Disagreement, speculation, and aggregate investment

• 成果类型: Article
• 署名作者: Baker, Steven D.; Hollifield, Burton; Osambela, Emilio
• 署名单位: University of Virginia; Carnegie Mellon University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.08.014
• 发表日期: 2016
• 页码: 210-225
• 关键词: Heterogeneous beliefs; Disaster risk; Financial speculation; general equilibrium; asset pricing; Real Investment

摘要

When investors disagree, speculation between them alters equilibrium prices in financial markets. Because managers maximize firm value given financial market prices, disagreement alters firms' value-maximizing investment policies. Disagreement therefore impacts aggregate investment, consumption, and output. In a production economy with recursive preferences and disasters, we demonstrate that static disagreement among investors generates dynamic aggregate investment that is positively correlated with capital shocks, leading to stochastic volatility in aggregate consumption, investment, and equity returns. The direction of these effects is consistent with business cycle facts, and with several features of the 2008 financial crisis. (C) 2015 Elsevier B.V. All rights reserved.