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- W3031409116 abstract "Significance Prices in asset markets reflect a combination of investor beliefs and their risk preferences. Researchers, as well as policymakers, look to asset market data as a barometer of public beliefs. Such data are informative because investors must be compensated for exposure to macroeconomic shocks, and thus beliefs about future macroeconomic performance are encoded in asset prices. 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 conjunction with asset pricing models. We entertain families of potential belief distortions bounded by a statistical measure of divergence. Additionally, our method allows for the direct use of sparse survey evidence to make these bounds more informative." @default.
- W3031409116 created "2020-06-05" @default.
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- W3031409116 date "2020-12-14" @default.
- W3031409116 modified "2023-10-02" @default.
- W3031409116 title "Robust identification of investor beliefs" @default.
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- W3031409116 doi "https://doi.org/10.1073/pnas.2019910117" @default.
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