Dispersion of Beliefs Bounds: Sentimental Recovery

• 成果类型: Article
• 署名作者: Pazarbasi, Altan; Schneider, Paul; Vilkov, Grigory
• 署名单位: Ihsan Dogramaci Bilkent University; Universita della Svizzera Italiana; Swiss Finance Institute (SFI); Frankfurt School Finance & Management
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.01587
• 发表日期: 2024
• 关键词: recovery; Sentiment; market views; agent heterogeneity; volatility trading; market spanning; DISAGREEMENT; beliefs

摘要

We present a nonparametric method to recover a bound on ex ante dispersion of beliefs (DBB) from asset prices with minimal assumptions. DBB constrains the dispersion among all possible distributions in an economy, consistent with observed prices and subject to a good -deal bound. In model -based economies, DBB effectively tracks belief heterogeneity and serves as a diagnostic tool for evaluating model calibrations. Empirically, DBB relates to common proxies of belief dispersion, offering a real-time, market -implied disagreement measure. Our versatile approach applies to both complete and incomplete markets represented by any asset class.