Belief Dispersion in the Stock Market
构建了一个包含连续异质信念投资者的动态模型，研究信念分散如何影响股价、平均收益、波动率和交易量，发现股价对现金流消息呈凸性且随信念分散上升，而平均收益在乐观时下降、悲观时上升。
ABSTRACT We develop a dynamic model of belief dispersion with a continuum of investors differing in beliefs. The model is tractable and qualitatively matches many of the empirical regularities in a stock price and its mean return, volatility, and trading volume. We find that the stock price is convex in cash‐flow news and increases in belief dispersion, while its mean return decreases when the view on the stock is optimistic, and vice versa when pessimistic. Moreover, belief dispersion leads to higher stock volatility and trading volume. We demonstrate that otherwise identical two‐investor heterogeneous‐beliefs economies do not necessarily generate our main results.