Robust identification of investor beliefs

Chen Xiaohong; Hansen Lars Peter; Hansen Peter G.

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Robust identification of investor beliefs

机译：Robust identification of investor beliefs

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摘要

This paper develops a method informed by data and models to recover information about investor beliefs. Our approach uses information embedded in forward-looking asset prices in conjunction with asset pricing models. We step back from presuming rational expectations and entertain potential belief distortions bounded by a statistical measure of discrepancy. Additionally, our method allows for the direct use of sparse survey evidence to make these bounds more informative. Within our framework, market-implied beliefs may differ from those implied by rational expectations due to behavioral/psychological biases of investors, ambiguity aversion, or omitted permanent components to valuation. Formally, we represent evidence about investor beliefs using a nonlinear expectation function deduced using model-implied moment conditions and bounds on statistical divergence. We illustrate our method with a prototypical example from macrofinance using asset market data to infer belief restrictions for macroeconomic growth rates.

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《Proceedings of the National Academy of Sciences of the United States of America.》 |2020年第52期|33130-33140|共11页
作者
Chen Xiaohong; Hansen Lars Peter; Hansen Peter G.;
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作者单位

Dept Econ,Yale Univ;

Dept Econ,Univ Chicago;

Sloan Sch Management,MIT;

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收录信息美国《科学引文索引》(SCI);美国《生物学医学文摘》(MEDLINE);美国《化学文摘》(CA);
原文格式 PDF
正文语种英语
中图分类自然科学总论;
关键词
subjective beliefs; asset pricing; intertemporal divergence; bounded rationality; large deviation theory; ASSET-PRICING-MODELS; EXPECTATIONS; CONSUMPTION; UNCERTAINTY; PRICES; RISK;

Robust identification of investor beliefs

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