AFA2019会议论文（30）：Expectations in Household Finance

AFA2019会议论文（30）：Expectations in Household Finance

金融经济学 3天前

1、New Experimental Evidence on Expectations Formation

Augustin Landier,HEC Paris

Yueran Ma,Harvard University

David Thesmar,Massachusetts Institute of Technology

Abstract

In this paper, we measure belief formation in an experimental setting where agents are incentivized to provide accurate forecasts of a random variable, drawn from a stable and simple statistical process. Using these data, we estimate an empirical model that builds on the recent literature on expectation dynamics: It nests rational expectations, but also allows for extrapolation and under-reaction. Our findings are threefold. First, the rational expectation hypothesis is strongly rejected in our setting, and we find little evidence or learning. Second,both extrapolation and underreaction patterns are statistically discernible in the data, but extrapolation quantitatively dominates. Third, our model coefficients are very robust to changes in experimental setting: They do not depend on process parameters, individual characteristics or framing. These large and stable deviations from rationality occur even though the forecasting exercise is simple and transparent.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1156

2、Perception of House Price Risk and Homeownership

Manuel Adelino,Duke University

Antoinette Schoar,Massachusetts Institute of Technology

Felipe Severino,Dartmouth College

Abstract

Using a new, nationally representative housing survey from Fannie Mae, we document four new facts about how households form expectations about house price risk. First the majority of US households (71%) believes that housing is a “safe” investment. In comparison, only 18% believe that stocks are a safe investment, and 55% for bonds. Second, the share of households who perceive housing as risky co-moves strongly with recent local house price changes, i.e. households extrapolate from recent experience about house price risk, parallel to what has previously been shown for house price expectations. Third, perceptions about the riskiness of housing as an investment are strongly correlated with demographic characteristics of households. Renters in particular are more likely to say that housing is a risky investment and slower to update beliefs about risk conditional on their geographic location,income,level of savings and future job prospects. Finally, perceptions about house price risk affect the future intentions of households.People who believe that housing is risky are more likely to prefer renting over buying in their next move.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=2006

3、The Long-lasting Effects of Propaganda on Financial Risk-Taking 

Christine Laudenbach,Goethe University Frankfrut

Ulrike Malmendier,University of California, Berkeley

Alexandra Niessen-Ruenzi,University of Mannheim

Abstract

We analyze the long-term effects of living under communism and its political propaganda in East Germany (former GDR) for financial risk-taking. Utilizing comprehensive German brokerage data, we show that, decades after reunification, East Germans still invest significantly less in the stock market. Consistent with communist friends-and-foes propaganda, they are more likely to hold stocks of companies in communist countries (China, Russia, Vietnam), and are particularly unlikely to invest in American companies or the financial industry. Effects are stronger for individuals for whom we expect stronger emotional priming, for example those living in communist “showcase cities” or cities of Olympic gold medalists. In contrast, East Germans with negative experiences invest more in the stock market today, e. g., those experiencing environmental pollution and suppression of religious beliefs and those without access to (Western) TV entertainment. Election years appear to have trigger effects inducing East Germans to reduce their stock-market investment further. We also provide evidence of negative welfare consequences, as indicated by investment in more expensive actively managed funds, less diversified portfolios, and lower risk-adjusted returns.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1997

4、Thy Neighbor's Misfortune: Peer Effect on Consumption

Sumit Agarwal,National University of Singapore

Wenlan Qian,National University of Singapore

Xin Zou,Hong Kong Baptist University

Abstract

Using a large, representative sample of credit and debit card transactions in Singapore, we study the consumption response of individuals whose same-building neighbors experienced personal bankruptcy. The unique bankruptcy rules in Singapore suggest liquidity shocks drive personal bankruptcy and the bankrupts experience severe consumption decrease afterwards.Peers’ monthly card consumption decreases by 3.4 percent over the one-year post-bankruptcy period. We find no occupation concentration in the bankruptcy-hit buildings, no consumption decrease among individuals in immediately adjacent buildings, or for consumers with diminished post-event social ties with the bankrupt individual. Our findings imply a significant social multiplier effect of 0.8-1.2 times the original consumption shock. The response is more pronounced for consumers with greater interaction and is equally strong in the conspicuous and non-conspicuous goods.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1188

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