| Author: | Levy, M. Levy, H. |
| Title: | The danger of assuming homogeneous expectations |
| Journal: | Financial Analysts' Journal
1996 : MAY/JUN, VOL. 52:3, p. 65-70 |
| Index terms: | PRICING MODELS ECONOMICS |
| Language: | eng |
| Abstract: | The capital asset pricing model, the Black-Scholes option valuation model, and many other economic models rely on the assumption of homogeneous expectations. What are the effects of heterogeneous expectations on price determination? Are the homogeneous expectations models "approximately" correct? The authors compare stock price dynamics in models with homogeneous and heterogeneous expectations. heterogeneous expectations appear to play a crucial role in risky asset price determination. |
SCIMA