Hétérogénéité des croyances et équilibre des marchés financiers
In this thesis, we propose to test a new behavioral explanation of the equity premium puzzle. This work is based on the heterogeneous beliefs model of Jouini and Napp (2007) according to which, pessimism of investors at the aggregate level leads to very important risk premiums. In this model, agents’ pessimism refers to an underestimation of the average rate of return of assets: while pessimistic agents require a market price of risk identical to the standard agent one, they overestimate the risk associated with assets and the resulting equity premium is therefore increased. There is no need, in this setting, for all investors to be pessimistic. Pessimism at the aggregate level is sufficient in order to ensure an increase in the equity premium. Even if the average belief is neutral, it’s possible to have pessimism at the aggregate level through a positive correlation between optimism and risk aversion. Based on this conclusion, we identify the conditions under which the excess returns of securities are consistent with agents’ pessimism. Our aim is to investigate if there is a positive correlation between optimism and risk aversion through a survey and laboratory experiments.
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- Williams, Joseph T., 1977. "Capital asset prices with heterogeneous beliefs," Journal of Financial Economics, Elsevier, vol. 5(2), pages 219-239, November.
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