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Hétérogénéité des croyances, prix du risque et volatilité des marchés

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  • Clotilde Napp
  • Elyes Jouini

Abstract

[eng] Beliefs' heterogeneity, risk premium and volatility . This article analyses introducing of subjective and heterogeneous beliefs in traditional equilibrium model. The authors assume heterogeneous beliefs and answer the questions : 1 - is there a consensual belief which implies same equilibrium prices and exchanges as traditional model, if everybody knows it ? 2 - Is there a representative agent ? 3 - What' s the impact of heterogeneous beliefs on risk premium ? 4 - On interest rate ? 5 - On financial assets' prices and their volatility ? . JEL classification : D82, D84, E43, G12 [fre] Le but de cet article est d'analyser les conséquences de l'introduction de croyances subjectives hétérogènes dans le modèle d'équilibre standard. Plus précisément, en partant d'un marché avec croyances hétérogènes, nous tenterons de répondre aux questions suivantes : 1- est -il possible de définir une croyance de consensus, c'est-à-dire une croyance qui, si elle était commune à tous les individus, produirait les mêmes prix d'équilibre et les mêmes volumes d'échange que dans l'économie initiale ? 2 - est-il encore possible dans un tel contexte de définir un agent représentatif ? 3 - quel est l'impact de hétérogénéité des croyances sur la prime de risque (ou le prix du marché du risque) ? 4 - quel est l'impact de hétérogénéité des croyances sur les taux d'intérêt ? 5 - quel est l'impact de hétérogénéité des croyances sur le prix des actifs financiers et sur leur volatilité ? . Classification JEL : D82, D84, E43, G12

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Bibliographic Info

Article provided by Programme National Persée in its journal Revue d'économie financière.

Volume (Year): 74 (2004)
Issue (Month): 1 ()
Pages: 125-137

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Handle: RePEc:prs:recofi:ecofi_0987-3368_2004_num_74_1_5035

Note: DOI:10.3406/ecofi.2004.5035
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecofi

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  1. Basak, Suleyman & Cuoco, Domenico, 1998. "An Equilibrium Model with Restricted Stock Market Participation," Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 309-41.
  2. Michael Gallmeyer, . "Beliefs and Volatility," GSIA Working Papers 2000-E42, Carnegie Mellon University, Tepper School of Business.
  3. Andrew B. Abel, . "Asset Prices Under Heterogenous Beliefs: Implications for the Equity Premium," Rodney L. White Center for Financial Research Working Papers 9-89, Wharton School Rodney L. White Center for Financial Research.
  4. Varian, Hal R, 1985. " Divergence of Opinion in Complete Markets: A Note," Journal of Finance, American Finance Association, vol. 40(1), pages 309-17, March.
  5. Elyès Jouini & Clotilde Napp, 2003. "Consensus consumer and intertemporal asset pricing with heterogeneous beliefs," Finance 0312001, EconWPA.
  6. Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini Jr., 1997. "Robust Permanent Income and Pricing," Levine's Working Paper Archive 596, David K. Levine.
  7. Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
  8. Michael Gallmeyer & Burton Hollifield, . "An Examination of Heterogeneous Beliefs with a Short Sale Constraint," GSIA Working Papers 2002-E2, Carnegie Mellon University, Tepper School of Business.
  9. Williams, Joseph T., 1977. "Capital asset prices with heterogeneous beliefs," Journal of Financial Economics, Elsevier, vol. 5(2), pages 219-239, November.
  10. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  11. Detemple Jerome & Murthy Shashidhar, 1994. "Intertemporal Asset Pricing with Heterogeneous Beliefs," Journal of Economic Theory, Elsevier, vol. 62(2), pages 294-320, April.
  12. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
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