Tarifer un risque dont l’intensité est diversement perçue

Elyès Jouini ()

Revue d'économie financière, 2019, vol. N° 133, issue 1, 21-43

Abstract: The aim of this paper is to analyze the consequences of introducing heterogeneous beliefs and impatience rates in otherwise standard valuation models. We first show that the various arguments put forward in the literature to deny this heterogeneity or to neglect its effects are contradicted both by the data and by the most recent works. We then introduce a typology of these beliefs, we analyze their various forms and we study how the market aggregates them. We deduce the impact of this heterogeneity of perceptions on the risk premium (or the market price of risk) and on the price of time (discount rate or interest rate). In particular, we show that, in the long run, the heterogeneity of perceptions should lead to a more cautious valuation: lower discount rate and higher risk premium. Classification JEL : D53, G12.

JEL-codes: D53 G12 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=ECOFI_133_0021 (application/pdf)
http://www.cairn.info/revue-d-economie-financiere-2019-1-page-21.htm (text/html)
free

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:cai:refaef:ecofi_133_0021

Access Statistics for this article

More articles in Revue d'économie financière from Association d'économie financière
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().