全球智库信息集成服务系统(G2TT): Attention, Demographics, and the Stock Market

G2TT

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