Pricing News and No News with Heterogeneous Beliefs
Event details
| Date | 31.03.2026 |
| Hour | 12:15 › 13:15 |
| Speaker | Brandon Yueyang Han - University of Maryland |
| Location |
UNIL, Extranef, room 126
|
| Category | Conferences - Seminars |
| Event Language | English |
We study a general-equilibrium economy where a continuum of agents trade stocks and derivatives under heterogeneous beliefs along two dimensions: news intensity and content. When intensity disagreement dominates, implied volatility appears persistent—quiet periods shift wealth toward calm-world believers, compressing risk-neutral tail probabilities and raising prices. When content disagreement dominates, volatility appears mean-reverting—news shift wealth between optimists and pessimists. The information structure of news process matters for the persistence of intensity disagreement: in a Poisson limit, intensity disagreement survives but is eliminated in a Brownian limit. The framework endogenizes implied volatility smirk and U-shaped cross-section of derivative positions across subjective return beliefs.
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