재무연구 제 권 호 (2014년 5월)
Asian Review of Financial Research, Vol., No..
pp.710~737
pp.710~737
Dispersion of beliefs, Macroeconomic uncertainty, and the Cross-section of stock returns
Deok Hyeon Lee Ph.D. candidate, School of Management Engineering, Korea Advanced Institute of Science and Technology
Tong Suk Kim Professor, School of Management Engineering, Korea Advanced Institute of Science and Technology
This paper empirically finds that dispersion of beliefs about the business cycle matters in asset pricing. We construct dispersion of beliefs as the log of cross-sectional dispersion of real GDP forecasts. This measure positively predicts macroeconomic volatility and the investment opportunity set, and lowers down asset prices. In the cross-section, we show that macroeconomic uncertainty is negatively priced. Additionally, the portfolio sorting approach yields 5.2% of the return spread annually, and in turn reveals that stocks less correlated with dispersion of beliefs earns higher returns. Overall evidence highlights the importance of the uncertainty underlying the fluctuation of the economy in asset pricing.
Deok Hyeon Lee
Tong Suk Kim
This paper empirically finds that dispersion of beliefs about the business cycle matters in asset pricing. We construct dispersion of beliefs as the log of cross-sectional dispersion of real GDP forecasts. This measure positively predicts macroeconomic volatility and the investment opportunity set, and lowers down asset prices. In the cross-section, we show that macroeconomic uncertainty is negatively priced. Additionally, the portfolio sorting approach yields 5.2% of the return spread annually, and in turn reveals that stocks less correlated with dispersion of beliefs earns higher returns. Overall evidence highlights the importance of the uncertainty underlying the fluctuation of the economy in asset pricing.
Dispersion of beliefs,Model Uncertainty,Macroeconomic Uncertainty,Asset Pricing,Crosssectional stock returns
