Belief Dispersion in the Stock Market

• 成果类型: Article
• 署名作者: Atmaz, Adem; Basak, Suleyman
• 署名单位: Purdue University System; Purdue University; University of London; London Business School; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12618
• 发表日期: 2018
• 页码: 1225-1279
• 关键词: ANALYSTS EARNINGS FORECASTS; heterogeneous beliefs; asset prices; financial-markets; excess volatility; equity premium; Portfolio constraints; Return predictability; dynamic equilibrium; cross-section

摘要

We develop a dynamic model of belief dispersion with a continuum of investors differing in beliefs. The model is tractable and qualitatively matches many of the empirical regularities in a stock price and its mean return, volatility, and trading volume. We find that the stock price is convex in cash-flow news and increases in belief dispersion, while its mean return decreases when the view on the stock is optimistic, and vice versa when pessimistic. Moreover, belief dispersion leads to higher stock volatility and trading volume. We demonstrate that otherwise identical two-investor heterogeneous-beliefs economies do not necessarily generate our main results.