@inproceedings{b419625e69224779837275591afbfb74,
title = "Extraneous risk, heterogeneous beliefs and the equity premium with jump-diffusion uncertainty",
abstract = "We think stock price is decided not only by fundamental uncertainty but also by market nonfundamental (extraneous) uncertainty. Extraneous risk arises from agents heterogeneous beliefs about extraneous uncertainty. We provide a dynamic equilibrium model in the continuous-time pure-exchange economy where extraneous uncertainty is modeled by Poisson processes. We find that the stock's market volatility is correlated with the dispersion of disagreement about extraneous jump risk and expected returns can also be explaned by heterogeneous beliefs about extraneous jump risk too.",
keywords = "Asset pricing, Extraneous risk, Heterogeneous beliefs, Jump",
author = "Huawei Yang and Liyan Han",
year = "2010",
doi = "10.1109/ICISE.2010.5690667",
language = "英语",
isbn = "9781424480968",
series = "2nd International Conference on Information Science and Engineering, ICISE2010 - Proceedings",
pages = "6619--6622",
booktitle = "2nd International Conference on Information Science and Engineering, ICISE2010 - Proceedings",
note = "2nd International Conference on Information Science and Engineering, ICISE2010 ; Conference date: 04-12-2010 Through 06-12-2010",
}