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Asset Pricing In a World of Imperfect Foresight

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Conférencier : Peter Bossaerts - University of Melbourne
Date de l'événement : mardi 17 décembre 2019 12:30 - 13:45
Lieu : University of Luxembourg
Metz/Nancy Room
29 Boulevard J.-F. Kennedy
L-1855 Luxembourg

We consider a canonical model of asset pricing, where agents with quadratic preferences are allowed to re-trade a limited set of securities for a number of periods, after
which these securities expire, and agents consume their liquidation values. A key assumption in this model is that agents have perfect foresight: they correctly predict
prices in all future contingencies. We show that, under myopia, prices generically are as if agents had perfect foresight. Yet their choices are \wrong," because agents ignore
that they can re-trade. In an experiment, prices and choices are found to be as predicted by myopia.

Fichier : Invitation_P.Bossaerts_17.12.2019.pdf 300,52 kB