Disagreement, Tastes, and Asset Prices
Eugene F. Fama
University of Chicago - Finance
Kenneth R. French
Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)
CRSP Working Paper No. 552
Tuck Business School Working Paper No. 2004-03
Standard asset pricing models assume that (i) there is complete agreement among investors about probability distributions of future payoffs on assets, and (ii) investors choose asset holdings based solely on anticipated payoffs; that is, investment assets are not also consumption goods. Both assumptions are unrealistic. We provide a simple framework for studying how disagreement and tastes for assets as consumption goods can affect asset prices.
Number of Pages in PDF File: 35working papers series
Date posted: November 17, 2005
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