| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15717 |
| DP15717 Model Complexity, Expectations, and Asset Prices | |
| Pooya Molavi; Alireza Tahbaz-Salehi; Andrea Vedolin | |
| 发表日期 | 2021-01-25 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | This paper analyzes how limits to the complexity of statistical models used by market participants can shape asset prices. We consider an economy in which agents can only entertain models with at most k factors, where k may be distinct from the true number of factors that drive the economy’s fundamentals. We first characterize the implications of the resulting departure from rational expectations for return dynamics and relate the extent of return predictability at various horizons to the number of factors in the agents’ models and the statistical properties of the underlying data-generating process. We then apply our framework to two applications in asset pricing: (i) violations of uncovered interest rate parity at different horizons and (ii) momentum and reversal in equity returns. We find that constraints on the complexity of agents’ models can generate return predictability patterns that are consistent with the data. |
| 主题 | Financial Economics |
| 关键词 | Model complexity Subjective expectations Asset pricing |
| URL | https://cepr.org/publications/dp15717 |
| 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/544723 |
| 推荐引用方式 GB/T 7714 | Pooya Molavi,Alireza Tahbaz-Salehi,Andrea Vedolin. DP15717 Model Complexity, Expectations, and Asset Prices. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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