'Nobody is perfect': asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors

n this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with r
n this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with respect to long-run investor survival is that there are degrees of model misspecification on the part of one investor for which there is no compensation by the other investor's deficiency. The main finding with respect to the asset pricing properties of our model is that the two dimensions of asset pricing and survival are basically independent. In scenarios when the investors are more similar with respect to their expected consumption shares, return volatilities can nevertheless be higher than in cases when they are very different.
show moreshow less

Download full text files

Export metadata

  • Export Bibtex
  • Export RIS

Additional Services

    Share in Twitter Search Google Scholar
Metadaten
Author:Nicole Branger, Christian Schlag, Lue Wu
URN:urn:nbn:de:hebis:30:3-386381
URL:http://ssrn.com/abstract=2642274
DOI:http://dx.doi.org/10.2139/ssrn.2642274
Parent Title (German):SAFE working paper series ; No. 114
Series (Serial Number):SAFE working paper series (114)
Publisher:SAFE
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Date of Publication (online):2015/08/12
Date of first Publication:2015/08/12
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2015/12/08
Tag:Asset Allocation; Different Beliefs; General Equilibrium; Learning; Over-Confidence
Pagenumber:69
HeBIS PPN:368523179
Institutes:Wirtschaftswissenschaften
House of Finance (HoF)
Center for Financial Studies (CFS)
Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:G11 Portfolio Choice; Investment Decisions
G12 Asset Pricing; Trading volume; Bond Interest Rates
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

$Rev: 11761 $