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    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/17554


    Title: Heterogeneous Beliefs in Asset Pricing: When Investors’ Estimates of Asset Volatility Disagree
    Authors: 林建志;Lin, Chien-Chih;林豐騰;Lin, Feng-Teng
    Contributors: 財務金融學系
    Keywords: "Asset pricing;Asset volatility;Heterogeneous beliefs G11;G12"
    Date: 2010-12
    Issue Date: 2012-11-26 02:36:59 (UTC+0)
    Abstract: The paper addresses the influence on asset prices of agents’ disagreement regarding asset volatility. Using a stochastic volatility model and assuming that the market is complete, a state-price density incorporating heterogeneous beliefs in volatility is derived and used to compute asset prices. How agent disagreement regarding volatility influences asset prices and volatility is discussed and empirical results are provided.
    Relation: Asia-Pacific Journal of Financial Studies
    Appears in Collections:[Department of Finance] Journal Article

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