Do Heterogeneous Beliefs Matter for Asset Pricing?
Author InfoEvan W. Anderson Eric Ghysels Jennifer L. Juergens Abstract We study how heterogeneous beliefs affect returns and examine whether they are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected earnings (short-term and long-term) and show they are good proxies. We first establish that the heterogeneity of beliefs matters for asset pricing and then turn our attention to estimating a structural model in which we use the forecasts of financial analysts to proxy for agents’ beliefs. Finally, we investigate whether the amount of heterogeneity in analysts’ forecasts can help explain asset pricing puzzles. Copyright 2005, Oxford University Press. Download InfoTo download: If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further probl
