同意分歧:异质性还是不确定性?

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2018-08-03 DOI:10.2139/ssrn.2826625

Saskia ter Ellen, W. F. Verschoor, Remco C. J. Zwinkels

{"title":"同意分歧:异质性还是不确定性?","authors":"Saskia ter Ellen, W. F. Verschoor, Remco C. J. Zwinkels","doi":"10.2139/ssrn.2826625","DOIUrl":null,"url":null,"abstract":"Disagreement is used as a measure of both investor heterogeneity and uncertainty. We study whether disagreement captures heterogeneity or uncertainty for the foreign exchange market. We do so by relating disagreement to alternative measures of uncertainty, as well as by taking advantage of the different asset pricing implications of the two concepts. We find that whereas disagreement measures uncertainty conditionally, unconditionally this is only true during the peak of the global financial crisis.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Agreeing on Disagreement: Heterogeneity or Uncertainty?\",\"authors\":\"Saskia ter Ellen, W. F. Verschoor, Remco C. J. Zwinkels\",\"doi\":\"10.2139/ssrn.2826625\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Disagreement is used as a measure of both investor heterogeneity and uncertainty. We study whether disagreement captures heterogeneity or uncertainty for the foreign exchange market. We do so by relating disagreement to alternative measures of uncertainty, as well as by taking advantage of the different asset pricing implications of the two concepts. We find that whereas disagreement measures uncertainty conditionally, unconditionally this is only true during the peak of the global financial crisis.\",\"PeriodicalId\":413816,\"journal\":{\"name\":\"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal\",\"volume\":\"5 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-08-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2826625\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2826625","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 6

摘要

分歧被用来衡量投资者的异质性和不确定性。我们研究歧见是否捕捉外汇市场的异质性或不确定性。我们通过将分歧与不确定性的替代测量方法联系起来，以及利用这两个概念的不同资产定价含义来做到这一点。我们发现，尽管分歧是有条件地衡量不确定性的，但这只在全球金融危机高峰期是无条件的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Agreeing on Disagreement: Heterogeneity or Uncertainty?

Disagreement is used as a measure of both investor heterogeneity and uncertainty. We study whether disagreement captures heterogeneity or uncertainty for the foreign exchange market. We do so by relating disagreement to alternative measures of uncertainty, as well as by taking advantage of the different asset pricing implications of the two concepts. We find that whereas disagreement measures uncertainty conditionally, unconditionally this is only true during the peak of the global financial crisis.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal

自引率

0.00%

发文量