An Intertemporal Capital Asset Pricing Model Under Heterogeneous Beliefs 英文资料.pdfVIP

J ECOBUSN 317 1986; 38:317-330 An Intertemporal Capital Asset Pricing Model Under Heterogeneous Beliefs Son-Nan Chen An intertemporal CAPM under heterogeneous beliefs is derived. It is shown that an assets risk consists of three components: the market consensus of volatility risk, the market consensus of the risk induced by changes in the investment opportunity set, and risk associated with uncertain shifts in investors subjective expectations. The multiperiod market price of risk with heterogeneous beliefs defines a new structure of market risk that captures contemporaneous changes in investors subjective expectations and the dynamics of the investment opportunity set. The investors demand for risky assets also is examined under heterogeneous belief. In addition, the model derived provides a generalized version of other CAPMs, such as the classical CAPM, Mertons intertemporal CAPM, and Bredeens consumption-based CAPM. I. Introduction The Sharpe-Linmer capital asset pricing model (CAPM) was derived with a strong assumption that parameters of assets return distributions as perceived by investors are homogeneous. In other words, the means, variances, and covariances of returns on risky assets are perceived to be identical by investors. This assumption is unrealistic because one does not observe that investors assessments of parameters of assets return distributions are homogeneous across investors. In fact,