| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14647 |
| DP14647 Why so Negative? Belief Formation and Risk Taking in Boom and Bust Markets | |
| Martin Weber; Pascal Kieren; Jan Mueller-Dethard | |
| 发表日期 | 2020-04-22 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | An increasing number of studies depart from the rational expectations assumption to reconcile survey expectations with asset prices. While surveys are helpful to establish a link between subjective beliefs and investment decisions, they do not allow inference about how investors depart from rational expectations. In this paper, we provide direct experimental evidence of how systematic distortions in investors’ expectations affect their risk-taking across market cycles. As mechanism, we identify an asymmetry in how individuals update their expectations across boom and bust markets. The documented mechanism is consistent with survey data and provides important implications for recently proposed asset pricing models. |
| 主题 | Financial Economics |
| 关键词 | Risk-taking Belief formation Market cycles Return expectations |
| URL | https://cepr.org/publications/dp14647-0 |
| 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/543561 |
| 推荐引用方式 GB/T 7714 | Martin Weber,Pascal Kieren,Jan Mueller-Dethard. DP14647 Why so Negative? Belief Formation and Risk Taking in Boom and Bust Markets. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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