Show simple item record

dc.contributor.authorJouini, Elyès
dc.contributor.authorNapp, Clotilde
dc.date.accessioned2009-03-17T17:30:50Z
dc.date.available2009-03-17T17:30:50Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/78
dc.descriptionLe fichier attaché est également édité dans les Cahier de la Chaire "Les Particuliers face aux Risques" de l'Institut de Finance de Dauphine, cahier n°7, mars 2007
dc.language.isoenen
dc.subjectBeliefs Heterogeneityen
dc.subjectConsensus Consumeren
dc.subjectPessimismen
dc.subjectOptimismen
dc.subjectRisk Premiumen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelD41en
dc.subject.classificationjelD83en
dc.titleConsensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefsen
dc.typeArticle accepté pour publication ou publiéen
dc.description.abstractenThe aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus probability belief, as well as a consensus consumer, are shown to be valid modulo an aggregation bias, which takes the form of a discount factor. In classical cases, the consensus probability belief is a risk tolerance weighted average of the individual beliefs, and the discount factor is proportional to beliefs dispersion. This discount factor makes the heterogeneous beliefs setting fundamentally different from the homogeneous beliefs setting, and it is consistent with the interpretation of beliefs heterogeneity as a source of risk. We then use our construction to rewrite in a simple way the equilibrium characteristics (market price of risk, risk premium, risk-free rate) in a heterogeneous beliefs framework and to analyze the impact of beliefs heterogeneity. Finally, we show that it is possible to construct specific parametrizations of the heterogeneous beliefs model that lead to globally higher risk premia, lower risk-free rates, and risk premia that are lower for assets with higher belief dispersion.en
dc.relation.isversionofjnlnameThe Review of Economic Studies
dc.relation.isversionofjnlvol74en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2007-10en
dc.relation.isversionofjnlpages1149-1174en
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1467-937X.2007.00439.xen
dc.identifier.urlsitehttp://www.ifd.dauphine.fr/fr/site/ifd/les-chaires-d-entreprise/les-particuliers-face-aux-risques/les-cahiers-de-la-chaire.html
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherBlackwell Publishingen
dc.subject.ddclabelEconomie financièreen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record