<div class="csl-bib-body">
<div class="csl-entry">Dangl, T., Garlappi, L., & Weissensteiner, A. (2023, January 15). <i>Conservative Holdings, Aggressive Trades: Ambiguity, Learning, and Equilibrium Flows</i> [Conference Presentation]. 16th Jackson Hole Finance Group Conference, United States of America (the). http://hdl.handle.net/20.500.12708/193375</div>
</div>
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/193375
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dc.description.abstract
We propose an equilibrium asset pricing model in which agents learn about the parame-
ters that drive economic fundamentals and differ in their aversion to ambiguity. We first
show that, when agents are averse to parameter uncertainty, learning about the volatility
of fundamentals has a first-order effect on portfolio flows: ambiguity-averse agents increase
their risky asset holdings in periods of high uncertainty, despite holding conservative port-
folios. We then show that subjective risk premia increase following both unexpected good
and bad news. These predictions are consistent with observed portfolio flows of retail and
institutional investors around dividend surprises. Our model highlights that heterogeneity of
preferences and learning about volatility of fundamentals are key channels for understand-
ing the equilibrium dynamics of portfolio holdings and risk premia following news about
economic outcomes.
en
dc.language.iso
en
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dc.subject
Ambiguity
en
dc.subject
uncertainty
en
dc.subject
equilibrium asset prices
en
dc.subject
learning
en
dc.subject
portfolio flows
en
dc.subject
heterogeneous agents
en
dc.title
Conservative Holdings, Aggressive Trades: Ambiguity, Learning, and Equilibrium Flows
en
dc.type
Presentation
en
dc.type
Vortrag
de
dc.contributor.affiliation
University of British Columbia, Canada
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dc.contributor.affiliation
Free University of Bozen-Bolzano, Italy
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dc.type.category
Conference Presentation
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tuw.researchTopic.id
A4
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tuw.researchTopic.name
Mathematical Methods in Economics
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tuw.researchTopic.value
100
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tuw.publication.orgunit
E330-04 - Forschungsbereich Finanzwirtschaft und Controlling
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tuw.author.orcid
0000-0001-7821-0305
-
tuw.author.orcid
0000-0003-3392-2426
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tuw.author.orcid
0000-0002-8600-0516
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tuw.event.name
16th Jackson Hole Finance Group Conference
en
tuw.event.startdate
14-01-2023
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tuw.event.enddate
16-01-2023
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tuw.event.online
On Site
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tuw.event.type
Event for scientific audience
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tuw.event.country
US
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tuw.event.institution
University of North Carolina
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tuw.event.presenter
Garlappi, Lorenzo
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tuw.event.track
Single Track
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wb.sciencebranch
Wirtschaftswissenschaften
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wb.sciencebranch.oefos
5020
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wb.sciencebranch.value
100
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item.openairetype
conference paper not in proceedings
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item.cerifentitytype
Publications
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item.grantfulltext
none
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item.languageiso639-1
en
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item.openairecristype
http://purl.org/coar/resource_type/c_18cp
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item.fulltext
no Fulltext
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crisitem.author.dept
E330-04 - Forschungsbereich Finanzwirtschaft und Controlling