Do Heterogeneous Beliefs Matter for Asset Pricing?
研究分析师对盈利预测的分歧是否影响股票收益，并检验其是否为传统资产定价模型中的定价因子。
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.