Heterogeneous Beliefs, Speculation, and the Equity Premium
研究投资者对经济增长的信念不同时，他们如何通过投机影响股权溢价。模型显示，风险厌恶程度较低的投资者投机更激进，要求更高风险溢价，并解释了约一半的股权溢价。
ABSTRACT Agents with heterogeneous beliefs about fundamental growth do not share risks perfectly but instead speculate with each other on the relative accuracy of their models' predictions. They face the risk that market prices move more in line with the trading models of competing agents than with their own. Less risk‐averse agents speculate more aggressively and demand higher risk premiums. My calibrated model generates countercyclical consumption volatility, earnings forecast dispersion, and cross‐sectional consumption dispersion. With a risk aversion coefficient less than one, agents' speculation causes half the observed equity premium and lowers the riskless rate by about 1%.