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SUMMARY:Pricing News and No News with Heterogeneous Beliefs
DTSTART:20260331T121500
DTEND:20260331T131500
DTSTAMP:20260501T024512Z
UID:3148dc73d761433c168ab26d2c6ee2ed6b1217972217688ff3a00625
CATEGORIES:Conferences - Seminars
DESCRIPTION:Brandon Yueyang Han - University of Maryland\nWe study a gene
 ral-equilibrium economy where a continuum of agents trade stocks and deriv
 atives under heterogeneous beliefs along two dimensions: news intensity an
 d content. When intensity disagreement dominates\, implied volatility appe
 ars persistent—quiet periods shift wealth toward calm-world believers\, 
 compressing risk-neutral tail probabilities and raising prices. When conte
 nt disagreement dominates\, volatility appears mean-reverting—news shift
  wealth between optimists and pessimists. The information structure of new
 s process matters for the persistence of intensity disagreement: in a Pois
 son limit\, intensity disagreement survives but is eliminated in a Brownia
 n limit. The framework endogenizes implied volatility smirk and U-shaped c
 ross-section of derivative positions across subjective return beliefs.\n 
LOCATION:UNIL\, Extranef\, room 126
STATUS:CONFIRMED
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