EconPapers    
Economics at your fingertips  
 

Dynamics and heterogeneity of subjective stock market expectations

Florian Heiss, Michael Hurd, Maarten van Rooij (), Tobias Rossmann and Joachim Winter

DNB Working Papers from Netherlands Central Bank, Research Department

Abstract: Between 2004 and 2016, we elicited individuals' subjective expectations of stock market returns in a Dutch internet panel at bi-annual intervals. In this paper, we develop a panel data model with a finite mixture of expectation types who differ in how they use past stock market returns to form current stock market expectations. The model allows. For rounding in the probabilistic responses and for observed and unobserved heterogeneity at several levels. We estimate the type distribution in the population and find evidence for considerable heterogeneity in expectation types and meaningful variation over time, in particular during the financial crisis of 2008/09.

Keywords: expectations; stock markets; financial crisis; mixture models; surveys (search for similar items in EconPapers)
JEL-codes: D12 D84 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
Date: 2019-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.dnb.nl/en/binaries/Working%20paper%20No.%20640_tcm47-384374.pdf

Related works:
Working Paper: Dynamics and Heterogeneity of Subjective Stock Market Expectations (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:640

Access Statistics for this paper

More papers in DNB Working Papers from Netherlands Central Bank, Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Richard Heuver ().

 
Page updated 2019-12-07
Handle: RePEc:dnb:dnbwpp:640