What to expect when everyone is expecting: Self-fulfilling expectations and asset-pricing puzzles

• 成果类型: Article
• 署名作者: Garleanu, Nicolae; Panageas, Stavros
• 署名单位: University of California System; University of California Berkeley; National Bureau of Economic Research; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.10.007
• 发表日期: 2021
• 页码: 54-73
• 关键词: Asset pricing; self-fulfilling expectations; Sunspot equilibria; equity premium puzzle; Excess volatility puzzle; INEQUALITY

摘要

We study an economy without bubbles in which expectations about future discount rates can become self-fulfilling because asset valuations redistribute wealth across different investor cohorts. For such redistribution to take place, the wealth of arriving and existing cohorts must react differently to discount rates, and in addition only the existing agents are marginal in financial markets. The self-fulfilling nature of discount rate expectations means that the economy can address several well-documented empirical asset-pricing facts (excessive volatility, return predictability, low interest rate level and volatility), while all real quantities (aggregate consumption and dividend growth) are smooth. (C) 2020 Published by Elsevier B.V.