Disagreement, correlation and asset prices
- Publication Type:
- Journal Article
- Economics Letters, 2012, 116 (3), pp. 512 - 515
- Issue Date:
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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