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UID:d0016cb4c67093339406c8cae5ddc8cc
CATEGORIES:Seminars
CREATED:20190503T183908
SUMMARY:Christian Hellwig - Toulouse School of Economics
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:<p style="text-align: justify;"><strong>Dispersed Information and Asset Pri
 ces: Theory and Measurement</strong> joint with Elias Albagli and Aleh Tsyv
 inski</p><p>Abstract:</p><p style="text-align: justify;">We argue that nois
 y information aggregation of dispersed information, along the lines of Gros
 sman and Stiglitz (1980), Hellwig (1980), and Diamond and Verrecchia (1981)
 , provides a unified explanation for several empirical asset pricing phenom
 ena, including excess volatility, returns to skewness and forecast disagree
 ment in equity and bond markets. In contrast to most of the existing litera
 ture on noisy information aggregation, we do not impose any parametric rest
 rictions on preferences, information or return distributions, but instead o
 ffer a unified, general characterization of asset prices through the lens o
 f an information-adjusted risk-neutral measure, and show that this risk-neu
 tral measure displays excess weight on tail risks. We then calibrate the ma
 gnitude of information aggregation frictions using data on firms’ earnings 
 forecasts and show that the model replicates both qualitatively and quantit
 atively the observed returns to skewness and disagreement.</p>
DTSTAMP:20260404T124317Z
DTSTART:20191028T163000Z
DTEND:20191028T180000Z
SEQUENCE:0
TRANSP:OPAQUE
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