Disagreement, correlation and asset prices

Xuezhong (Tony) He () and Lei Shi ()

Economics Letters, 2012, vol. 116, issue 3, 512-515

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.

Keywords: Equilibrium asset prices; Disagreement; Consensus belief; Mispricing; Spillover effect (search for similar items in EconPapers)
JEL-codes: D84 G12 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:512-515

DOI: 10.1016/j.econlet.2012.04.064

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