Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy
构建了一个连续时间一般均衡模型，分析异质信念如何通过凸调整成本影响金融市场与生产互动，解释了产出和股价的波动性、偏度、峰度等实证规律。
I develop a continuous-time general equilibrium model with a continuum of states of the world and a continuum of agents endowed with heterogeneous beliefs. The model permits to analyze the interactions between financial markets and production. There is a single firm that faces convex adjustment costs and maximizes its terminal value. Equivalently, the firm uses decreasing returns to scale risk-return technology. The model is tractable and matches many of the empirical regularities in aggregate output and stock prices, such as a financial volatility that is higher than the macroeconomic volatility, skewness, kurtosis, short-term momentum, and volatility risk premium during recessions. All these aspects disappear when one assumes beliefs homogeneity or constant returns to scale. In particular, the impact of beliefs heterogeneity observed in endowment economies does not pertain when introducing production unless one assumes decreasing returns to scale in the risk-return technology. This paper was accepted by David Sraer, finance. Supplemental Material: The online appendix is available at https://doi.org/10.1287/mnsc.2022.4495 .