| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27257 |
| 来源ID | Working Paper 27257 |
| Robust Identification of Investor Beliefs | |
| Xiaohong Chen; Lars P. Hansen; Peter G. Hansen | |
| 发表日期 | 2020-06-01 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper develops a new method informed by data and models to recover information about investor beliefs. Our approach uses information embedded in forward-looking asset prices in conjunction with asset pricing models. We step back from presuming rational expectations and entertain potential belief distortions bounded by a statistical measure of discrepancy. Additionally, our method allows for the direct use of sparse survey evidence to make these bounds more informative. Within our framework, market-implied beliefs may differ from those implied by rational expectations due to behavioral/psychological biases of investors, ambiguity aversion, or omitted permanent components to valuation. Formally, we represent evidence about investor beliefs using a novel nonlinear expectation function deduced using model-implied moment conditions and bounds on statistical divergence. We illustrate our method with a prototypical example from macro-finance using asset market data to infer belief restrictions for macroeconomic growth rates. |
| 主题 | Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Behavioral Finance |
| URL | https://www.nber.org/papers/w27257 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584928 |
| 推荐引用方式 GB/T 7714 | Xiaohong Chen,Lars P. Hansen,Peter G. Hansen. Robust Identification of Investor Beliefs. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w27257.pdf（663KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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