Disagreement, correlation and asset prices

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dc.contributor.author He, Xuezhong en_US
dc.contributor.author Shi, Lei en_US
dc.contributor.editor en_US
dc.date.accessioned 2012-10-12T03:34:53Z
dc.date.available 2012-10-12T03:34:53Z
dc.date.issued 2012 en_US
dc.identifier 2011004620 en_US
dc.identifier.citation He Xuezhong and Shi Lei 2012, 'Disagreement, correlation and asset prices', Elsevier, vol. 116, no. 3, pp. 512-515. en_US
dc.identifier.issn 0165-1765 en_US
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. en_US
dc.language en_US
dc.publisher Elsevier en_US
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.econlet.2012.04.064 en_US
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 en_US
dc.parent Economics Letters en_US
dc.journal.volume 116 en_US
dc.journal.number 3 en_US
dc.publocation Netherlands en_US
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 140000 en_US
dc.personcode 010238 en_US
dc.personcode 997966 en_US
dc.percentage 100 en_US
dc.classification.name Economics 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
dc.description.keywords Consensus belief; Disagreement; Equilibrium asset prices; Mispricing; Spillover effect en_US
dc.staffid en_US
dc.staffid 997966 en_US


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