Abstract
When people agree to disagree, how does the disagreement affect asset prices? Within an equilibrium framework with two agents, two risky assets and a riskless bond, we analyze the joint impact of disagreement about expected payoff, variance and correlation, and compare prices with benchmark prices in a market with homogeneous beliefs.
| Original language | English |
|---|---|
| Pages (from-to) | 512-515 |
| Number of pages | 4 |
| Journal | Economics Letters |
| Volume | 116 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Sept 2012 |
| Externally published | Yes |
Keywords
- Consensus belief
- Disagreement
- Equilibrium asset prices
- Mispricing
- Spillover effect