Distortions and Efficiency in Production Economies with Heterogeneous Beliefs

• 成果类型: Article
• 署名作者: Heyerdahl-Larsen, Christian; Walden, Johan
• 署名单位: Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of California System; University of California Berkeley
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab068
• 发表日期: 2022
• 页码: 1775
• 关键词: GENERAL-EQUILIBRIUM; asset prices; financial-markets; selection; welfare; RISK; speculation; volatility; allocation; MODEL

摘要

We study consumption, savings, and asset prices in economies with disagreement and production, focusing on settings with real effects of disagreement. Aggregate savings may be significantly distorted under disagreement, possibly related to the undersaving puzzle. In the production economy, mispricing mainly manifests itself in idiosyncratic risk, in contrast to the exchange economy, where the risk-free rate and expected return on the market may be distorted. Potential policy implications include the introduction of investment taxes or subsidies. Our results highlight the real effects of disagreement in financial markets, and the differences between economies with and without production.