Equilibrium Factor Pricing with Heterogeneous Beliefs
在投资者对资产收益有不同信念的设定下，推导出均衡因子定价模型，证明套利定价理论成立，并发现高信息资产在定价中权重更高。
This paper develops an equilibrium factor pricing theory when investors have heterogene? ous beliefs about asset payoffs generated by the Ross linear factor model. Investors receive private information about the unknown parameters of the payoff process. They use this private information and equilibrium prices to predict asset payoffs. The paper de? velops a closed form price function for a noisy rational expectations equilibrium and relates it to the general solution. Even though we allow for a large number of investors, diversity of beliefs and parameter uncertainty both persist in equilibrium. We show that investors' beliefs about expected payoffs are approximately linear in the asset's betas, thus establishing the APT. As investors prefer to hold high information assets in equilib? rium, the relative weight of these assets in the APT pricing bound is higher. The reverse is true for low information assets.