Risk-Taking and asymmetric learning in boom and bust markets
An increasing number of studies depart from the rational expectations assumption to reconcile survey expectations with asset prices. While surveys are helpful to establish a link between subjective beliefs and investment decisions, precise inference about how investors depart from rational expectati...
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| Main Authors: | , , |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
September 2023
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| In: |
Review of finance
Year: 2023, Volume: 27, Issue: 5, Pages: 1743-1779 |
| ISSN: | 1875-824X |
| DOI: | 10.1093/rof/rfac072 |
| Subjects: | |
| Online Access: | Verlag, kostenfrei, Volltext: https://academic.oup.com/rof/article/27/5/1743/6808652 Resolving-System, kostenfrei, Volltext: https://doi.org/10.1093/rof/rfac072 
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| Author Notes: | Pascal Kieren, Jan Müller-Dethard, and Martin Weber |
| Summary: | An increasing number of studies depart from the rational expectations assumption to reconcile survey expectations with asset prices. While surveys are helpful to establish a link between subjective beliefs and investment decisions, precise inference about how investors depart from rational expectations can be challenging without relying on strong assumptions. In this article, we provide direct experimental evidence of how systematic distortions in investors’ expectations affect their risk-taking across market cycles. As mechanism, we identify an asymmetry in how individuals update their expectations across boom and bust markets. The documented mechanism is consistent with survey data and provides important implications for recently proposed asset pricing models. |
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| Item Description: | Vorab online veröffentlicht am 7. November 2022 Gesehen am 18.09.2023 |
| Physical Description: | Online Resource |
| ISSN: | 1875-824X |
| DOI: | 10.1093/rof/rfac072 |