Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment
Research output: Working paper › Research
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Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment. / Laudenbach, Christine; Weber, Annika; Wohlfart, Johannes.
2021.Research output: Working paper › Research
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TY - UNPB
T1 - Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment
AU - Laudenbach, Christine
AU - Weber, Annika
AU - Wohlfart, Johannes
PY - 2021/11/16
Y1 - 2021/11/16
N2 - 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 substantialheterogeneity 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 thoseinitially 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.
AB - 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 substantialheterogeneity 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 thoseinitially 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.
KW - Faculty of Social Sciences
KW - Expectation Formation
KW - Information
KW - Updating
KW - Retail Investors
KW - Trading
M3 - Working paper
T3 - CEBI Working Paper Series
BT - Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment
ER -
ID: 287823519