Disagreement, correlation and asset prices

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dc.contributor.author He, X
dc.contributor.author Shi, L
dc.date.accessioned 2012-10-12T03:34:53Z
dc.date.issued 2012-01
dc.identifier.citation Economics Letters, 2012, 116 (3), pp. 512 - 515
dc.identifier.issn 0165-1765
dc.identifier.other C1 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.
dc.publisher Elsevier
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon 10.1016/j.econlet.2012.04.064
dc.rights NOTICE: this is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, [Volume 116, Issue 3, September 2012, Pages 512–515] DOI# http://dx.doi.org/10.1016/j.econlet.2012.04.064 en_US
dc.title Disagreement, correlation and asset prices
dc.type Journal Article
dc.parent Economics Letters
dc.journal.volume 3
dc.journal.volume 116
dc.journal.number 3 en_US
dc.publocation Netherlands en_US
dc.publocation North Melbourne, Australia
dc.identifier.startpage 512 en_US
dc.identifier.endpage 515 en_US
dc.cauo.name BUS.Finance en_US
dc.conference Verified OK en_US
dc.for 1402 Applied Economics
dc.personcode 010238
dc.personcode 997966
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.edition 1
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Consensus belief; Disagreement; Equilibrium asset prices; Mispricing; Spillover effect en_US
dc.description.keywords Consensus belief
dc.description.keywords Disagreement
dc.description.keywords Equilibrium asset prices
dc.description.keywords Mispricing
dc.description.keywords Spillover effect
pubs.embargo.period Not known
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
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
utslib.collection.history General (ID: 2)
utslib.collection.history Finance (ID: 371)

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