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Do Heterogeneous Beliefs Matter for Asset Pricing?

Listed author(s):
  • Jennifer Juergens
  • Evan Anderson
  • Eric Ghysels

We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term) earnings are good proxies. Having established that heterogeneity of beliefs matters for asset pricing we turn our attention to estimating a structural model in which we use the forecasts of financial analysts to proxy for the beliefs of agents. Finally, we investigate if the amount of heterogeneity in analysts' forecasts can help explain asset pricing puzzles

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Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 477.

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Date of creation: 11 Aug 2004
Handle: RePEc:ecm:nasm04:477
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