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《Mathematics in Practice and Theory》 2013-17
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Heterogeneous Information,Heterogeneous Prior Beliefs and Equilibrium Asset Prices

HUANG Shi-guo;YUAN Ke-hong;ZHOU Bing-chang;Department of Mathematics and Information Science,Zhengzhou University of Light Industry;Department of Mathematics and Physics,Luoyang Institute of Science and Technology;School of Science,Northwestern Polytechnical University;  
Under the short-selling constraint,we put heterogeneous information and heterogeneous prior beliefs into one analytical framework,and deduce the equilibrium asset pricing model.Our analyses show that two types of heterogeneity affect the asset prices,but have different impacts on price volatility.More heterogeneous information investors or enhancement of heterogenous degree of prior beliefs will accelerate ups or downs of asset prices,even lead to hubble or crash,which are different with Miller's and others results.
【Fund】: 国家自然科学基金(11102155);; 河南省软科学项目(122400450327);; 河南省教育厅科技研究重点项目(12A110025);; 西北工业大学基础研究基金项目(NPU-FFR-JC20110282)
【CateGory Index】: F224;F830.9
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