Dynamics of Asset Demands with Confidence Heterogeneity

• 成果类型: Article; Early Access
• 署名作者: Buss, Adrian; Uppal, Raman; Vilkov, Grigory
• 署名单位: Frankfurt School Finance & Management; Centre for Economic Policy Research - UK; Universite Catholique de Lille; EDHEC Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag041
• 发表日期: 2026-05-14
• 关键词: D53; G11; G12; portfolio choice; HOME BIAS; long-run; consumption; returns; CURVES; stocks; predictability; expectations; equilibrium

摘要

To understand the dynamics of investors' asset demands, we develop a general-equilibrium model driven by a single latent variable: heterogeneity in investors' confidence about mean endowment growth. The model predicts persistent heterogeneity in asset demands and concentrated portfolios. Consistent with the data, limited confidence reduces investors' demand elasticities and makes stock prices excessively volatile-driven by latent demand rather than observable characteristics. The underlying economic mechanisms are driven primarily by investors' desire to hedge changes in future beliefs instead of current disagreement. Finally, consistent with survey data, investors' expectations correlate positively with past returns and negatively with future returns.