全球智库信息集成服务系统(G2TT): Disagreement and Asset Prices

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w18619
来源ID	Working Paper 18619
	Disagreement and Asset Prices
	Bruce I. Carlin; Francis A. Longstaff; Kyle Matoba
发表日期	2012-12-14
出版年	2012
语种	英语
摘要	How do differences of opinion affect asset prices? Do investors earn a risk premium when disagreement arises in the market? Despite their fundamental importance, these questions are among the most controversial issues in finance. In this paper, we use a novel data set that allows us to directly measure the level of disagreement among Wall Street mortgage dealers about prepayment speeds. We examine how disagreement evolves over time and study its effects on expected returns, return volatility, and trading volume in the mortgage-backed security market. We find that increased disagreement is associated with higher expected returns, higher return volatility, and larger trading volume. These results imply that there is a positive risk premium for disagreement in asset prices. We also show that volatility in and of itself does not lead to higher trading volume. Rather, it is only when disagreement arises in the market that higher uncertainty is associated with more trading. Finally, we are able to distinguish empirically between two competing hypotheses regarding how information in markets gets incorporated into asset prices. We find that sophisticated investors appear to update their beliefs through a rational expectations mechanism when disagreement arises.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w18619
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/576294
推荐引用方式 GB/T 7714	Bruce I. Carlin,Francis A. Longstaff,Kyle Matoba. Disagreement and Asset Prices. 2012.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w18619.pdf（234KB）	智库出版物		限制开放	CC BY-NC-SA	浏览