麻木不仁的投资者

IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE
CONSTANTIN CHARLES, CARY FRYDMAN, METE KILIC
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引用次数: 0

摘要

我们通过实验研究了主观期望向行动的传递。相对于无摩擦模型的预测,我们实验中的受试者报告的估值对他们的预期太不敏感。我们提出,这种不敏感性是由一个嘈杂的认知过程造成的,该过程阻碍了受试者精确计算资产估值。当主观预期接近理性预期时,主观预期与行动之间的经验联系就会变得更加紧密。我们的研究结果凸显了将弱传导纳入基于信念的资产定价模型的重要性。最后,我们讨论了认知噪声如何为股票市场的非弹性需求提供微观基础。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Insensitive Investors

We experimentally study the transmission of subjective expectations into actions. Subjects in our experiment report valuations that are far too insensitive to their expectations, relative to the prediction from a frictionless model. We propose that the insensitivity is driven by a noisy cognitive process that prevents subjects from precisely computing asset valuations. The empirical link between subjective expectations and actions becomes stronger as subjective expectations approach rational expectations. Our results highlight the importance of incorporating weak transmission into belief-based asset pricing models. Finally, we discuss how cognitive noise can provide a microfoundation for inelastic demand in the stock market.

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来源期刊
Journal of Finance
Journal of Finance Multiple-
CiteScore
12.90
自引率
2.50%
发文量
88
期刊介绍: The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.
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