University of California at Berkeley
530-1 Evans Hall #3880
Berkeley, CA 94720
Institutional Affiliation: University of California at Berkeley
NBER Working Papers and Publications
|June 2019||Investor Experiences and International Capital Flows|
with Ulrike Malmendier, Victoria Vanasco
in NBER International Seminar on Macroeconomics 2019, Kristin Forbes and Pierre-Olivier Gourinchas, organizers
|June 2018||Investor Experiences and Financial Market Dynamics|
with Ulrike Malmendier, Victoria Vanasco: w24697
How do macro-financial shocks affect investor behavior and market dynamics? Recent evidence suggests long-lasting effects of personally experienced outcomes on investor beliefs and investment but also significant differences across older and younger generations. We formalize experience-based learning in an OLG model, where different cross-cohort experiences generate persistent heterogeneity in beliefs, portfolio choices, and trade. The model allows us to characterize a novel link between investor demographics and the dependence of prices on past dividends, while also generating known features of asset prices, such as excess volatility and return predictability. The model produces new implications for the cross-section of asset holdings, trade volume, and investors' heterogeneous responses ...
Published: Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2019. "Investor Experiences and Financial Market Dynamics," Journal of Financial Economics, .