Market Participants vs. Dealer Belief  [Slide]

• (Beliefs Identification) I jointly observe primary dealers’ (PD) and market participants’ (MP) belief operators under the same information set from 2014 to 2024. 

• (Which States Matter) Belief heterogeneity arises because market participants underweight long-horizon downside and stress states, while dealers price these states—leading to first-order effects in CDS premia and credit spreads.

• (Generative AI) I use LLMs to apply an identical tail-state classification to PD and MP survey texts collected separately, enabling apples-to-apples comparison across agents.