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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w17973 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w17973 |
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/575649 |
推荐引用方式 GB/T 7714 | Michael D. Hurd,Susann Rohwedder. Stock Price Expectations and Stock Trading. 2012. |
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 | ||
w17973.pdf(240KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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