Sentiment, Risk Aversion, and Time Preference
Event details
| Date | 16.10.2015 |
| Hour | 10:30 › 12:00 |
| Speaker | Giovanni BARONE ADESI (Università della Svizzera italiana) |
| Location | |
| Category | Conferences - Seminars |
This paper provides estimates of aggregate preferences, beliefs, and sentiment from option prices and historical returns. Our market-based estimates correlate well with independent survey-based estimates, and yet deliver several novel insights. Our analysis points out two significant issues related to overconfidence. First, the Baker–Wurgler index strongly reflects excessive optimism but not overconfidence. Second, optimism and overconfidence comove over time and generate a perceived negative risk-return relationship, while objectively the relationship is positive.
Links
Practical information
- Informed public
- Free