Investor experiences and international capital flows

• 成果类型: Article; Proceedings Paper
• 署名作者: Malmendier, Ulrike; Pouzo, Demian; Vanasco, Victoria
• 署名单位: University of California System; University of California Berkeley; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2020.103302
• 发表日期: 2020
• 关键词: Experience effects; learning; asset prices; portfolio choice; demographics

摘要

We propose a novel explanation for classic international macro puzzles regarding capital flows and portfolio investment, which builds on modern macro-finance models of experience-based belief formation. Individual experiences of past macroeconomic outcomes have been shown to exert a long-lasting influence on beliefs about future realizations, and to explain domestic stock-market investment. We argue that experience effects can explain the tendency of investors to hold an over proportional fraction of their equity wealth in domestic stocks (home bias), to invest in domestic equity markets in periods of domestic crises (retrenchment), and to withdraw capital from foreign equity markets in periods of foreign crises (fickleness). Experience-based learning generates additional implications regarding the strength of these puzzles in times of higher or lower economic activity and depending on the demographic composition of market participants. We test and confirm these predictions in the data. (C) 2020 Published by Elsevier B.V.