| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24697 |
| 来源ID | Working Paper 24697 |
| Investor Experiences and Financial Market Dynamics | |
| Ulrike Malmendier; Demian Pouzo; Victoria Vanasco | |
| 发表日期 | 2018-06-11 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | How do macro-financial shocks affect investor behavior and market dynamics? Recent evidence suggests long-lasting effects of personally experienced outcomes on investor beliefs and investment but also significant differences across older and younger generations. We formalize experience-based learning in an OLG model, where different cross-cohort experiences generate persistent heterogeneity in beliefs, portfolio choices, and trade. The model allows us to characterize a novel link between investor demographics and the dependence of prices on past dividends, while also generating known features of asset prices, such as excess volatility and return predictability. The model produces new implications for the cross-section of asset holdings, trade volume, and investors' heterogeneous responses to recent financial crises, which we show to be in line with the data. |
| 主题 | Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24697 |
| 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/582369 |
| 推荐引用方式 GB/T 7714 | Ulrike Malmendier,Demian Pouzo,Victoria Vanasco. Investor Experiences and Financial Market Dynamics. 2018. |
| 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 | ||
| w24697.pdf（1096KB） | 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。
