气候变化领域集成服务门户(CCPortal): Robust identification of investor beliefs

CCPortal

DOI	10.1073/PNAS.2019910117
	Robust identification of investor beliefs
	Chen X.; Hansen L.P.; Hansen P.G.
发表日期	2021
ISSN	00278424
起始页码	33130
结束页码	33140
卷号	117 期号:52
英文摘要	This paper develops a 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 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. © 2020 National Academy of Sciences. All rights reserved.
英文关键词	Asset pricing; Bounded rationality; Intertemporal divergence; Large deviation theory; Subjective beliefs
语种	英语
scopus关键词	article; aversion; expectation; finance; growth rate; human; price
来源期刊	Proceedings of the National Academy of Sciences of the United States of America
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/179620
作者单位	Department of Economics, Yale University, New Haven, CT 06520, United States; Department of Economics, University of Chicago, Chicago, IL 60637, United States; Department of Statistics, University of Chicago, Chicago, IL 60637, United States; Booth School of Business, University of Chicago, Chicago, IL 60637, United States; MIT Sloan School of Management, Cambridge, MA 02142, United States
推荐引用方式 GB/T 7714	Chen X.,Hansen L.P.,Hansen P.G.. Robust identification of investor beliefs[J],2021,117(52).
APA	Chen X.,Hansen L.P.,&Hansen P.G..(2021).Robust identification of investor beliefs.Proceedings of the National Academy of Sciences of the United States of America,117(52).
MLA	Chen X.,et al."Robust identification of investor beliefs".Proceedings of the National Academy of Sciences of the United States of America 117.52(2021).