Disagreement in a Multi-Asset Market

He, XZ; Shi, L

Disagreement in a Multi-Asset Market

He, XZ

Shi, L

Permalink

Publication Type:: Journal Article
Citation:: International Review of Finance, 2012, 12 (3), pp. 357 - 373
Issue Date:: 2012-09-01

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Adobe PDF

Download full textAdobe PDF (276.64 kB)

View on publisher's site

View statistics

Full metadata record

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	International Review of Finance, 2012, 12 (3), pp. 357 - 373	en_US
dc.identifier.issn	1369-412X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/18930
dc.description.abstract	This paper provides a simple framework to study the effect of disagreement in a multi-asset market equilibrium by considering two agents who disagree about expected returns, variances, and correlation of returns of two risky assets. When agents' subjective beliefs are characterized by mean preserving spreads of a benchmark homogeneous belief, we show that the effect of the disagreement does not cancel out in general and the effect in a multi-asset market can be very different from a single asset market. In particular, the market risk premium can increase and the risk-free rate can decrease significantly even when the market is overoptimistic and overconfident. © International Review of Finance Ltd. 2012.	en_US
dc.relation.ispartof	International Review of Finance	en_US
dc.relation.isbasedon	10.1111/j.1468-2443.2012.01153.x	en_US
dc.title	Disagreement in a Multi-Asset Market	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	12	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	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	12	en_US

Abstract:

This paper provides a simple framework to study the effect of disagreement in a multi-asset market equilibrium by considering two agents who disagree about expected returns, variances, and correlation of returns of two risky assets. When agents' subjective beliefs are characterized by mean preserving spreads of a benchmark homogeneous belief, we show that the effect of the disagreement does not cancel out in general and the effect in a multi-asset market can be very different from a single asset market. In particular, the market risk premium can increase and the risk-free rate can decrease significantly even when the market is overoptimistic and overconfident. © International Review of Finance Ltd. 2012.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/18930