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"Superstitious" Investors / Hongye Guo, Jessica A. Wachter.
- Format:
- Book
- Author/Creator:
- Guo, Hongye.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w25603.
- NBER working paper series no. w25603
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2019.
- Summary:
- We consider an economy in which investors believe dividend growth is predictable, when in reality it is not. We show that these beliefs lead to excess volatility and return predictability. We also show that these beliefs are rational in the face of evidence on dividend growth. We apply this framework to explaining the value premium, predictability of bond returns, and the violation of uncovered interest rate parity.
- Notes:
- Print version record
- February 2019.
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