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    題名: Heterogeneous Beliefs and Price Efficiency
    作者: 林建志;林豐騰;廖美華
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Autocorrelation;heterogeneous beliefs;price efficiency;state-price density;trading volume
    日期: 2014-01-01
    上傳時間: 2014-03-06 12:59:36 (UTC+8)
    摘要: An asset pricing formula is derived under an economic model incorporating investors’ heterogeneous beliefs. Applying this pricing formula, the autocorrelation of the asset returns is computed. An analysis of the autocorrelation reveals the influence of agents’ heterogeneous beliefs on asset price efficiency. Using the dataset coming from the Weighted Index of the Taiwan Stock Exchange, we test whether the heterogeneous beliefs between the institutional investors in the Taiwan stock market have a significant effect on price efficiency.
    關聯: Journal of Information and Optimization Sciences 35(1). pp.1-15
    DOI: 10.1080/02522667.2013.867734
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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