| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25744 |
| 来源ID | Working Paper 25744 |
| Five Facts about Beliefs and Portfolios | |
| Stefano Giglio; Matteo Maggiori; Johannes Stroebel; Stephen Utkus | |
| 发表日期 | 2019-04-15 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We study a newly-designed survey administered to a large panel of wealthy retail investors. The survey elicits beliefs that are important for macroeconomics and finance, and matches respondents with administrative data on their portfolio composition, their trading activity, and their log-in behavior. We establish five facts in this data: (1) Beliefs are reflected in portfolio allocations. The sensitivity of portfolios to beliefs is small on average, but varies significantly with investor wealth, attention, trading frequency, and confidence. (2) Belief changes do not predict when investors trade, but conditional on trading, they affect both the direction and the magnitude of trades. (3) Beliefs are mostly characterized by large and persistent individual heterogeneity. Demographic characteristics explain only a small part of why some individuals are optimistic and some are pessimistic. (4) Expected cash flow growth and expected returns are positively related, both within and across investors. (5) Expected returns and the subjective probability of rare disasters are negatively related, both within and across investors. These five facts provide useful guidance for the design of macro-finance models. |
| 主题 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Financial Markets ; Public Economics ; Taxation |
| URL | https://www.nber.org/papers/w25744 |
| 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/583418 |
| 推荐引用方式 GB/T 7714 | Stefano Giglio,Matteo Maggiori,Johannes Stroebel,et al. Five Facts about Beliefs and Portfolios. 2019. |
| 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 | ||
| w25744.pdf（1737KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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