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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w11211 |
来源ID | Working Paper 11211 |
Attention, Demographics, and the Stock Market | |
Stefano DellaVigna; Joshua M. Pollet | |
发表日期 | 2005-03-21 |
出版年 | 2005 |
语种 | 英语 |
摘要 | Do investors pay enough attention to long-term fundamentals? We consider the case of demographic information. Cohort size fluctuations produce forecastable demand changes for age-sensitive sectors, such as toys, bicycles, beer, life insurance, and nursing homes. These demand changes are predictable once a specific cohort is born. We use lagged consumption and demographic data to forecast future consumption demand growth induced by changes in age structure. We find that demand forecasts predict profitability by industry. Moreover, forecasted demand changes 5 to 10 years in the future predict annual industry returns. One additional percentage point of annualized demand growth due to demographics predicts a 5 to 10 percentage point increase in annual abnormal industry stock returns. However, forecasted demand changes over shorter horizons do not predict stock returns. The predictability results are more substantial for industries with higher barriers to entry and with more pronounced age patterns in consumption. A trading strategy exploiting demographic information earns an annualized risk-adjusted return of 5 to 7 percent. We present a model of underreaction to information about the distant future that is consistent with the findings. |
主题 | Financial Economics ; Financial Markets ; Labor Economics ; Demography and Aging ; Microeconomics |
URL | https://www.nber.org/papers/w11211 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568848 |
推荐引用方式 GB/T 7714 | Stefano DellaVigna,Joshua M. Pollet. Attention, Demographics, and the Stock Market. 2005. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w11211.pdf(619KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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