| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w29977
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| 来源ID | Working Paper 29977
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| Expectations Data in Asset Pricing |
| Klaus Adam; Stefan Nagel
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| 发表日期 | 2022-05-02
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| 出版年 | 2022
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| 语种 | 英语
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| 摘要 | Asset prices reflect investors' subjective beliefs about future cash flows and prices. In this chapter, we review recent research on the formation of these beliefs and their role in asset pricing. Return expectations of individual and professional investors in surveys differ markedly from those implied by rational expectations models. Variation in subjective expectations of future cash flows and price levels appear to account for much of aggregate stock market volatility. Mapping the survey evidence into agent expectations in asset pricing models is complicated by measurement errors and belief heterogeneity. Recent efforts to build asset pricing models that match the survey evidence on subjective belief dynamics include various forms of learning about payout or price dynamics, extrapolative expectations, and diagnostic expectations. Challenges for future research include the exploration of subjective risk perceptions, aggregation of measured beliefs, and links between asset market expectations and the macroeconomy. |
| 主题 | Macroeconomics
; Financial Economics
; Portfolio Selection and Asset Pricing
; Behavioral Finance
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| URL | https://www.nber.org/papers/w29977
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587651
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推荐引用方式
GB/T 7714 |
Klaus Adam,Stefan Nagel. Expectations Data in Asset Pricing. 2022.
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文件名：
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w29977.pdf
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格式：
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Adobe PDF
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