G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16441
DP16441 Dynamics of Asset Demands with Confidence Heterogeneity
Adrian Buss; Grigory Vilkov
发表日期2021-08-09
出版年2021
语种英语
摘要To understand the dynamics of investor asset demands, we develop a multiperiod general-equilibrium model driven by a single latent variable, differences in beliefs, resulting from heterogeneity in investors' confidence regarding the return dynamics of assets. Consistent with the data, investors' asset holdings are concentrated and display large and persistent heterogeneity in asset demands across investors. Moreover, demand curves are steeper than with homogeneous beliefs. The time-series and cross-sectional variation in assets' realized and expected returns, as well as their volatilities, are driven by the mean and dispersion of latent demand.
主题Financial Economics
关键词Institutional asset demand Asset-demand elasticity Investors' expectations Trend chasing Predictability
URLhttps://cepr.org/publications/dp16441
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/545400
推荐引用方式
GB/T 7714
Adrian Buss,Grigory Vilkov. DP16441 Dynamics of Asset Demands with Confidence Heterogeneity. 2021.
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