The next QRFE Webinar will take place on Thursday 26 of November 2020 at 15h00.
Our speaker is Dr. Anisha Ghosh from McGill University. Anisha's website is here:
Anisha will present:
Title: Recovering Heterogeneous Beliefs and Preferences from Asset Prices
Abstract: We propose a novel information-theoretic approach to separately identify the risk preferences and beliefs of different types of financial market investors. Investors who allocate most of their wealth in large market capitalization stocks are risk averse and believe that the aggregate stock market return is strongly countercyclical. In contrast, investors in small-growth stocks are substantially less risk averse and believe in procyclical expectedstock market returns. Our findings can reconcile the procyclical expected market returns found in investor survey data with the countercyclical expected returns implied by rational expectations models.