Implicit extrapolation and the beliefs channel of investment demand

• 成果类型: Article
• 署名作者: Liu, Haoyang; Palmer, Christopher
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Dallas; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104172
• 发表日期: 2026-01
• 页码: 104172
• 关键词: beliefs; Expectations surveys; Extrapolation; confidence; Reinforcement Learning; expectations; MODEL; RISK; investors; IMPACT

摘要

We document implicit extrapolation in investment decision-making that exceeds the extrapolation inferable from stated expectations. Locally experienced returns predict individual real-estate investment decisions even conditional on an investor's forecasted home-price growth and risk aversion. Moreover, estimates of this experience effect on investment are larger than implied by the combined effect of past returns on stated expectations and stated expectations on investment. We demonstrate that heterogeneous forecast confidence helps explain why many investors rely on past returns over their survey-elicited forecasts. As their rationale, such survey respondents frequently cite intentional extrapolation or a lack of confidence in other belief factors.