Disagreement, correlation and asset prices

Xue Zhong He, Lei Shi*

*Corresponding author for this work

Research output: Contribution to journalArticle

1 Citation (Scopus)

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.

Original languageEnglish
Pages (from-to)512-515
Number of pages4
JournalEconomics Letters
Volume116
Issue number3
DOIs
Publication statusPublished - Sep 2012
Externally publishedYes

Keywords

  • Consensus belief
  • Disagreement
  • Equilibrium asset prices
  • Mispricing
  • Spillover effect

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