Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy

• 成果类型: Article
• 署名作者: Jouini, Elyes
• 署名单位: Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS); Institut de Recherche pour le Developpement (IRD); Laboratoire dEconomie de Dauphine LEDa; Centre National de la Recherche Scientifique (CNRS); Universite PSL; Universite Paris-Dauphine
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4495
• 发表日期: 2023
• 页码: 4190-4209
• 关键词: Asset pricing; belief dispersion; production equilibrium; decreasing returns; adjustment costs; heterogeneous beliefs; excessive volatility; Asset pricing puzzles

摘要

I develop a continuous-time general equilibrium model with a continuum of states of the world and a continuum of agents endowed with heterogeneous beliefs. The model permits to analyze the interactions between financial markets and production. There is a single firmthat faces convex adjustment costs andmaximizes its terminal value. Equivalently, the firm uses decreasing returns to scale risk-return technology. The model is tractable and matches many of the empirical regularities in aggregate output and stock prices, such as a financial volatility that is higher than themacroeconomic volatility, skewness, kurtosis, short-term momentum, and volatility risk premium during recessions. All these aspects disappear when one assumes beliefs homogeneity or constant returns to scale. In particular, the impact of beliefs heterogeneity observed in endowment economies does not pertain when introducing production unless one assumes decreasing returns to scale in the risk-return technology.