[英语学习]Disagreement_ tastes_ and asset prices.pptVIP

: the market-clearing prices per unit of H : the market-clearing prices per unit of L So and * Let PH and PL denote the dollar payoffs on portfolios H and L at the end of the period, with expected values E(PH) and E(PL), standard deviations and , and correlation . so and * From E.q. A.3 and * So Solving (A.4) for Similar we can get * From (A.5) (A.6)，we can get Fig. A1 * Two patterns are clear in Fig. A1. : (1) the price effects of erroneous beliefs are larger with lower correlation between the payoffs on H and L. (2) the relation between expected returns and the amount of over- and underweighting forced on informed investors * There is a situation where overreaction and other behavioral biases can lead to an ICAPM, but one with irrational pricing. This happens when the biases produce expected return effects that are proportional to covariances of asset payoffs with state variables or common factors in returns. * 3. Tastes for assets We provide a simple analysis of how tastes for assets as consumption goods can affect asset prices. We consider two cases: * 3.1. Tastes for assets do not depend on returns group A: evaluate assets based solely on dollar payoffs and thus the access to overall consumption they provide Group D : investors do have such tastes: they get direct utility from their holdings of some assets, above and beyond the utility from general consumption that the payoffs on the assets provide. * Investors have tastes misinformed Investors haven’t tastes informed So we can express: Next is the same as disagreement. * There is one important respect in which price effects induced by tastes can differ from those due to disagreement. Tastes are exogenous, and there is no economic logic that say stastes for assets as consumption goods eventually disappear. But economic