scholarly journals Can Charitable Appeals Identify and Exploit Belief Heterogeneity?

2021 ◽  
Author(s):  
Michalis Drouvelis ◽  
Benjamin Marx
Keyword(s):  
Belief Heterogeneity

scholarly journals New evidence on the effect of belief heterogeneity on stock returns

2016 ◽  
Vol 48 (2) ◽  
pp. 289-309 ◽  
Author(s):  
Jeffrey Hobbs ◽  
Hei Wai Lee ◽  
Vivek Singh
Keyword(s):  
Stock Returns ◽  
Belief Heterogeneity ◽  
New Evidence

scholarly journals Speculation, Sentiment, and Interest Rates

2021 ◽  
Author(s):  
Andrea Buraschi ◽  
Paul Whelan
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
Yield Curve ◽  
Significant Risk ◽  
Test Model ◽  
Bond Markets ◽  
Bond Risk Premia ◽  
Belief Heterogeneity ◽  
Bond Risk ◽  
Risk Free Rate

We compare the implications of speculation versus hedging channels for bond markets in heterogeneous agents’ economies. Treasuries command a significant risk premium when optimistic agents speculate by leveraging their positions using bonds. Disagreement drives a wedge between marginal agent versus econometrician beliefs (sentiment). When speculative demands dominate, the interaction between belief heterogeneity and sentiment helps rationalize several puzzling characteristics of Treasury markets. Empirically, we test model predictions and find that larger disagreement (i) lowers the risk-free rate, (ii) raises the slope of the yield curve, and (iii) with positive sentiment increases bond risk premia and makes its dynamics countercyclical. This paper was accepted by Karl Diether, finance.

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