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来源类型Working Paper
规范类型报告
DOI10.3386/w11211
来源IDWorking 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
URLhttps://www.nber.org/papers/w11211
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/568848
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GB/T 7714
Stefano DellaVigna,Joshua M. Pollet. Attention, Demographics, and the Stock Market. 2005.
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