Disagreement and asset prices
意见分歧与资产价格AI 解读 ↓
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分类依据与纠错
AI 根据所提供的论文材料归类：摘要直接研究意见分歧对应的资产风险溢价及抵押贷款支持证券收益波动。
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意见分歧与资产价格
- 研究问题
- 投资者对提前偿付速度的意见分歧，如何关联抵押贷款支持证券的预期收益、收益波动和交易量，是否体现分歧风险溢价？
- 方法与思路
- 作者利用可直接衡量华尔街抵押贷款交易商意见分歧的数据，考察其动态及市场关联，并比较信息进入价格的两种假说。
- 材料陈述的贡献
- 摘要报告分歧与更高预期收益、波动和交易量相关，并据此解释为正风险溢价；信念更新证据支持理性预期机制。
- 阅读关注点
- 应核对分歧指标和预期收益的测量，区分分歧与一般不确定性，并检查风险溢价及信息更新机制的经验判别依据。
- 阅读边界
- 摘要未说明因果识别、控制变量或效应幅度；相关关系和作者的机制解释不能单独确立分歧对价格的因果作用。
原文摘要
How do differences of opinion affect asset prices? Do investors earn a risk premium when disagreement arises in the market? Despite their fundamental importance, these questions are among the most controversial issues in finance. In this paper, we use a novel data set that allows us to directly measure the level of disagreement among Wall Street mortgage dealers about prepayment speeds. We examine how disagreement evolves over time and study its effects on expected returns, return volatility, and trading volume in the mortgage-backed security market. We find that increased disagreement is associated with higher expected returns, higher return volatility, and larger trading volume. These results imply that there is a positive risk premium for disagreement in asset prices. We also show that volatility in and of itself does not lead to higher trading volume. Instead, only when disagreement arises in the market is higher uncertainty associated with more trading. Finally, we are able to distinguish empirically between two competing hypotheses regarding how information in markets gets incorporated into asset prices. We find that sophisticated investors appear to update their beliefs through a rational expectations mechanism when disagreement arises.