Speculative Behavior and Heterogeneous Expectations: Theory and Evidence

Preprint OPEN
Cheolbeom Park;
(2002)
  • Subject: Speculative behavior, Heterogeneous expectations, Volatility test, Predictability of the dispersion in expectations
    • jel: jel:G12 | jel:G10 | jel:E44

This paper demonstrates that the optimal willingness to pay for a stock is the payoff from holding the stock for one period when investors have different expectations, and that the willingness to pay can be represented as the sum of the expected present value of future ... View more
  • References (2)

    The sample contains yearly observations from 1871 to 1999. h is yearly horizon.

    Q1 = E( Pt*hW−t Pt ) 2 , Q2 = E( t Wt ) , Q3 = E( Pt W−tPt )2 , qth = Q1 − (Q2 + Q3 ) and 0 P*h − Pt 2 0

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