Disagreement, information quality and asset prices

• 成果类型: Article
• 署名作者: Xiouros, Costas; Zapatero, Fernando
• 署名单位: BI Norwegian Business School; Boston University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103774
• 发表日期: 2024
• 关键词: asset prices; Heterogeneous expectations; information quality; Habit-formation preferences

摘要

We present an analytical solution for a pure exchange economy featuring a continuum of agents with disagreement, time-varying information quality, and reference-dependent preferences. Our general equilibrium model exhibits stationary dynamics. By examining the implications of the model, we find that the commonly studied asset pricing channels of disagreement have limited quantitative significance. On the other hand, variations in information quality, which affect disagreement levels, lead to substantial excess stock price volatility. This finding contributes significantly to explaining the equity premium and sheds light on empirical relationships between forecast dispersion and asset prices, the upward sloping real yield curve, and long-term yield movements.