Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/249866 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
ECONtribute Discussion Paper No. 128
Verlag: 
University of Bonn and University of Cologne, Reinhard Selten Institute (RSI), Bonn and Cologne
Zusammenfassung: 
We survey retail investors at an online bank to study beliefs about the autocorrelation of aggregate stock returns, and how these beliefs shape investment decisions measured in administrative account data. Individuals' beliefs exhibit substantial heterogeneity and predict trading responses to market movements. We inform a random half of our respondents that historically the autocorrelation of aggregate returns was close to zero, which persistently changes their beliefs. Among those initially believing in mean reversion, treated respondents buy significantly less equity during the COVID-19 crash four months later. Our results highlight how heterogeneity in subjective models causally drives trade in asset markets.
Schlagwörter: 
Expectation Formation
Information
Updating
Retail Investors
Trading
JEL: 
D14
D83
D84
D91
E71
Dokumentart: 
Working Paper

Datei(en):
Datei
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