Do heterogeneous beliefs matter for asset pricing?

• 成果类型: Article
• 署名作者: Anderson, EW; Ghysels, E; Juergens, JL
• 署名单位: Arizona State University; Arizona State University-Tempe; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhi026
• 发表日期: 2005
• 页码: 875
• 关键词: ANALYSTS EARNINGS FORECASTS; stock returns; INVESTOR PSYCHOLOGY; equity premium; SECURITY ANALYSTS; cross-section; MARKET; MODEL; RISK; recommendations

摘要

We study how heterogeneous beliefs affect returns and examine whether they are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected earnings (short-term and long-term) and show they are good proxies. We first establish that the heterogeneity of beliefs matters for asset pricing and then turn our attention to estimating a structural model in which we use the forecasts of financial analysts to proxy for agents' beliefs. Finally, we investigate whether the amount of heterogeneity in analysts' forecasts can help explain asset pricing puzzles.