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Risk-Taking and Asymmetric Learning in Boom and Bust Markets
Kieren, Pascal
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Müller-Dethard, Jan
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Weber, Martin
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Document Type:
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Article
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Year of publication:
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2022
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The title of a journal, publication series:
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Review of Finance
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Volume:
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tba
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Issue number:
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tba
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Page range:
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tba
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Place of publication:
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Oxford
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Publishing house:
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Oxford Univ. Press
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ISSN:
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1572-3097 , 1573-692X
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Publication language:
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English
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Institution:
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Business School > ABWL u. Bankbetriebslehre (Seniorprofessur) (Weber 2017-)
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Subject:
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330 Economics
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Classification:
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JEL:
D83 , D84 , E32 , E44 , G01 , G11 , G41,
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Keywords (English):
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risk-taking , belief formation , market cycles , return expectations
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Abstract:
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An increasing number of studies depart from the rational expectations assumption to reconcile survey expectations with asset prices. While surveys are helpful to establish a link between subjective beliefs and investment decisions, they do not allow inference about how investors depart from rational expectations. In this paper, we provide direct experimental evidence of how systematic distortions in investors’ expectations affect their risk-taking across market cycles. As mechanism, we identify an asymmetry in how individuals update their expectations across boom and bust markets. The documented mechanism is consistent with survey data and provides important implications for recently proposed asset pricing models.
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