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dc.contributor.authorJouini, Elyès
dc.contributor.authorNapp, Clotilde
dc.date.accessioned2009-06-18T10:17:11Z
dc.date.available2009-06-18T10:17:11Z
dc.date.issued2006
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/341
dc.descriptionLe fichier accessible ci-dessous est une version également éditée dans les Cahiers de la Chaire "Les Particuliers face aux Risques" de l'Institut de Finance de Dauphine, cahier n° 1, septembre 2006
dc.language.isoenen
dc.subjectBeliefs Heterogeneityen
dc.subjectConsensusen
dc.subjectPessimismen
dc.subjectAsset Pricingen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelD80en
dc.titleHeterogeneous Beliefs and Asset Pricing in Discrete Time : an Analysis of Pessimism and Doubten
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid modulo a predictable aggregation bias, which takes the form of a discount factor. We use our construction of a consensus consumer to investigate the impact of beliefs heterogeneity on the CCAPM and on the expression of the risk free rate. We focus on the pessimism/doubt of the consensus consumer and we study their impact on the equilibrium characteristics (market price of risk, risk free rate). We finally analyze how pessimism and doubt at the aggregate level result from pessimism and doubt at the individual level.en
dc.relation.isversionofjnlnameJournal of Economic Dynamics and Control
dc.relation.isversionofjnlvol30en
dc.relation.isversionofjnlissue7en
dc.relation.isversionofjnldate2006-07
dc.relation.isversionofjnlpages1233-1260en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jedc.2005.05.008en
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00151536/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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