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 Pricing Risk in a Context of Heterogeneous Beliefs

Elyes JOUINI * PSL, Université Paris-Dauphine. Contact : article revisite très largement un article publié dans cette même revue (Jouini et Napp, 2004).

The aim of this paper is to analyze the consequences of introducing heterogeneous beliefs and impatience rates in otherwise standard valuation models. We first show that the various arguments put forward in the literature to deny this heterogeneity or to neglect its effects are contradicted both by the data and by the most recent works. We then introduce a typology of these beliefs, we analyze their various forms and we study how the market aggregates them. We deduce the impact of this heterogeneity of perceptions on the risk premium (or the market price of risk) and on the price of time (discount rate or interest rate). In particular, we show that, in the long run, the heterogeneity of perceptions should lead to a more cautious valuation: lower discount rate and higher risk premium.