| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15116 |
| DP15116 Investor Sophistication and Portfolio Dynamics | |
| Adrian Buss; Grigory Vilkov | |
| 发表日期 | 2020-07-31 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We develop a simple dynamic general-equilibrium framework that can jointly rationalize many empirically observed features of household portfolios, investment returns, and wealth dynamics. The model differs from traditional models only along a single, natural dimension: households differ in their confidence about the return processes for risky assets. Less-confident households (but with unbiased beliefs) overinvest in safe assets, hold underdiversified portfolios concentrated in familiar assets, are trend chasers, and earn lower absolute and risk-adjusted investment returns. More confident households hold riskier positions and exhibit superior market-timing abilities. Despite Bayesian learning, this investment behavior persists for long periods, thereby exacerbating wealth inequality. |
| 主题 | Financial Economics |
| 关键词 | Household finance Portfolio dynamics Wealth inequality Belief formation Investors' expectations Trend chasing Market timing |
| URL | https://cepr.org/publications/dp15116-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544074 |
| 推荐引用方式 GB/T 7714 | Adrian Buss,Grigory Vilkov. DP15116 Investor Sophistication and Portfolio Dynamics. 2020. |
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