金融學系暨研究所] 期刊論文
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