Show simple item record Kasa, Kenneth Walker, Todd B. Whiteman, Charles H. 2006-10-13T17:36:59Z 2006-10-13T17:36:59Z 2006-10-13T17:36:59Z
dc.identifier.uri en
dc.identifier.uri en
dc.description.abstract This paper develops a dynamic asset pricing model with persistent heterogeneous beliefs. The model features competitive traders who receive idiosyncratic signals about an underlying fundamentals process. We adapt Futia’s (1981) frequency domain methods to derive conditions on the fundamentals that guarantee noninvertibility of the mapping between observed market data and the underlying shocks to agents’ information sets. When these conditions are satisfied, agents must ‘forecast the forecasts of others’. The paper provides an explicit analytical characterization of the resulting higher-order belief dynamics. These additional dynamics can explain apparent violations of variance bounds and rejections of cross-equation restrictions. en
dc.format.extent 296970 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US en
dc.relation.ispartofseries CAEPR Working Paper en
dc.relation.ispartofseries 2006-010 en
dc.relation.isversionof This paper can also be found on SSRN. en
dc.relation.isversionof This paper can also be found on RePEc. en
dc.subject CAEPR en
dc.subject Center for Applied Economics and Policy Research en
dc.subject Asymmetric Information en
dc.subject Blaschke Factors en
dc.title Asset Prices in a Time Series Model with Perpetually Disparately Informed, Competitive Traders en
dc.type Working Paper en

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