NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
loading...

Belief Disagreement and Portfolio Choice

Maarten Meeuwis, Jonathan A. Parker, Antoinette Schoar, Duncan I. Simester

NBER Working Paper No. 25108
Issued in September 2018, Revised in September 2019
NBER Program(s):Economics of Aging, Asset Pricing, Corporate Finance, Economic Fluctuations and Growth

Using a proprietary dataset of the portfolio holdings of millions of US households, we document how agents who believe in different models of the world update their beliefs heterogeneously in response to a public signal. We identify households ex ante that hold different models of the world using political party affiliation (probabilistically inferred from zip code), and our public signal is the unexpected outcome of the US national election of 2016. Relative to Democrats, Republican investors actively increase the equity share and market beta of their portfolios following the election. The rebalancing is due to a small share of investors making large adjustments. We conclude that this behavior is driven by belief heterogeneity because of extensive controls for differential hedging needs or preferences, including detailed controls for age, wealth, income, state, and even county-employer fixed effects.

download in pdf format
   (1445 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w25108

 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us