稳健性和动态情感

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-10-28 DOI:10.1016/j.jfineco.2024.103953

Pascal J. Maenhout , Andrea Vedolin , Hao Xing

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引用次数: 0

摘要

调查预期的误差显示出悲观和乐观的波浪。本文建立了一个新颖的时变信念理论框架，以捕捉这一事实。在我们的模型中，由于代理人对替代模型的态度，动态信念内生产生。决策者扭曲的信念会产生反周期的风险规避、顺周期的投资组合权重和反周期的均衡资产回报。我们的模型的校准版本被证明能够共同匹配调查数据和股票市场的显著特征。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Robustness and dynamic sentiment

Errors in survey expectations display waves of pessimism and optimism. This paper develops a novel theoretical framework of time-varying beliefs capturing this fact. In our model, dynamic beliefs arise endogenously due to agents’ attitude towards alternative models. Decision-maker’s distorted beliefs generate countercyclical risk aversion, procyclical portfolio weights, and countercyclical equilibrium asset returns. A calibrated version of our model is shown to jointly match salient features in survey data and equity markets.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.