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UID:d0016cb4c67093339406c8cae5ddc8cc
CATEGORIES:Seminars
CREATED:20190503T183908
SUMMARY:Christian Hellwig - Toulouse School of Economics
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Dispersed Information and Asset Prices: Theory and Measurement joint with E
 lias Albagli and Aleh Tsyvinski\n\n\nAbstract:\nWe argue that noisy informa
 tion aggregation of dispersed information, along the lines of Grossman and 
 Stiglitz (1980), Hellwig (1980), and Diamond and Verrecchia (1981), provide
 s a unified explanation for several empirical asset pricing phenomena, incl
 uding excess volatility, returns to skewness and forecast disagreement in e
 quity and bond markets. In contrast to most of the existing literature on n
 oisy information aggregation, we do not impose any parametric restrictions 
 on preferences, information or return distributions, but instead offer a un
 ified, general characterization of asset prices through the lens of an info
 rmation-adjusted risk-neutral measure, and show that this risk-neutral meas
 ure displays excess weight on tail risks. We then calibrate the magnitude o
 f information aggregation frictions using data on firms’ earnings forecasts
  and show that the model replicates both qualitatively and quantitatively t
 he observed returns to skewness and disagreement.\n
DTSTAMP:20260404T124211Z
DTSTART:20191028T163000Z
DTEND:20191028T180000Z
SEQUENCE:0
TRANSP:OPAQUE
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