Robustness and dynamic sentiment

• 成果类型: Article
• 署名作者: Maenhout, Pascal J.; Vedolin, Andrea; Xing, Hao
• 署名单位: INSEAD Business School; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Boston University; Boston University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103953
• 发表日期: 2025
• 关键词: Robust control; subjective beliefs; pessimism; optimism; Cressie-read

摘要

Errors in survey expectations display waves of pessimism and optimism. This paper develops a novel theoretical framework of time-varying beliefs capturing this fact. In our model, dynamic beliefs arise endogenously due to agents' attitude towards alternative models. Decision-maker's distorted beliefs generate countercyclical risk aversion, procyclical portfolio weights, and countercyclical equilibrium asset returns. A calibrated version of our model is shown to jointly match salient features in survey data and equity markets.