Buchumschlag

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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Bibliographische Detailangaben
Hauptverfasser: Kieren, Pascal (VerfasserIn) , Müller-Dethard, Jan (VerfasserIn) , Weber, Martin (VerfasserIn)
Dokumenttyp: Article (Journal)
Sprache:Englisch
Veröffentlicht: September 2023
In: Review of finance
Year: 2023, Jahrgang: 27, Heft: 5, Pages: 1743-1779
ISSN:1875-824X
DOI:10.1093/rof/rfac072
Schlagworte:
Aufsatz in Zeitschrift
Online-Zugang:Verlag, kostenfrei, Volltext: https://academic.oup.com/rof/article/27/5/1743/6808652
Resolving-System, kostenfrei, Volltext: https://doi.org/10.1093/rof/rfac072
Volltext
Verfasserangaben:Pascal Kieren, Jan Müller-Dethard, and Martin Weber

MARC

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520 |a 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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