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雷达卡
摘要翻译：
我们在基于经验的信念形成的现代宏观金融模型的基础上，对资本流动和证券组合投资的经典国际宏观难题提出了一种新颖的解释。过去宏观经济结果的个人经验已被证明对未来实现的信念产生了长期影响，并解释了国内股市投资的原因。我们认为，经验效应可以解释投资者在国内股票上持有比例过高的股票财富的倾向（国内偏好），在国内危机时期投资于国内股票市场（紧缩），以及在国外危机时期从国外股票市场撤出资本（变化无常）。在经济活动较高或较低的时期，根据市场参与者的人口组成，基于经验的学习对这些难题的强度产生了额外的影响。我们在数据中检验并证实了这些预测。
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英文标题：
《Investor Experiences and International Capital Flows》
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作者：
Ulrike Malmendier and Demian Pouzo and Victoria Vanasco
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
We propose a novel explanation for classic international macro puzzles regarding capital flows and portfolio investment, which builds on modern macro-finance models of experience-based belief formation. Individual experiences of past macroeconomic outcomes have been shown to exert a long-lasting influence on beliefs about future realizations, and to explain domestic stock-market investment. We argue that experience effects can explain the tendency of investors to hold an over proportional fraction of their equity wealth in domestic stocks (home bias), to invest in domestic equity markets in periods of domestic crises (retrenchment), and to withdraw capital from foreign equity markets in periods of foreign crises (fickleness). Experience-based learning generates additional implications regarding the strength of these puzzles in times of higher or lower economic activity and depending on the demographic composition of market participants. We test and confirm these predictions in the data.
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PDF链接：
https://arxiv.org/pdf/2001.07790
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