Return Predictability, Expectations, and Investment: Experimental Evidence

• 成果类型: Article
• 署名作者: Andries, Marianne; Bianchi, Milo; Huynh, Karen K.; Pouget, Sebastien
• 署名单位: University of Southern California; Communaute d'universites et etablissements de Toulouse (Comue); Universite Toulouse 1 Capitole; Toulouse School of Economics
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhae088
• 发表日期: 2025-06
• 页码: 1687-1729
• 关键词: G11; G41; D84; rare disasters; consumption; RISK; Extrapolation; allocation; attention; selection; CHOICE

摘要

In an investment experiment, we show variations in information affect beliefs and decision-making within the information-beliefs-decisions chain. Subjects observe the time series of a risky asset and a signal that, in random rounds, helps predict returns. Subjects form extrapolative forecasts following a signal they perceive as useless, and their investment decisions underreact to their beliefs. If the same subjects perceive the signal as predictive, they rationally use it in their forecasts, they no longer extrapolate, and they rely significantly more on their forecasts when making risk allocations. Analyzing investments without observing forecasts and information sets leads to erroneous interpretations.