How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement

L.A. Stout

Working Papers from Georgetown University Law Center

Abstract: This paper presents a simple heterogenous expectations pricing model premised on investor disagreement, risk aversion, and short sales restrictions.

Keywords: ASSET PRICING; CAPITAL MARKET; RISK (search for similar items in EconPapers)
JEL-codes: G10 G12 G13 (search for similar items in EconPapers)
Pages: 37 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:fth:geolaw:97-2

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