Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles
研究两个投资者对商业周期长度存在分歧和不确定性时的资产定价，发现学习周期持续性导致股票回报波动率高且持久，分歧波动产生风险溢价，风险回报关系取决于分歧的方向和大小。
We study an economy with incomplete information in which two agents are uncertain and disagree about the length of business cycles. That is, the agents do not question whether the economy is growing or not, but instead continuously estimate how long economic cycles will last—i.e., they learn about the persistence of fundamentals. Learning about persistence generates high and persistent stock return volatility mostly during recessions, but also (to a smaller extent) during economic booms. Disagreement among agents fluctuates and earns a risk premium. A clear risk–return trade-off appears only when conditioning on the sign and magnitude of disagreement. We confirm these predictions empirically. This paper was accepted by Neng Wang, finance.