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Expectations and Attention to Experience
Beckmeyer, Heiner; Guecioueur, Ahmed - 2023
We measure which past experiences determine investors' expectations about the market's future Sharpe Ratio. We first introduce a simple method to recover individuals' subjective Sharpe Ratios from a rich source of survey microdata. These subjective expectations are procyclical, extrapolative,...
Persistent link: https://www.econbiz.de/10014257361
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Surveying Generative AI's Economic Expectations
Bybee, Leland - 2023
I introduce a survey of economic expectations formed by querying a large language model (LLM)’s expectations of various financial and macroeconomic variables based on a sample of news articles from the Wall Street Journal between 1984 and 2021. I find the resulting expectations closely match...
Persistent link: https://www.econbiz.de/10014350652
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Inflation and attention thresholds
Korenok, Oleg; Munro, David; Chen, Jiayi - 2022
One of the dangers of high inflation is that it can cause firms and households to pay close attention to it. This … internalization of inflation can lead to an accelerationist regime, making inflation harder to control. We empirically assess the … relationship between attention and the level of inflation for 37 countries. Our measures of attention are constructed either from …
Persistent link: https://www.econbiz.de/10013392209
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The rockets and feathers of inflation attention
Korenok, Oleg; Munro, David - 2024
Prior research has documented that attention to inflation shifts when inflation surpasses a 3-4% threshold. In this … note we examine how attention to inflation declines in episodes of disinflation. We show that for countries where inflation … inflation. We show evidence that wage growth is more strongly correlated with past inflation when attention is high. This is one …
Persistent link: https://www.econbiz.de/10014637565
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A Dynamic Measure of Intentional Herd Behavior Causing Excess Volatility in U.S. Stock Markets (미국 주식시장의 초과변동성과 의도적 무리행동의 동태적 측정)
Kim, Myung Joong; Park, Beum-Jo - 2021
English Abstract: This paper suggests a dynamic measure of intentional herding, causing the excess volatility or even systemic risk in financial markets, which is based on a new concept of cumulative returns in the same direction as well as the collective behavior of all investors towards the...
Persistent link: https://www.econbiz.de/10013220876
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Expectation Formation in Finance and Macroeconomics : A Review of New Experimental Evidence
Te, Bao; Hommes, Cars H.; Pei, Jiaoying - 2021
This paper reviews the recent development and new findings of the literature on learning to forecast experiments (LtFEs). In general, the stylized finding in the typical LtFEs, namely the rapid convergence to the rational expectations equilibrium (REE) in negative feedback markets and persistent...
Persistent link: https://www.econbiz.de/10013215416
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Corporate Culture : A Review and Directions for Future Research
Grennan, Jillian; Li, Kai - 2022
We define corporate culture as an informal institution typified by patterns of behavior and reinforced by people, systems, and events. Corporate culture is manifest in many elements, but brings unity to employees’ perspectives through the expectations they have for how they need to behave to...
Persistent link: https://www.econbiz.de/10013290618
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Statistica Afacerilor : Aplicaţii, partea a șasea (Business Statistics: Exercises, Part 6)
Stefanescu, Razvan; Dumitriu, Ramona - 2022
Romanian Abstract: Efectele calendaristice asociate evoluțiilor piețelor financiare constau în randamente anormal de ridicate sau de joase care survin în intervale calendaristice specifice. Cunoștințele asupra unor astfel de forme de sezonalitate pot fi exploatate în conceperea unor...
Persistent link: https://www.econbiz.de/10013403085
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Stock Returns, Market Trends, and Information Theory : A Statistical Equilibrium Approach
Citera, Emanuele - 2021
This paper attempts to develop a theory of statistical equilibrium based on an entropy-constrained framework, that allow us to explain the distribution of stock returns overdi erent market trends. By making use of the Quantal Response Statistical Equilib-rium model (Scharfenaker and Foley,...
Persistent link: https://www.econbiz.de/10013210881
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Inflation and attention thresholds
Korenok, Oleg; Munro, David; Chen, Jiayi - 2022
One of the dangers of high inflation is that it can cause firms and households to pay close attention to it. This … internalization of inflation can lead to an accelerationist regime, making inflation harder to control. We empirically assess the … relationship between attention and the level of inflation for 37 countries. Our measures of attention are constructed either from …
Persistent link: https://www.econbiz.de/10013382698