Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

被引：192
作者：
Dumas, Bernard [1 ]
Kurshev, Alexander [2 ]
Uppal, Raman [2 ]
机构：
[1] Univ Lausanne, Swiss Finance Inst, NBER, CH-1015 Lausanne, Switzerland
[2] London Business Sch, London, England
来源：
JOURNAL OF FINANCE | 2009年 / 64卷 / 02期
关键词：
STOCK-PRICE VOLATILITY; ASSET PRICES; HABIT FORMATION; LONG-RUN; CONSUMPTION; MARKET; MODEL; PREDICTABILITY; OVERREACTION; EXPECTATIONS;
D O I：
10.1111/j.1540-6261.2009.01444.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Our objective is to identify the trading strategy that would allow an investor to take advantage of "excessive" stock price volatility and "sentiment" fluctuations. We construct a general equilibrium "difference-of-opinion" model of sentiment in which there are two classes of agents, one of which is overconfident about a public signal, while still optimizing intertemporally. Overconfident investors overreact to the signal and introduce an additional risk factor causing stock prices to be excessively volatile. Consequently, rational investors choose a conservative portfolio; moreover, this portfolio depends not just on the current price divergence but also on their prediction about future sentiment and the speed of price convergence.
引用
收藏
页码：579 / 629
页数：51
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