Disagreement and Asset Prices

  title={Disagreement and Asset Prices},
  author={Bruce I. Carlin Francis A. Longstaff Kyle Matoba},
  • Bruce I. Carlin Francis A. Longstaff Kyle Matoba
  • Published 2012
How do differences of opinion affect asset prices? Do investors earn a risk premium when disagreement arises in the market? Despite their fundamental importance, these questions are among the most controversial issues in finance. In this paper, we use a novel data set that allows us to directly measure the level of disagreement among Wall Street mortgage dealers about prepayment speeds. We examine how disagreement evolves over time and study its effects on expected returns, return volatility… CONTINUE READING
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