Asset Pricing and Asymmetric Reasoning

• 成果类型: Article
• 署名作者: Asparouhova, Elena; Bossaerts, Peter; Eguia, Jon; Zame, William
• 署名单位: Utah System of Higher Education; University of Utah; University of Melbourne; University of Bristol; Michigan State University; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/679283
• 发表日期: 2015
• 页码: 66-122
• 关键词: Ambiguity; MARKET; RISK; opinion; prices; overconfidence; determinants; equilibrium; INFORMATION; PSYCHOLOGY

摘要

We present a theory and experimental evidence on pricing and portfolio choices under asymmetric reasoning. We show that under asymmetric reasoning, prices do not reflect all (types of) reasoning. Some agents who observe prices that cannot be reconciled with their reasoning switch from perceiving the environment as risky to perceiving it as ambiguous. If they are ambiguity-averse, these agents become price-insensitive. Results from an experiment show that, consistent with the theory, (i) without aggregate risk, mispricing decreases as the fraction of price-sensitive agents increases; and (ii) with aggregate risk, price-insensitive agents trade to more balanced portfolios.