Disagreement, tastes, and asset prices

• 成果类型: Article
• 署名作者: Fama, Eugene F.; French, Kenneth R.
• 署名单位: Dartmouth College; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.01.003
• 发表日期: 2007
• 页码: 667-689
• 关键词: Asset pricing; DISAGREEMENT; tastes

摘要

Standard asset pricing models assume that: (i) there is complete agreement among investors about probability distributions of future payoffs on assets; and (ii) investors choose asset holdings based solely on anticipated payoffs-, that is, investment assets are not also consumption goods. Both assumptions are unrealistic. We provide a simple framework for studying how disagreement and tastes for assets as consumption goods can affect asset prices. (c) 2006 Elsevier B.V. All rights reserved.