Long-term Expectations
29 September 2022 @ 6:30 pm - 8:00 pm
Online Research Seminar
18:30 pm, Thursday, 29 September 2022
Perceived long-term (ten-year horizon) return distributions are remarkably bearish and most individuals believe that uncertainty is only marginally greater in the long term than the near term (one-year horizon), resulting in inferred variance ratios that require unprecedented levels of mean reversion. Although respondents’ near-term beliefs are extrapolative, long-term beliefs are counter-cyclical. Long-term beliefs are more important than near-term beliefs in explaining equity market participation. Respondents agree more about long-term than near-term returns and respondents’ characteristics better explain long-term, versus near-term, belief heterogeneity. These patterns have important implications for understanding household finance and both behavioral and traditional asset pricing.
Abstract: Long-term Expectations
About the speaker
Prof. Richard Sias is a prominent finance professor with primary interest in investments. He previously served as an Associate Editor at the Review of Financial Studies and on the Editorial Board of the Financial Analysts Journal. He has published numerous articles in leading finance and business journals including the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Business, Journal of Financial and Quantitative Analysis, Management Science, MIS Quarterly, Financial Analysts Journal, Journal of Banking and Finance, Journal of Investment Management and more. His work has been cited over 9,700 times (google scholar: https://scholar.google.com/citations?user=3-VrsV4AAAAJ&hl=en&oi=ao)