Information Aggregation with Asymmetric Asset Payoffs

• 成果类型: Article
• 署名作者: Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh
• 署名单位: Central Bank of Chile; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Yale University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13361
• 发表日期: 2024
• 页码: 2715-2758
• 关键词: rational-expectations; credit spreads; RISK; preference; skewness; DISAGREEMENT; acquisition; lotteries; liquidity; default

摘要

We study noisy aggregation of dispersed information in financial markets without imposing parametric restrictions on preferences, information, and return distributions. We provide a general characterization of asset returns by means of a risk-neutral probability measure that features excess weight on tail risks. Moreover, we link excess weight on tail risks to observable moments such as forecast dispersion and accuracy, and argue that it provides a unified explanation for several prominent cross-sectional return anomalies. Simple calibrations suggest the model can account for a significant fraction of empirical returns to skewness, returns to disagreement, and interaction effects between the two.