Heterogeneous Beliefs and Tests of Present Value Models
构建了一个具有持续性异质信念的动态资产定价模型，发现若计量经济学家错误假设同质信念，会观察到资产价格违反方差界限、超额收益可预测及跨方程约束被拒绝等现象。
This article 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 non-invertibility of the mapping between observed market data and the underlying shocks to agents' information sets. When these conditions are satisfied, agents remain asymmetrically informed in equilibrium and must ‘forecast the forecasts of others’. An econometrician, who incorrectly imposes a homogeneous beliefs equilibrium, will find that the asset price displays violations of variance bounds, predictability of excess returns, and rejections of cross-equation restrictions.