Asset Pricing with Disagreement and Uncertainty About the Length or Business Cycles

• 成果类型: Article
• 署名作者: Andrei, Daniel; Carlin, Bruce; Hasler, Michael
• 署名单位: University of California System; University of California Los Angeles; University of Toronto
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2904
• 发表日期: 2019
• 页码: 2900-2923
• 关键词: Learning; uncertainty; DISAGREEMENT; volatility; Risk premium

摘要

We study an economy with incomplete information in which two agents are uncertain and disagree about the length of business cycles. That is, the agents do not question whether the economy is growing or not, but instead continuously estimate how long economic cycles will last-i.e., they learn about the persistence of fundamentals. Learning about persistence generates high and persistent stock return volatility mostly during recessions, but also (to a smaller extent) during economic booms. Disagreement among agents fluctuates and earns a risk premium. A clear risk-return trade-off appears only when conditioning on the sign and magnitude of disagreement. We confirm these predictions empirically.