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Identifier to cite or link to this item: https://doi.org/10.15057/19220
Identifier to cite or link to this item: https://hdl.handle.net/10086/19220

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Title
A Model of Equity Prices with Heterogeneous Beliefs
Creator
Creator Name
Suzuki, Masataka Suzuki, Masataka
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
Heterogeneous Beliefs
Equity Prices
Excess Volatility
Momentum Effect
Meanreverting Effect
JEL
G11
G12
Abstract
This paper analyzes the effect of interaction among heterogeneous investors on equity prices. We classify investors into three groups according to their information sets and beliefs: informed investors, trend followers, and contrarians. Then, the equity price is derived through the market clearing condition. Our model explains many anomalous phenomena in the equity markets, including excess volatility, the momentum effect, and the mean-reverting effect. Further, the empirical analysis shows that the difference in returns behavior between small- and large-cap equities in the U.S. market can be explained by differences in the composition of investors.
Publisher
Hitotsubashi University
Issued Date
2011-06
Language
English(eng)
Resource Type
departmental bulletin paper
Version Type
VoR
selfDOI
10.15057/19220
ISSN
0018-280x
NCID
AA00207547
Source Title
Hitotsubashi Journal of Economics
Volume Number
52
Issue Number
1
Page Start
41
Page End
54
Appears in Collections
Vol. 52, no. 1 (Jun. 2011)
URL
https://hdl.handle.net/10086/19220