How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement
AbstractThis paper presents a simple heterogenous expectations pricing model premised on investor disagreement, risk aversion, and short sales restrictions.
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Bibliographic InfoPaper provided by Georgetown University Law Center in its series Papers with number 97-2.
Length: 37 pages
Date of creation: 1997
Date of revision:
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Postal: Georgetown University Law Center, 600 New Jersey Avenue NW, Washington, DC. 20001. Maintainer-Name: Thomas Krichel
ASSET PRICING ; CAPITAL MARKET ; RISK;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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