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Hétérogénéité des croyances et équilibre des marchés financiers


  • Jouini, Elyès


  • Ben Mansour Kharraz, Selima


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.

Suggested Citation

  • Ben Mansour Kharraz, Selima, 2009. "Hétérogénéité des croyances et équilibre des marchés financiers," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/1161 edited by Jouini, Elyès, April.
  • Handle: RePEc:dau:thesis:123456789/1161
    Note: dissertation

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    References listed on IDEAS

    1. 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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    More about this item


    Equilibrium; Risk Aversion; Primes de risques; Rentabilité; Beliefs Heterogeneity;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets


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