Why disagreement may not matter (much) for asset prices

Paul Söderlind

Finance Research Letters, 2009, vol. 6, issue 2, 73-82

Abstract: A simple consumption-based two-period model is used to study the (theoretical) effects of disagreement on asset prices. Analytical and numerical results show that individual uncertainty has a much larger effect on risk premia than disagreement if (i) the risk aversion is reasonably high and (ii) individual uncertainty is not much smaller than disagreement. Evidence from survey data on beliefs about output growth suggests that the latter is more than satisfied.

Keywords: Equity; premium; Riskfree; rate; Implied; volatility; Survey; of; Professional; Forecasters (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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Working Paper: Why Disagreement May Not Matter (much) for Asset Prices (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:6:y:2009:i:2:p:73-82

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