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The Effects of Heterogeneous Beliefs on a Risky Asset's Price and Trading Volume

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Authors
Cho, Jaeho
Issue Date
1992
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 5 (No. 2 1992): 113_125
Keywords
trade generating process; Arrow-Debreu sense; Blume and Friend
Abstract
This paper examines the effects of different opinions among investors on a risky asset's price and trading volume in a two-period, two-person general equilibrium setting. A comparative static analysis predicts the following: Assuming that investors differ only in subjective probability beliefs about future security payoffs, an increased dispersion of beliefs will decrease the asset price and increase the trading volume in the empirically plausible range of the relative risk aversion coefficient.
Language
English
URI
http://hdl.handle.net/10371/948
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.05(2) (Summer 1992)
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