Beliefs and Portfolios: Causal Evidence*

• 成果类型: Article; Early Access
• 署名作者: Beutel, Johannes; Weber, Michael
• 署名单位: Deutsche Bundesbank; Purdue University System; Purdue University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag011
• 发表日期: 2026-04-21
• 关键词: G11; G12; G41; G51; G53; D84; expectations; INFORMATION; returns; prices

摘要

We causally test alternative theories of expectation formation. Using a randomized information experiment we show overreaction is a key feature of individuals' return expectations, and individuals' response to the price-earnings ratio is opposite of academic consensus. Our evidence is inconsistent with standard models of expectation formation, but subjective mental models that deviate from objective benchmarks can jointly explain the updating behavior in the experiment, the link between individuals' prior perceptions and expectations, and the heterogeneity of updating. Conditional on their beliefs, individuals' sensitivity of equity shares in a hypothetical portfolio choice experiment is consistent with the standard Merton model.