Investor experiences and financial market dynamics

• 成果类型: Article
• 署名作者: Malmendier, Ulrike; Pouzo, Demian; Vanasco, Victoria
• 署名单位: University of California System; University of California Berkeley; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of California System; University of California Berkeley; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.11.002
• 发表日期: 2020
• 页码: 597-622
• 关键词: Experience effects; learning; asset prices; portfolio choice; demographics

摘要

How do macrofinancial shocks affect investor behavior and market dynamics? Recent evidence on experience effects suggests a long-lasting influence of personally experienced outcomes on investor beliefs and investment but also significant differences across older and younger generations. We formalize experience-based learning in an overlapping generations (OLG) model, where different cross-cohort experiences generate persistent heterogeneity in beliefs, portfolio choices, and trade. The model allows us to characterize a novel link between investor demographics and the dependence of prices on past dividends while also generating known features of asset prices, such as excess volatility and return predictability. The model produces new implications for the cross-section of asset holdings, trade volume, and investors' heterogeneous responses to crises, which we show to be in line with the data. (C) 2019 Elsevier B.V. All rights reserved.