A. B. Abel, Asset prices under heterogenous beliefs: implications for the equity premium, 1989.

A. B. Abel, An exploration of the effects of pessimism and doubt on asset returns, Journal of Economic Dynamics and Control, vol.26, issue.7-8, pp.1075-1092, 2002.
DOI : 10.1016/S0165-1889(01)00040-9

A. R. Admati, A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets, Econometrica, vol.53, issue.3, pp.629-657, 1985.
DOI : 10.2307/1911659

S. Basak, A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk, Journal of Economic Dynamics and Control, vol.24, issue.1, pp.63-95, 2000.
DOI : 10.1016/S0165-1889(98)00064-5

B. Mansour, S. Jouini, E. Marin, J. Napp, C. Robert et al., Are more risk-averse agents less pessimistic? A Bayesian estimation approach, 2006.

U. Bhattacharya and M. Spiegel, Insiders, Outsiders, and Market Breakdowns, Review of Financial Studies, vol.4, issue.2, pp.255-282, 1992.
DOI : 10.1093/rfs/4.2.255

M. K. Brunnermeier and J. A. Parker, Optimal Expectations, American Economic Review, vol.95, issue.4, pp.1092-1118, 2005.
DOI : 10.1257/0002828054825493

L. Calvet, J. Grandmont, and I. Lemaire, Aggregation of Heterogenous Beliefs, Asset Pricing, and Risk Sharing in Complete Financial Markets, Research in Economics, 2002.
DOI : 10.1016/j.rie.2017.01.002

J. Detemple and S. Murthy, Intertemporal Asset Pricing with Heterogeneous Beliefs, Journal of Economic Theory, vol.62, issue.2, pp.294-320, 1994.
DOI : 10.1006/jeth.1994.1017

D. W. Diamond and R. E. Verrecchia, Information aggregation in a noisy rational expectations economy, Journal of Financial Economics, vol.9, issue.3, pp.221-235, 1981.
DOI : 10.1016/0304-405X(81)90026-X

B. Donkers, B. Melenberg, and A. Van-soest, Estimating Risk attitudes Using Lotteries: a Large Sample Approach, Journal of Risk and Uncertainty, vol.22, issue.2, pp.165-195, 2001.
DOI : 10.1023/A:1011109625844

J. H. Drèze, Le paradoxe de l'information, Economie Appliquée, vol.13, pp.71-80, 1960.

B. Dumas, A. Kurshev, and R. Uppal, What can rational investors do about excessive volatility and sentiment ?uctutations ? CEPR Discussion Paper N 5367; available at SSRN: http://ssrn, p.883707

M. Gallmeyer, Beliefs and volatility. Working paper, 2000.

M. Gallmeyer and B. Holli?eld, An examination of heterogenous beliefs with a short sale constraint. Unpublished working paper, 2002.

G. Genotte and H. Leland, Market Liquidity, Hedging, and Crashes, American Economic Review, vol.80, pp.999-1021, 1990.

L. Glosten, Insider Trading, Liquidity, and the Role of the Monopolist Specialist, The Journal of Business, vol.62, issue.2, pp.211-235, 1989.
DOI : 10.1086/296460

C. Gollier and A. Muermann, Optimal Choice and Beliefs with Ex Ante Savoring and Ex Post Disappointment, Management Science, vol.56, issue.8, 2006.
DOI : 10.1287/mnsc.1100.1185

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.318.5301

J. R. Green, Information, e¢ ciency and equilibrium. Discussion paper 284, Harvard Institute of Economic Research, 1973.

S. Grossman, ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION, The Journal of Finance, vol.31, issue.2, pp.573-585, 1976.
DOI : 10.1111/j.1540-6261.1976.tb01907.x

S. Grossman and J. Stiglitz, On the impossibility of informationally e¢ cient markets, American Economic Review, vol.70, pp.393-408, 1981.

M. Harris and A. Raviv, Differences of Opinion Make a Horse Race, Review of Financial Studies, vol.6, issue.3, pp.473-506, 1993.
DOI : 10.1093/rfs/5.3.473

J. C. Hatchondo, The Value of Information with Heterogeneous Agents and Partially Revealing Prices. Federal Reserve Bank of Richmond Working Paper, pp.5-6, 2005.

M. F. Hellwig, On the aggregation of information in competitive markets, Journal of Economic Theory, vol.22, issue.3, pp.477-498, 1980.
DOI : 10.1016/0022-0531(80)90056-3

J. Hirshleifer, The Private and Social Value of Information and the Reward to Inventive Activity, American Economic Review, vol.61, issue.4, pp.561-574, 1971.
DOI : 10.1016/B978-0-12-214850-7.50038-3

J. C. Jackwerth, Recovering Risk Aversion from Option Prices and Realized Returns, Review of Financial Studies, vol.13, issue.2, pp.433-51, 2000.
DOI : 10.1093/rfs/13.2.433

URL : http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-52893

E. Jouini and C. Napp, Consensus consumer and intertemporal asset pricing with heterogenous beliefs. Unpublished working paper, 2004.
DOI : 10.2139/ssrn.915371

URL : https://halshs.archives-ouvertes.fr/halshs-00152348/file/RES_07.pdf

E. Jouini and C. Napp, Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt, Journal of Economic Dynamics and Control, vol.30, issue.7, pp.1233-1260, 2006.
DOI : 10.1016/j.jedc.2005.05.008

A. S. Kyle, Informed Speculation with Imperfect Competition, The Review of Economic Studies, vol.56, issue.3, pp.317-356, 1989.
DOI : 10.2307/2297551

URL : http://restud.oxfordjournals.org/cgi/content/short/56/3/317

J. Marin and R. Rahi, Information Revelation and Market Incompleteness, Review of Economic Studies, vol.67, issue.3, pp.455-481, 2000.
DOI : 10.1111/1467-937X.00144

URL : http://repositori.upf.edu/bitstream/10230/20730/1/145.pdf

R. Rahi, Adverse Selection and Security Design, The Review of Economic Studies, vol.63, issue.2, pp.287-300, 1996.
DOI : 10.2307/2297853

URL : http://repositori.upf.edu/bitstream/10230/20820/1/64.pdf

J. A. Scheinkman and W. Xiong, Overconfidence and Speculative Bubbles, Journal of Political Economy, vol.111, issue.6, pp.1183-1219, 2003.
DOI : 10.1086/378531

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.195.7394

H. Varian, Divergence of Opinion in Complete Markets: A Note, The Journal of Finance, vol.5, issue.1, pp.309-317, 1985.
DOI : 10.1111/j.1540-6261.1985.tb04951.x

H. Varian, Di¤erence of Opinion in Financial Markets In Financial Risk: Theory, Evidence, and Implications, 1989.

J. T. Williams, Capital asset prices with heterogeneous beliefs, Journal of Financial Economics, vol.5, issue.2, pp.219-239, 1977.
DOI : 10.1016/0304-405X(77)90019-8

F. Zapatero, Effects of financial innovations on market volatility when beliefs are heterogeneous, Journal of Economic Dynamics and Control, vol.22, issue.4, pp.597-626, 1998.
DOI : 10.1016/S0165-1889(97)00076-6