JFQ volume 26 issue 3 Cover and Front matter
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JFQ volume 26 issue 1 Cover and Front matter
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JFQA Volume 26 Index
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JFQ volume 26 issue 2 Cover and Front matter
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JFQ volume 26 issue 4 Cover and Front matter
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JFQ volume 26 issue 3 Cover and Back matter
expects to have a position for a new faculty member beginning in the 1992-93 academic year. First priority is given to
JFQ volume 26 issue 2 Cover and Back matter
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JFQ volume 26 issue 4 Cover and Back matter
A comprehensive and precise exposition of the theory and the main applied topics, plus challenging exercises conveying the key ideas from wide literature.
JFQ volume 26 issue 1 Cover and Back matter
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Equilibrium Factor Pricing with Heterogeneous Beliefs
This paper develops an equilibrium factor pricing theory when investors have heterogeneous beliefs about asset payoffs generated by the Ross linear factor model. Investors receive private information about the unknown parameters of the payoff process. They use this private information and equilibrium prices to predict asset payoffs. The paper develops a closed form price function for a noisy rational expectations equilibrium and relates it to the general solution. Even though we allow for a large number of investors, diversity of beliefs and parameter uncertainty both persist in equilibrium. We show that investors' beliefs about expected payoffs are approximately linear in the asset's betas, thus establishing the APT. As investors prefer to hold high information assets in equilibrium, the relative weight of these assets in the APT pricing bound is higher. The reverse is true for low information assets.