relation: https://publications.ut-capitole.fr/id/eprint/49621/ title: Return Predictability, Expectations, and Investment: Experimental Evidence creator: Andries, Marianne creator: Bianchi, Milo creator: Huynh, Karen creator: Pouget, Sébastien subject: B- ECONOMIE ET FINANCE description: In an investment experiment, we show variations in information affect belief and decision behaviors within the information-beliefs-decisions chain. Subjects observe the time series of a risky asset and a signal that, in random rounds, helps predict returns. When they perceive the signal as useless, subjects form extrapolative forecasts, and their investment decisions underreact to their beliefs. When they perceive the signal as predictive, the same subjects rationally use it in their forecasts, they no longer extrapolate, and they rely significantly more on their forecasts when making risk allocations. Analyzing investments without observing forecasts and information sets leads to erroneous interpretations. publisher: TSE Working Paper date: 2024-08 type: Monograph type: NonPeerReviewed format: text language: en identifier: https://publications.ut-capitole.fr/id/eprint/49621/1/wp_tse_1561.pdf identifier: Andries, Marianne , Bianchi, Milo , Huynh, Karen and Pouget, Sébastien (2024) Return Predictability, Expectations, and Investment: Experimental Evidence. TSE Working Paper, n. 1561, Toulouse relation: http://tse-fr.eu/pub/129666 language: en