全球智库信息集成服务系统(G2TT): DP14647 Why so Negative? Belief Formation and Risk Taking in Boom and Bust Markets

G2TT

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	What determines investors’ risk-taking across macroeconomic cycles? Researchers have proposed rational expectations models that introduce countercyclical risk aversion to generate the empirically observed time variation in risk-taking. In this study, we test whether systematic deviations from rational expectations can cause the same observed investment pattern without assuming unstable risk preferences. We let subjects form beliefs in two different market environments which resemble key characteristics of boom and bust markets, followed by an independent investment task. Those subjects who learned in the negative domain form overly pessimistic beliefs and invest significantly less in an unrelated ambiguous investment option. However, similar investment patterns cannot be observed for an unrelated risky investment option, where expectations are fixed. The proposed mechanism presents an alternative explanation for time-varying risk-taking and provides new implications for both theory and policy makers.
主题	Financial Economics
关键词	Risk-taking Belief formation Market cycles Return expectations
URL	https://cepr.org/publications/dp14647
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/543562
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.