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We experimentally study the transmission of subjective expectations into actions. Subjects in our experiment report valuations that are far too insensitive to their expectations, relative to the prediction from a frictionless model. We propose that the insensitivity is driven by a noisy cognitive process that prevents subjects from precisely computing asset valuations. The empirical link between subjective expectations and actions becomes stronger as subjective expectations approach rational expectations. Our results highlight the importance of incorporating weak transmission into belief-based asset pricing models. Finally, we discuss how cognitive noise can provide a microfoundation for inelastic demand in the stock market.
Keyword:
EXPECTATIONS
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9.5
论文数:
4.0K
被引数:
5.0W
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Extrapolative beliefs in the cross-section: What can we learn from the crowds?横截面中的外推信念: 我们能从人群中学到什么？.png)
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