Asset price dynamics with heterogeneous beliefs ?

@inproceedings{Beaumont2007AssetPD,
  title={Asset price dynamics with heterogeneous beliefs ?},
  author={Paul M. Beaumont and A. J. Culham and Alec N. Kercheval},
  year={2007}
}
We examine market dynamics in a Lucas-style, asset-pricing model with heterogeneous traders who know the distribution of dividends but not the private information of other traders. Agents optimize a CRRA utility function while learning about aggregate states in order to better estimate the equilibrium pricing function. Our goal is to determine whether and… CONTINUE READING