Disagreement, correlation and asset prices

Publication Type:
Journal Article
Economics Letters, 2012, 116 (3), pp. 512 - 515
Issue Date:
Full metadata record
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.
Please use this identifier to cite or link to this item: