Why Disagreement May Not Matter (much) forAsset Prices

A simple consumption-based two-period model is used to study the (theoretical)effects of disagreement on asset prices. Analytical and numerical results showthat individual uncertainty has a much larger effect on risk premia than disagreementif (i) the risk aversion is reasonably high and (ii) individual uncertainty is notmuch smaller than disagreement.[...]

MoreLess

Year of publication:	2008-04-21
Authors:	Söderlind, Paul
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Volatilität \| Risikoverteilung \| Verzinsung \| Eigenkapital \| Prämie

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

1 Introduction
2 Disagreement and Portfolio Choice
3 Asset Prices
3.1 Approximate Asset Prices
3.2 Exact Asset Prices (Logarithmic Utility or No Disagreement)
3.3 Numerically Calculated Asset Prices
4 Survey Evidence on Individual Uncertainty and Disagreement
5 Summary
A Numerical Solution of the Model
B Derivations of Asset Prices
References

Persistent link: https://www.econbiz.de/10005868920