Asset Prices and Portfolio Choice with Learning from Experience

被引：20
|
作者：
Ehling, Paul [1 ]
Graniero, Alessandro [1 ]
Heyerdahl-Larsen, Christian [2 ]
机构：
[1] BI Norwegian Business Sch, Oslo, Norway
[2] London Business Sch, London, England
来源：
REVIEW OF ECONOMIC STUDIES | 2018年 / 85卷 / 03期
关键词：
Learning from experience based bias; Trend chasing; Survey based versus objective risk premiums; FINANCIAL-MARKETS; STOCK-MARKET; EQUILIBRIUM; INVESTORS; HETEROGENEITY; EXPECTATIONS; SELECTION; RETURNS; BELIEFS; RISK;
D O I：
10.1093/restud/rdx077
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after positive returns, that is, they act as trend chasers. In equilibrium, the risk premium decreases after a positive shock and, therefore, trend chasing young agents lose wealth relative to old agents who behave as contrarians. Consistent with findings from survey data, the average belief about the risk premium in the economy relates negatively to future excess returns and is smoother than the true risk premium.
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页码：1752 / 1780
页数：29
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