Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy

DOI10.1016/j.jedc.2006.06.003zbMath1201.91069OpenAlexW3121176941MaRDI QIDQ1017062

Tao Li

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.06.003

zbMATH Keywords

learningheterogeneous beliefstrading volumeleverage effectsstock volatility

Mathematics Subject Classification ID

Special types of economic markets (including Cournot, Bertrand) (91B54) Heterogeneous agent models (91B69)

Related Items (10)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Live fast, die young: equilibrium and survival in large economies ⋮ Empirical properties of a heterogeneous agent model in large dimensions ⋮ Consumption-based CAPM with belief heterogeneity ⋮ Behavioral heterogeneity and financial crisis: the role of sentiment ⋮ Dynamic market participation and endogenous information aggregation ⋮ Choquet-based European option pricing with stochastic (and fixed) strikes ⋮ The long-run behavior of consumption and wealth dynamics in complete financial market with heterogeneous investors ⋮ Diverse beliefs ⋮ Ambiguity, asset prices, and excess volatility in a pure-exchange economy

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