Heterogeneous beliefs, speculation, and the equity premium

• 成果类型: Article
• 署名作者: David, Alexander
• 署名单位: University of Calgary
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01310.x
• 发表日期: 2008
• 页码: 41-83
• 关键词: DYNAMIC EQUILIBRIUM; asset prices; consumption; RISK; MARKET; portfolio; MODEL; overconfidence; INFORMATION; volatility

摘要

Agents with heterogeneous beliefs about fundamental growth do not share risks perfectly but instead speculate with each other on the relative accuracy of their models' predictions. They face the risk that market prices move more in line with the trading models of competing agents than with their own. Less risk-averse agents speculate more aggressively and demand higher risk premiums. My calibrated model generates countercyclical consumption volatility, earnings forecast dispersion, and cross-sectional consumption dispersion. With a risk aversion coefficient less than one, agents' speculation causes half the observed equity premium and lowers the riskless rate by about 1%.