Asset Prices and Portfolio Choice with Learning from Experience

• 成果类型: Article
• 署名作者: Ehling, Paul; Graniero, Alessandro; Heyerdahl-Larsen, Christian
• 署名单位: BI Norwegian Business School; University of London; London Business School
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdx077
• 发表日期: 2018
• 页码: 1752-1780
• 关键词: financial-markets; stock-market; equilibrium; investors; Heterogeneity; expectations; selection; returns; beliefs; RISK

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.