WebMay 20, 2024 · This paper develops a new method informed by data and models to recover information about investor beliefs. Our approach uses information embedded in forward … WebThis paper develops a new 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 …
EconPapers: Robust Identification of Investor Beliefs
WebMay 30, 2013 · Robust Identification of Investor Beliefs Downloads 229 (174,728) Citation 1 3 8. Efficient Estimation of Copula-Based Semiparametric Markov Models Cowles Foundation Discussion Paper No. 1691 Number of pages: 56 Posted: 26 Feb 2009 Last Revised: 16 Mar 2009 Xiaohong Chen, Wei Biao Wu and Yanping Yi WebMay 20, 2024 · Formally, we represent evidence about investor beliefs using a novel nonlinear expectation function deduced using model-implied moment conditions and … burbank hertz car rental
Robust Identification of Investor Beliefs - ResearchGate
WebAdditionally, 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. WebRobust Identification of Investor Beliefs. Xiaohong Chen (), Lars Hansen and Peter Hansen () Additional contact information Xiaohong Chen: Yale University Peter Hansen: Massachusetts Institute of Technology - Sloan School of Management No 2024-69, Working Papers from Becker Friedman Institute for Research In Economics. WebRobust Identification of Investor Beliefs Abstract 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 … hallmark tree ornaments 2022