Investor experiences and financial market dynamics
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- dc.contributor.author Malmendier, Ulrike
- dc.contributor.author Pouzo, Demian
- dc.contributor.author Vanasco, Victoria
- dc.date.accessioned 2021-10-01T06:40:32Z
- dc.date.issued 2020
- dc.description.abstract How do macrofinancial shocks affect investor behavior and market dynamics? Recent evidence on experience effects suggests a long-lasting influence of personally experienced outcomes on investor beliefs and investment but also significant differences across older and younger generations. We formalize experience-based learning in an overlapping generations (OLG) model, where different cross-cohort experiences generate persistent heterogeneity in beliefs, portfolio choices, and trade. The model allows us to characterize a novel link between investor demographics and the dependence of prices on past dividends while also generating known features of asset prices, such as excess volatility and return predictability. The model produces new implications for the cross-section of asset holdings, trade volume, and investors’ heterogeneous responses to crises, which we show to be in line with the data.
- dc.format.mimetype application/pdf
- dc.identifier.citation Malmendier U, Pouzo D, Vanasco V. Investor experiences and financial market dynamics. Journal of Financial Economics. 2020 Jun;136(3):597-622. DOI: 10.1016/j.jfineco.2019.11.002
- dc.identifier.doi http://dx.doi.org/10.1016/j.jfineco.2019.11.002
- dc.identifier.issn 0304-405X
- dc.identifier.uri http://hdl.handle.net/10230/48549
- dc.language.iso eng
- dc.publisher Elsevier
- dc.relation.ispartof Journal of Financial Economics. 2020 Jun;136(3):597-622
- dc.rights © Elsevier http://dx.doi.org/10.1016/j.jfineco.2019.11.002
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.subject.keyword Experience effects
- dc.subject.keyword Learning
- dc.subject.keyword Asset prices
- dc.subject.keyword Portfolio choice
- dc.subject.keyword Demographics
- dc.title Investor experiences and financial market dynamics
- dc.type info:eu-repo/semantics/article
- dc.type.version info:eu-repo/semantics/acceptedVersion