期刊
JOURNAL OF FINANCE
卷 71, 期 5, 页码 2095-2144出版社
WILEY-BLACKWELL
DOI: 10.1111/jofi.12431
关键词
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资金
- National Science Foundation [SES-0850404]
- European Research Council [FP7/2007-2013 - 249429]
The risk and return trade-off, the cornerstone of modern asset pricing theory, is often of the wrong sign. Our explanation is that high-beta assets are prone to speculative overpricing. When investors disagree about the stock market's prospects, high-beta assets are more sensitive to this aggregate disagreement, experience greater divergence of opinion about their payoffs, and are overpriced due to short-sales constraints. When aggregate disagreement is low, the Security Market Line is upward-sloping due to risk-sharing. When it is high, expected returns can actually decrease with beta. We confirm our theory using a measure of disagreement about stock market earnings.
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