Skip to main content

Please enter a keyword and click the arrow to search the site

Asset prices and portfolio choice with learning from experience

Subject

Finance

Publishing details

IFA Working Paper

Authors / Editors

Ehling P;Graniero A;Heyerdahl-Larsen C

Publication Year

2016

Abstract

We study asset prices and portfolio choice in an overlapping generations economy in which the young disregard history to learn from own experience. In equilibrium, the young act as trend chasers as they increase their investment in risky assets after a positive return. Since the young have less precise estimates of consumption growth they lose wealth and consumption shares to the old. Consistent with findings from survey data, the average belief about expected returns in the economy is negatively related to future realized returns.

Keywords

Learning from Experience; Trend Chasing; Survey Based versus Objective Expected Returns

Series

IFA Working Paper

Available on ECCH

No


Select up to 4 programmes to compare

Select one more to compare
×
subscribe_image_desktop 5949B9BFE33243D782D1C7A17E3345D0

Sign up to receive our latest news and business thinking direct to your inbox

×

Sign up to receive our latest course information and business thinking

Leave your details above if you would like to receive emails containing the latest thought leadership, invitations to events and news about courses that could enhance your career. If you would prefer not to receive our emails, you can still access the case study by clicking the button below. You can opt-out of receiving our emails at any time by visiting: https://london.edu/my-profile-preferences or by unsubscribing through the link provided in our emails. View our Privacy Policy for more information on your rights.