Earticle

초록

영어

This paper empirically finds that dispersion of beliefs about the business cycle matters in asset pricing. We construct dispersion of beliefs as the log of cross-sectional dispersion of real GDP forecasts. This measure positively predicts macroeconomic volatility and the investment opportunity set, and lowers down asset prices. In the cross-section, we show that macroeconomic uncertainty is negatively priced. Additionally, the portfolio sorting approach yields 5.2% of the return spread annually, and in turn reveals that stocks less correlated with dispersion of beliefs earns higher returns. Overall evidence highlights the importance of the uncertainty underlying the fluctuation of the economy in asset pricing.

목차

ABSTRACT
 I. Introduction
 II. Dispersion of beliefs
  A. Dispersion of beliefs measure
  B. Interpretation of dispersion of beliefs
  C. Summary statistics
 III. Predictive ability for investment opportunity set
 IV. Cross-sectional evidence
  A. Cross-sectional regression results
  B. Portfolio sorting approach results
  C. Double-sorted portfolio results
  D. Factor pricing
 V. Conclusion
 References
 Table
 Figure

키워드

저자

• Deok Hyeon Lee [ Ph.D. candidate, School of Management Engineering, Korea Advanced Institute of Science and Technology ]
• Tong Suk Kim [ Professor, School of Management Engineering, Korea Advanced Institute of Science and Technology ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330