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Do Heterogeneous Beliefs Matter for Asset Pricing?

Author

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  • Jennifer Juergens
  • Evan Anderson
  • Eric Ghysels
Abstract
We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term) earnings are good proxies. Having established that heterogeneity of beliefs matters for asset pricing we turn our attention to estimating a structural model in which we use the forecasts of financial analysts to proxy for the beliefs of agents. Finally, we investigate if the amount of heterogeneity in analysts' forecasts can help explain asset pricing puzzles

Suggested Citation

  • Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.
    • Handle: RePEc:ecm:nasm04:477
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    More about this item

    Keywords

    Heterogeneous Beliefs; Asset pricing;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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