The Role of Diverse Beliefs in Asset Pricing and Equity Premia

Abstract

by Mordecai Kurz and Maurizio Motolese A very preliminary draft: February 2, 2010 Summary: Why do risk premia vary over time? We examine this problem theoretically and empirically by studying the effect of market belief on risk premia. Individual belief is taken as a fundamental, primitive, state variable. Market belief which is the distribution of… (More)

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