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- Publisher Website: 10.1016/j.jbankfin.2013.07.018
- Scopus: eid_2-s2.0-84882778714
- WOS: WOS:000326212100008
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Article: Asset pricing with heterogeneous beliefs and relative performance
Title | Asset pricing with heterogeneous beliefs and relative performance |
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Authors | |
Keywords | Heterogeneous beliefs Relative performance Asset pricing Fund managers |
Issue Date | 2013 |
Citation | Journal of Banking and Finance, 2013, v. 37, n. 11, p. 4107-4119 How to Cite? |
Abstract | We propose an equilibrium asset pricing model in which agents with heterogeneous beliefs care about relative performance. We find that the concern with relative performance leads agents to trade more similarly, a development that has two effects. First, similar trading directly decreases volatility. Second, similar trading decreases the impact of dominant agents. The second effect dominates the first when agents expect large differences between their final performances, and vice versa when agents expect small differences between their final performances. Compared with the case in which agents are unconcerned about relative performance, the stock return volatility is higher when the second effect dominates, and lower when the first effect dominates. This paper also demonstrates that the concern about relative performance influences investors' holdings, stock prices and risk premia. © 2013 Elsevier B.V. |
Persistent Identifier | http://hdl.handle.net/10722/213349 |
ISSN | 2023 Impact Factor: 3.6 2023 SCImago Journal Rankings: 1.663 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Huang, Shiyang | - |
dc.contributor.author | Qiu, Zhigang | - |
dc.contributor.author | Shang, Qi | - |
dc.contributor.author | Tang, Ke | - |
dc.date.accessioned | 2015-07-28T04:06:58Z | - |
dc.date.available | 2015-07-28T04:06:58Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Journal of Banking and Finance, 2013, v. 37, n. 11, p. 4107-4119 | - |
dc.identifier.issn | 0378-4266 | - |
dc.identifier.uri | http://hdl.handle.net/10722/213349 | - |
dc.description.abstract | We propose an equilibrium asset pricing model in which agents with heterogeneous beliefs care about relative performance. We find that the concern with relative performance leads agents to trade more similarly, a development that has two effects. First, similar trading directly decreases volatility. Second, similar trading decreases the impact of dominant agents. The second effect dominates the first when agents expect large differences between their final performances, and vice versa when agents expect small differences between their final performances. Compared with the case in which agents are unconcerned about relative performance, the stock return volatility is higher when the second effect dominates, and lower when the first effect dominates. This paper also demonstrates that the concern about relative performance influences investors' holdings, stock prices and risk premia. © 2013 Elsevier B.V. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Banking and Finance | - |
dc.subject | Heterogeneous beliefs | - |
dc.subject | Relative performance | - |
dc.subject | Asset pricing | - |
dc.subject | Fund managers | - |
dc.title | Asset pricing with heterogeneous beliefs and relative performance | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jbankfin.2013.07.018 | - |
dc.identifier.scopus | eid_2-s2.0-84882778714 | - |
dc.identifier.hkuros | 263262 | - |
dc.identifier.hkuros | 263264 | - |
dc.identifier.volume | 37 | - |
dc.identifier.issue | 11 | - |
dc.identifier.spage | 4107 | - |
dc.identifier.epage | 4119 | - |
dc.identifier.isi | WOS:000326212100008 | - |
dc.identifier.issnl | 0378-4266 | - |