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- W3204197083 abstract "To understand the dynamics of investor asset demands, we develop a multiperiod general-equilibrium model driven by a single latent variable, differences in beliefs, resulting from heterogeneity in investors' confidence regarding the return dynamics of assets. Consistent with the data, investors' asset holdings are concentrated and display large and persistent heterogeneity in asset demands across investors. Moreover, demand curves are steeper than with homogeneous beliefs. The time-series and cross-sectional variation in assets' realized and expected returns, as well as their volatilities, are driven by the mean and dispersion of latent demand." @default.
- W3204197083 created "2021-10-11" @default.
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- W3204197083 date "2021-01-01" @default.
- W3204197083 modified "2023-09-27" @default.
- W3204197083 title "Dynamics of Asset Demands with Confidence Heterogeneity" @default.
- W3204197083 hasPublicationYear "2021" @default.
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