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 |
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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