Robust Identification of Investor Beliefs

@article{Chen2020RobustIO,
  title={Robust Identification of Investor Beliefs},
  author={Xiaohong Chen and L. Hansen and Peter G Hansen},
  journal={NBER Working Paper Series},
  year={2020}
}
This paper develops a new method informed by data and models to recover information about investor beliefs. Our approach uses information embedded in forward-looking asset prices in conjunction with asset pricing models. We step back from presuming rational expectations and entertain potential belief distortions bounded by a statistical measure of discrepancy. Additionally, our method allows for the direct use of sparse survey evidence to make these bounds more informative. Within our framework… Expand

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