Risk-Taking and Asymmetric Learning in Boom and Bust Markets


Kieren, Pascal ; Müller-Dethard, Jan ; Weber, Martin



Document Type: Article
Year of publication: 2022
The title of a journal, publication series: Review of Finance
Volume: tba
Issue number: tba
Page range: tba
Place of publication: Oxford
Publishing house: Oxford University Press
ISSN: 1572-3097 , 1573-692X
Publication language: English
Institution: Business School > ABWL u. Bankbetriebslehre (Seniorprofessur) (Weber 2017-)
Subject: 330 Economics
Classification: JEL: D83 , D84 , E32 , E44 , G01 , G11 , G41,
Keywords (English): risk-taking , belief formation , market cycles , return expectations
Abstract: 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.

Dieser Eintrag ist Teil der Universitätsbibliographie.

Dieser Datensatz wurde noch nicht in die Unibibliographie aufgenommen, es ist eine Unveröffentlichte Publikation. Diese Publikation als "Jetzt erschienen" melden.




Metadata export


Citation


+ Search Authors in

+ Page Views

Hits per month over past year

Detailed information




Actions (login required)

Show item Show item