| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11803 |
| 来源ID | Working Paper 11803 |
| What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? | |
| Bernard Dumas; Alexander Kurshev; Raman Uppal | |
| 发表日期 | 2005-11-21 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Our objective is to understand the trading strategy that would allow an investor to take advantage of "excessive" stock price volatility and "sentiment" fluctuations. We construct a general equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively volatile because one class is overconfident about a public signal. This class of irrational agents changes its expectations too often, sometimes being excessively optimistic, sometimes being excessively pessimistic. We find that because irrational traders introduce an additional source of risk, rational investors reduce the proportion of wealth invested into equity except when they are extremely optimistic about future growth. Moreover, their optimal portfolio strategy is based not just on a current price divergence but also on a prediction concerning the speed of convergence. Thus, the portfolio strategy includes a protection in case there is a deviation from that prediction. We find that long maturity bonds are an essential accompaniment of equity investment, as they serve to hedge this "sentiment risk." The answer to the question posed in the title is: "There is little that rational investors can do optimally to exploit, and hence, eliminate excessive volatility, except in the very long run." |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w11803 |
| 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/569454 |
| 推荐引用方式 GB/T 7714 | Bernard Dumas,Alexander Kurshev,Raman Uppal. What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?. 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 | ||
| w11803.pdf（531KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
