Disagreement, correlation and asset prices

He, XZ; Shi, L

Disagreement, correlation and asset prices

He, XZ

Shi, L

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Publication Type:: Journal Article
Citation:: Economics Letters, 2012, 116 (3), pp. 512 - 515
Issue Date:: 2012-09-01

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Field	Value	Language
dc.contributor.author	He, XZ https://orcid.org/0000-0003-1446-9996	en_US
dc.contributor.author	Shi, L https://orcid.org/0000-0002-6226-1762	en_US
dc.date.issued	2012-09-01	en_US
dc.identifier.citation	Economics Letters, 2012, 116 (3), pp. 512 - 515	en_US
dc.identifier.issn	0165-1765	en_US
dc.identifier.uri	http://hdl.handle.net/10453/18801
dc.description.abstract	When people agree to disagree, how does the disagreement affect asset prices? Within an equilibrium framework with two agents, two risky assets and a riskless bond, we analyze the joint impact of disagreement about expected payoff, variance and correlation, and compare prices with benchmark prices in a market with homogeneous beliefs. © 2012 Elsevier B.V.	en_US
dc.relation.ispartof	Economics Letters	en_US
dc.relation.isbasedon	10.1016/j.econlet.2012.04.064	en_US
dc.subject.classification	Economics	en_US
dc.title	Disagreement, correlation and asset prices	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	116	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	14 Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	116	en_US

Abstract:

When people agree to disagree, how does the disagreement affect asset prices? Within an equilibrium framework with two agents, two risky assets and a riskless bond, we analyze the joint impact of disagreement about expected payoff, variance and correlation, and compare prices with benchmark prices in a market with homogeneous beliefs. © 2012 Elsevier B.V.

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http://hdl.handle.net/10453/18801