A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk

By Suleyman Basak. 2000

235 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9dcfe1b49eea6845da90747502413c1caf8a8c70

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Citations in the corpus

Time-varying beta: a boundedly rational equilibrium approach (2010, background): “6 See, for example, Lintner (1969), Williams (1977), Huang and Litzenberger (1988), Detemple and Murthy (1994), Zapatero (1998), Basak (2000 ) a nd Abel (2002).”
Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs (2007, background): “In Basak and Cuoco (1998), the authors consider a two-agent equilibrium model with restricted market participation.”
Asset Prices with Heterogeneity in Preferences and Beliefs (2014, unknown): “5Examples of papers using such models of incomplete information include Basak (2000), Beber, Buraschi, and Breedon (2009), Berrada (2006), Borovička (2012), Buraschi and Jiltsov (2006), Buraschi, Trojani, and Vedolin (2009, 2010), Cecchetti, Lam, and Mark (2000), David (2008), David and Veronesi…”
An Examination of Heterogeneous Beliefs With a Short-Sale Constraint in a Dynamic Economy (2008, unknown): “See for example Basak and Cuoco (1998); Basak (2000); Detemple and Serrat (2003); Basak and Gallmeyer (2003).”
Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006, background): “…Murthy (1994) and Zapatero (1998), who explore the implications of differences in beliefs on financial innovations and interest rate volatility, and Basak (2000), who investigates the existence of a sunspot equilibrium in which an extraneous process that is uncorrelated with market fundamentals…”
A Two-Person Dynamic Equilibrium under Ambiguity (2003, background): “The reader is referred to Chen and Epstein (2002) for further details and for justiHcation for asserted interpretations.”
Do Heterogeneous Beliefs Matter for Asset Pricing (2005, background): “Equations similar to (5) have been studied by Detemple and Murthy (1994), Basak (2000) and Shefrin (2001) and tells us that security prices are a weighted average, across agents, of the security prices that would obtain when all agents are identical.”
Equilibrium Mispricing in a Capital Market with Portfolio Constraints (2000, methodology): “In an unconstrained, heterogeneous beliefs economy [and under no mispricing (a,a)], agents’ individual-specific price parameters differ only due to heterogeneity in beliefs [θ (t) − θ (t) = μ̄(t)] and accordingly the dynamics of λ are obtained directly [Equation (35)] in terms of the disagreement pr”
Heterogeneous Expectations and Bond Markets (2010, methodology): “Wei Xiong Princeton University Department of Economics Bendheim Center for Finance Princeton, NJ 08450 and NBER wxiong@princeton.edu Hongjun Yan Yale School of Management 135 Prospect Street Box 208200 New Haven, CT 06520-8200 hongjun.yan@yale.edu”
Heterogeneous Beliefs, Speculation, and the Equity Premium (2008, methodology): “More directly, my analysis extends the analysis of continuous time models of heterogeneous beliefs (Detemple and Murthy 1994, Zapatero 1998, Basak 2000, Basak and Croitoru 2000, Buraschi and Jiltsov 2002) to the case of recurrent jumps in the underlying drift of diffusion process.”
Differences of Opinion of Public Information and Speculative Trading in Stocks and Options (2009, background): “…differences of opinion to generate trades include Harrison and Kreps (1978), DeTemple and Murphy (1994), Kraus and Smith (1996), Morris (1996), Basak (2000), Zapatero (1998), Duffie, Garleanu, and Pederson (2002), Kyle and Lin (2002), Buraschi and Jiltsov (2003), David (2003), Hong and Stein…”
Learning from Prices and the Dispersion in Beliefs (2011, background): “, Detemple and Murthy (1994), Zapatero (1998), Basak (2000), and Buraschi and Jiltsov (2006)).”
Asset Prices and Exchange Rates (2007, unknown): “The description of the setting is intendedly dense, and we refer the reader to Basak (2000) for more detail.”
Learning in Financial Markets (2009, background): “…Admati and Pfleiderer (1988), Wang (1993)), hedging (e.g., Wang (1994)), different prior beliefs (e.g., Detemple and Murthy (1994), Zapatero (1998), Basak (2000), Buraschi and Jiltsov (2006)) or different interpretation of common signals (e.g., Harrison and Kreps (1978), Harris and Raviv (1993),…”