| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6435 |
| DP6435 Is Distance Dying at Last? Falling Home Bias in Fixed Effects Models of Patent Citations | |
| John Van Reenen; Rachel Griffith | |
| 发表日期 | 2007-09-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Our objective is to identify the trading strategy that would allow an investor to take advantage of ''excessive'' stock price volatility and ?sentiment? fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively volatile because one class is overconfident about a public signal. As a result, this class of overconfident agents changes its expectations too often, sometimes being excessively optimistic, sometimes being excessively pessimistic. We determine and analyze the trading strategy of the rational investors who are not overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational investors are deterred by their presence and reduce the proportion of wealth invested into equity except when they are extremely optimistic about future growth. Moreover, their optimal portfolio strategy is based not just on a current price divergence but also on their expectation of future sentiment behaviour and a prediction concerning the speed of convergence of prices. Thus, the portfolio strategy includes a protection in case there is a deviation from that prediction. We find that long maturity bonds are an essential accompaniment of equity investment, as they serve to hedge this ''sentiment risk.'' |
| 主题 | Financial Economics |
| 关键词 | Bayesian behaviour Excess volatility Financial-market equilibrium Risk premia |
| URL | https://cepr.org/publications/dp6435 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535304 |
| 推荐引用方式 GB/T 7714 | John Van Reenen,Rachel Griffith. DP6435 Is Distance Dying at Last? Falling Home Bias in Fixed Effects Models of Patent Citations. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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