Do Heterogeneous Beliefs Matter for Asset Pricing?
Evan Anderson and
Eric Ghysels ()
No 477, Econometric Society 2004 North American Summer Meetings from Econometric Society
We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term) earnings are good proxies. Having established that heterogeneity of beliefs matters for asset pricing we turn our attention to estimating a structural model in which we use the forecasts of financial analysts to proxy for the beliefs of agents. Finally, we investigate if the amount of heterogeneity in analysts' forecasts can help explain asset pricing puzzles
Keywords: Heterogeneous Beliefs; Asset pricing (search for similar items in EconPapers)
JEL-codes: G12 G14 E27 (search for similar items in EconPapers)
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Journal Article: Do Heterogeneous Beliefs Matter for Asset Pricing? (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:nasm04:477
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