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来源类型Working Paper
规范类型报告
DOI10.3386/w17973
来源IDWorking Paper 17973
Stock Price Expectations and Stock Trading
Michael D. Hurd; Susann Rohwedder
发表日期2012-04-05
出版年2012
语种英语
摘要Background: The fact that many individuals inexplicably fail to buy stocks, despite the historical evidence for a good return on investment has been referred to as the stock market puzzle. However, measurements of the subjective probability of a gain show that people are more pessimistic than historical outcomes would suggest. Further, expectations of future stock price increases apparently depend on old information, which would seem to be at odds with rational expectations in the context of efficient markets. To shed light on these apparent paradoxes, we analyzed the relationships between actual stock market price changes and the subjective probability of price changes, and between the subjective probability of price changes and the likelihood of engaging in stock trading.
Approach: Drawing on 31 waves of longitudinal data on investment behavior from the American Life Panel surveys from November 2008 to the present, we tracked high frequency changes in expectations at the individual level and related them to high frequency changes in stock market prices. We analyzed both individuals who held stock in retirement accounts and those who held stocks outside of these accounts.
主题Microeconomics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w17973
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/575649
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Michael D. Hurd,Susann Rohwedder. Stock Price Expectations and Stock Trading. 2012.
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