RT Monograph
SR 00
A1 Andries, Marianne
A1 Bianchi, Milo
A1 Huynh, Karen
A1 Pouget, Sébastien
T1 Return Predictability, Expectations, and Investment: Experimental Evidence
YR 2024
FD 2024-08
VO 1561
SP 98
K1 Return Predictability
K1 Expectations
K1 Long-Term Investment
K1 Extrapolation
K1 Model Uncertainty
AB 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.
T2 TSE Working Paper
PB TSE Working Paper
PP Toulouse
AV Published
LK https://publications.ut-capitole.fr/id/eprint/49621/
UL http://tse-fr.eu/pub/129666