Disagreement, correlation and asset prices

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 116
Issue: 3
Pages: 512-515

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:116:y:2012:i:3:p:512-515
Journal Field
General
Author Count
2
Added to Database
2026-01-29