Beliefs and Portfolios: Causal Evidence
通过随机信息实验，检验了预期形成的替代理论，发现个体回报预期存在过度反应，且对市盈率的反应与学术共识相反，主观心理模型能解释实验中的更新行为、先验感知与预期的联系以及更新异质性。
Abstract We causally test alternative theories of expectation formation. Using a randomized information experiment we show overreaction is a key feature of individuals’ return expectations, and individuals’ response to the price-earnings ratio is opposite of academic consensus. Our evidence is inconsistent with standard models of expectation formation, but subjective mental models that deviate from objective benchmarks can jointly explain the updating behavior in the experiment, the link between individuals’ prior perceptions and expectations, and the heterogeneity of updating. Conditional on their beliefs, individuals’ sensitivity of equity shares in a hypothetical portfolio choice experiment is consistent with the standard Merton model.