作者：都科（西南财经大学金融研究院），付一书（西南财经大学中国金融研究中心），Zhenjiang Qin（中国澳门大学工商管理学院），Shuoxun Zhang（中国厦门大学经济学院金融系与王延安经济研究所）
We investigate the impacts of speculation on stock price and return volatility in a framework with regime shifting. We find that greater difference in beliefs about the probability of bad state leads to higher stock prices. The intuition is that in periods of higher dispersion of beliefs, the investors perceive greater speculative opportunities, leading to increased demands and valuations of the stock. When investors agree with each other on the state of dividend growth, they have a stronger incentive to invest in the riskless bond, when becoming more pessimistic about the dividend growth. As a result, the demand and the valuations of stock decrease. Moreover, higher level of heterogeneity in beliefs gives rise to higher volatility of the stock returns, even in the absence of dividend shocks. Furthermore, with homogeneous beliefs, return volatility with respect to investors鈥beliefs follows an inverted-U shape.