Dispersed Information and Asset Prices

Elias Albagli, Christian Hellwig and Aleh Tsyvinski

Working Papers from HAL

Abstract: We argue that noisy aggregation of dispersed information provides a unifixed explanation for several prominent cross-sectional return anomalies such as returns to skewness, returns to disagreement and corporate credit spreads. We characterize asset returns with noisy information aggregation by means of a risk-neutral probability measure that features excess weight on tail risks, and link the latter to observable moments of earnings forecasts, in particular forecast dispersion and accuracy. We calibrate our model to match these moments and show that it accounts for a large fraction of the empirical return premia. We further develop asset pricing tools for noisy information aggregation models that do not impose strong parametric restrictions on economic primitives such as preferences, information, or return distributions.

Date: 2021-01-22
Note: View the original document on HAL open archive server: https://hal.science/hal-03118639v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-03118639v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-03118639

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().