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Last Published November 01, 2021 12:36 PM September 26, 2022 07:39 AM
Intervention (Public) We conduct a survey of about 2,000 stockholders that are clients of a major German online bank. In our survey, we elicit respondents' beliefs about the historical autocorrelation of stock returns based on a new, individual-level measure. Specifically, we first ask respondents to think of six intervals of historical annual return realizations of the German stock market index (DAX) during the last 50 years. For each return interval, respondents are asked to provide an estimate of the average return of the DAX over the subsequent 12 months if the return over the previous 12 months fell into that interval. Subsequently, a random half of the respondents are informed about the actual historical conditional mean return over the following year for each of the six scenarios of returns over the previous year. Actual conditional mean returns in the six scenarios vary only narrowly around the unconditional historical average return of the DAX of 8.5 percent, illustrating the historical low degree of predictive power of recent returns for future returns at the annual frequency. In both the main survey and a follow-up survey conducted four weeks later, we then measure our respondents' posterior beliefs about the autocorrelation of stock returns and the return over the 12 months after the survey. Between September and November 2019, we conducted a survey of about 2,000 stockholders that are clients of a major German online bank. In our survey, we elicit respondents' beliefs about the historical autocorrelation of stock returns based on a new, individual-level measure. Specifically, we first ask respondents to think of six intervals of historical annual return realizations of the German stock market index (DAX) during the last 50 years. For each return interval, respondents are asked to provide an estimate of the average return of the DAX over the subsequent 12 months if the return over the previous 12 months fell into that interval. Subsequently, a random half of the respondents are informed about the actual historical conditional mean return over the following year for each of the six scenarios of returns over the previous year. Actual conditional mean returns in the six scenarios vary only narrowly around the unconditional historical average return of the DAX of 8.5 percent, illustrating the historical low degree of predictive power of recent returns for future returns at the annual frequency. In both the main survey and a follow-up survey conducted four weeks later, we then measure our respondents' posterior beliefs about the autocorrelation of stock returns and the return over the 12 months after the survey. In July and August 2022, we conducted four additional surveys: - an additional experimental investor survey using an analogous approach as pursued in our main study to measure and shift beliefs about return predictability based on the price-dividend ratio. - an additional descriptive investor survey to study the sources of investors' beliefs about the autocorrelation of returns. - an additional general population survey from Germany measuring respondents' perceived autocorrelation of returns. - an additional general population survey from the US measuring respondents' perceived autocorrelation of returns.
Planned Number of Clusters 2,083 individuals Main study: 2,083 individuals Additional experimental investor survey: 772 individuals Additional descriptive investor survey: 227 individuals Additional general population survey from Germany: 504 individuals Additional general population survey from the US: 508 individuals
Planned Number of Observations 2,083 individuals Main study: 2,083 individuals Additional experimental investor survey: 772 individuals Additional descriptive investor survey: 227 individuals Additional general population survey from Germany: 504 individuals Additional general population survey from the US: 508 individuals
Sample size (or number of clusters) by treatment arms 1,058 individuals in the control group; 1,025 individuals in the treatment group. Main study: 1,058 individuals in the control group; 1,025 individuals in the treatment group. Additional experimental investor survey: 336 individuals in the control group; 357 individuals in the treatment group.
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Field Before After
Affiliation WU Vienna
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