• Media type: E-Book
  • Title: Sentimental recovery
  • Contributor: Pazarbasi, Altan [Author]; Schneider, Paul [Author]; Vilkov, Grigory [Author]
  • Published: Geneva: Swiss Finance Institute, 2019
  • Published in: Swiss Finance Institute: Research paper series ; 2019,57
  • Issue: This version: November 29, 2019
  • Extent: 1 Online-Ressource (circa 41 Seiten); Illustrationen
  • Language: English
  • DOI: 10.2139/ssrn.3478587
  • Identifier:
  • Keywords: Recovery ; sentiment ; market views ; agent heterogeneity ; volatility trading ; market spanning ; disagreement ; beliefs ; Graue Literatur
  • Origination:
  • Footnote:
  • Description: We investigate the market-compatible degree of agent heterogeneity by identifying and analyzing the full range of conditional beliefs consistent with observed asset prices and good-deal bounds. Our methodology neither makes assumptions on underlying processes nor does it use survey data. It can be used in any arbitrage-free market. We apply it to S&P500 and VIX derivatives, both jointly and separately. Recovered dispersion of beliefs crucially depends on the degree of market incompleteness and maximally allowed Sharpe ratios; it is related to trading activity and measures of risk in financial markets, as well as professional macroeconomic survey dispersion
  • Access State: Open Access