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Information Aggregation with Asymmetric Asset Payoffs

Aleh Tsyvinski - ; Elias Albagli - ; Christian Wellwig - ;

We study noisy aggregation of dispersed information in financial markets without imposing parametric restrictions on preferences, information, and return distributions. We provide a general characterization of asset returns by means of a risk-neutral probability measure that features excess weight on tail risks. Moreover, we link excess weight on tail risks to observable moments such as forecast dispersion and accuracy, and argue that it provides a unified explanation for several prominent cross-sectional return anomalies. Simple calibrations suggest the model can account for a significant fraction of empirical returns to skewness, returns to disagreement, and interaction effects between the two.


Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir (Koleksi Majalah)1
PenerbitUSA: The American Finance Association 2024
EdisiVolume 79, Issue 4, August 2024, Pages 2715-2758
SubjekFinancial markets
Asset prices
Information Aggregation
Asymmetric Asset Payoffs
ISBN/ISSN1540-6261
KlasifikasiNONE
Deskripsi Fisikill, chart, table, grafik, 508 hal, 20 cm
Info Detail SpesifikThe Journal of Finance
Other Version/RelatedTidak tersedia versi lain
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