eprintid: 49621
rev_number: 18
eprint_status: archive
userid: 1482
importid: 105
dir: disk0/00/04/96/21
datestamp: 2024-08-29 06:50:22
lastmod: 2024-10-15 13:19:30
status_changed: 2024-10-15 13:19:30
type: monograph
metadata_visibility: show
creators_name: Andries, Marianne
creators_name: Bianchi, Milo
creators_name: Huynh, Karen
creators_name: Pouget, Sébastien
creators_idrefppn: 24158650X
creators_idrefppn: 22146851X
creators_idrefppn: 151861285
creators_affiliation: University of Southern California
creators_affiliation: Toulouse School of Economics
creators_affiliation: Amundi
creators_affiliation: Toulouse School of Economics
creators_halaffid: 1002422;520525
creators_halaffid: 1002422;520525
title: Return Predictability, Expectations, and Investment: Experimental Evidence
ispublished: pub
subjects: subjects_ECO
abstract: 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.
date: 2024-08
date_type: published
publisher: TSE Working Paper
official_url: http://tse-fr.eu/pub/129666
faculty: tse
divisions: tse
keywords: Return Predictability
keywords: Expectations
keywords: Long-Term Investment
keywords: Extrapolation
keywords: Model Uncertainty
language: en
has_fulltext: TRUE
subjectsJEL: JEL_D84
subjectsJEL: JEL_G11
view_date_year: 2024
full_text_status: public
monograph_type: working_paper
series: TSE Working Paper
volume: 1561
place_of_pub: Toulouse
pages: 98
institution: Université Toulouse Capitole
department: Toulouse School of Economics
book_title: TSE Working Paper
oai_identifier: oai:tse-fr.eu:129666
harvester_local_overwrite: subjectsJEL
harvester_local_overwrite: abstract
harvester_local_overwrite: pending
harvester_local_overwrite: department
harvester_local_overwrite: creators_idrefppn
harvester_local_overwrite: creators_halaffid
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harvester_local_overwrite: place_of_pub
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oai_lastmod: 2024-09-17T13:15:11Z
oai_set: tse
site: ut1
citation:   Andries, Marianne <https://www.idref.fr/24158650X>, Bianchi, Milo <https://www.idref.fr/22146851X>, Huynh, Karen and Pouget, Sébastien <https://www.idref.fr/151861285>  (2024) Return Predictability, Expectations, and Investment: Experimental Evidence.  TSE Working Paper, n. 1561, Toulouse     
document_url: https://publications.ut-capitole.fr/id/eprint/49621/1/wp_tse_1561.pdf