Asset Pricing When ‘This Time Is Different’
研究发现年轻人比年长者更易根据宏观冲击更新信念，这种世代学习偏差在均衡模型中能产生高平均风险溢价、预测偏差和持续的错误定价，对理解市场波动和投资者行为有参考价值。
Recent evidence suggests that younger people update beliefs in response to aggregate shocks more than older people. We embed this generational learning bias in an equilibrium model in which agents have recursive preferences and are uncertain about exogenous aggregate dynamics. The departure from rational expectations is statistically modest, but generates high average risk premiums varying at generational frequencies, a positive relation between past returns and agents' future return forecasts, and substantial and persistent over-and undervaluation. Consistent with the model, the price-dividend ratio is empirically more sensitive to macroeconomic shocks when the fraction of young in the population is higher.