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DTSTART;TZID=America/New_York:20190227T143000
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DTSTAMP:20240514T182606Z
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SUMMARY:Sentiment and Speculation in a Market with Heterogeneous Beliefs
DESCRIPTION:Speaker: Ian Martin (LSE) \nTitle: Sentiment and Speculation in a Market with Heterogeneous Beliefs \nAbstract: We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion\, but agents who were correct in hindsight become relatively wealthy; their beliefs are overrepresented in market sentiment\, so “the market” is bullish following good news and bearish following bad news. Extreme states are far more important than in a homogeneous economy. Investors understand that sentiment drives volatility up\, and demand high risk premia in compensation. Moderate investors supply liquidity: they trade against market sentiment in the hope of capturing a variance risk premium created by the presence of extremists. [Joint work with Dimitris Papadimitriou] \n  \n 
URL:https://cmsa.fas.harvard.edu/event/2-27-2019-colloquium/
LOCATION:CMSA\, 20 Garden Street\, Cambridge\, MA\, 02138\, United States
CATEGORIES:Colloquium
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