Journal article
Dispersion of Beliefs Bounds: Sentimental Recovery
Management science, Vol.70(12), pp.8284-8300
12/01/2024
DOI: 10.1287/mnsc.2022.01587
Abstract
We present a nonparametric method to recover a bound on ex ante dispersion of beliefs (DBB) from asset prices with minimal assumptions. DBB constrains the dispersion among all possible distributions in an economy, consistent with observed prices and subject to a good -deal bound. In model -based economies, DBB effectively tracks belief heterogeneity and serves as a diagnostic tool for evaluating model calibrations. Empirically, DBB relates to common proxies of belief dispersion, offering a real-time, market -implied disagreement measure. Our versatile approach applies to both complete and incomplete markets represented by any asset class.
Details
- Title: Subtitle
- Dispersion of Beliefs Bounds: Sentimental Recovery
- Creators
- Altan Pazarbasi - Bilkent UniversityPaul Schneider - Università della Svizzera italianaGrigory Vilkov - Frankfurt School of Finance & Management
- Resource Type
- Journal article
- Publication Details
- Management science, Vol.70(12), pp.8284-8300
- DOI
- 10.1287/mnsc.2022.01587
- ISSN
- 0025-1909
- eISSN
- 1526-5501
- Publisher
- Informs
- Number of pages
- 18
- Language
- English
- Date published
- 12/01/2024
- Academic Unit
- Finance
- Record Identifier
- 9984963151402771
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