Affine Disagreement and Asset Pricing

摘要

We present an affine heterogeneous beliefs framework, where agents may disagree about the growth rates, dynamics of volatility, jump intensities, or jump size distributions of fundamentals. The flexibility of this tractable framework allows us to study various types of disagreements and their impacts on asset prices. One example we consider is when agents disagree about the frequency of disasters as well as the distribution of consumption losses in a given disaster. The model generates endogenous time variation in the equity premium, linking it to the wealth distribution among agents with different beliefs.