Non-Additivity of Subjective Expectations over Different Time Intervals
Peter Haan,
Chen Sun,
Uwe Sunde and
Georg Weizsäcker
Additional contact information
Peter Haan: FU Berlin and DIW Berlin
Chen Sun: HU Berlin
No 337, Rationality and Competition Discussion Paper Series from CRC TRR 190 Rationality and Competition
Abstract:
We examine the additivity of stock-market expectations over different time intervals. When asked about a ten-year interval, survey respondents expect a stock-price change that is not equal to, but closer to zero than, the sum of their expectations over two shorter time intervals that cover the same ten years. Such sub-additivity is irrational in that it cannot stem from aggregating short-term expectations. Model estimates show that the pattern is consistent with a time perception where shorter time intervals have a proportionally larger weight. We also find that the respondents’ degree of additivity is correlated with making larger financial investments.
Keywords: expectation formation; time perception; sub-additivity; super-additivity (search for similar items in EconPapers)
JEL-codes: D01 D14 D84 (search for similar items in EconPapers)
Date: 2022-09-09
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://rationality-and-competition.de/wp-content/uploads/2022/09/337.pdf (application/pdf)
Related works:
Working Paper: Non-Additivity of Subjective Expectations over Different Time Intervals (2022) 
Working Paper: Non-Additivity of Subjective Expectations over Different Time Intervals (2022) 
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:rco:dpaper:337
Access Statistics for this paper
More papers in Rationality and Competition Discussion Paper Series from CRC TRR 190 Rationality and Competition
Bibliographic data for series maintained by Viviana Lalli ().