Disagreement in a Multi-Asset Market

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dc.contributor.author He, X-Z
dc.contributor.author Shi, L
dc.date.accessioned 2012-10-12T03:35:08Z
dc.date.issued 2012-09
dc.identifier.citation International Review of Finance, 2012, 12 (3), pp. 357 - 373
dc.identifier.issn 1369-412X
dc.identifier.other C1 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.
dc.language eng
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon 10.1111/j.1468-2443.2012.01153.x
dc.title Disagreement in a Multi-Asset Market
dc.type Journal Article
dc.parent International Review of Finance
dc.journal.volume 3
dc.journal.volume 12
dc.journal.number 3 en_US
dc.publocation US en_US
dc.identifier.startpage 357 en_US
dc.identifier.endpage 373 en_US
dc.cauo.name BUS.Finance en_US
dc.conference Verified OK en_US
dc.for 1502 Banking, Finance and Investment
dc.personcode 010238
dc.personcode 997966
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
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
pubs.consider-herdc true
utslib.collection.history General (ID: 2)

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