| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16441 |
| 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 |
| URL | https://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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