Asset Prices and Portfolio Choice with Learning from Experience
研究了在世代交叠模型中，年轻人仅凭自身经验学习而忽视历史信息时，资产价格和投资组合如何变化，发现年轻人会追涨杀跌，导致风险溢价下降，其财富向逆向操作的年长者转移。
We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after positive returns, that is, they act as trend chasers. In equilibrium, the risk premium decreases after a positive shock and, therefore, trend chasing young agents lose wealth relative to old agents who behave as contrarians. Consistent with findings from survey data, the average belief about the risk premium in the economy relates negatively to future excess returns and is smoother than the true risk premium.