The joint dynamics of investor beliefs and trading during the COVID-19 crash.
Identifieur interne : 000007 ( Main/Exploration ); précédent : 000006; suivant : 000008The joint dynamics of investor beliefs and trading during the COVID-19 crash.
Auteurs : Stefano Giglio [États-Unis] ; Matteo Maggiori [États-Unis] ; Johannes Stroebel [États-Unis] ; Stephen Utkus [États-Unis]Source :
- Proceedings of the National Academy of Sciences of the United States of America [ 1091-6490 ] ; 2021.
Abstract
We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at three points in time: 1) on February 11-12, around the all-time stock market high, 2) on March 11-12, after the stock market had collapsed by over 20%, and 3) on April 16-17, after the market had rallied 25% from its lowest point. Following the crash, the average investor turned more pessimistic about the short-run performance of both the stock market and the real economy. Investors also perceived higher probabilities of both further extreme stock market declines and large declines in short-run real economic activity. In contrast, investor expectations about long-run (10-y) economic and stock market outcomes remained largely unchanged, and, if anything, improved. Disagreement among investors about economic and stock market outcomes also increased substantially following the stock market crash, with the disagreement persisting through the partial market recovery. Those respondents who were the most optimistic in February saw the largest decline in expectations and sold the most equity. Those respondents who were the most pessimistic in February largely left their portfolios unchanged during and after the crash.
DOI: 10.1073/pnas.2010316118
PubMed: 33468667
Affiliations:
- États-Unis
- Californie, Connecticut, District de Columbia, Massachusetts, Pennsylvanie, État de New York
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maggiori@stanford.edu.</nlm:affiliation><country wicri:rule="url">États-Unis</country><wicri:regionArea>National Bureau of Economic Research, Cambridge</wicri:regionArea><wicri:noRegion>Cambridge</wicri:noRegion></affiliation><affiliation wicri:level="2"><nlm:affiliation>Center for Economic and Policy Research, Washington, DC 20009.</nlm:affiliation><country xml:lang="fr">États-Unis</country><placeName><region type="state">District de Columbia</region></placeName><wicri:cityArea>Center for Economic and Policy Research, Washington</wicri:cityArea></affiliation><affiliation wicri:level="2"><nlm:affiliation>Graduate School of Business, Stanford University, Stanford, CA 94305.</nlm:affiliation><country xml:lang="fr">États-Unis</country><placeName><region type="state">Californie</region></placeName><wicri:cityArea>Graduate School of Business, Stanford University, Stanford</wicri:cityArea></affiliation></author><author><name sortKey="Stroebel, Johannes" sort="Stroebel, Johannes" uniqKey="Stroebel J" first="Johannes" last="Stroebel">Johannes Stroebel</name><affiliation wicri:level="2"><nlm:affiliation>National Bureau of Economic Research, Cambridge, MA 02138.</nlm:affiliation><country xml:lang="fr">États-Unis</country><placeName><region type="state">Massachusetts</region></placeName><wicri:cityArea>National Bureau of Economic Research, Cambridge</wicri:cityArea></affiliation><affiliation wicri:level="2"><nlm:affiliation>Center for Economic and Policy Research, Washington, DC 20009.</nlm:affiliation><country xml:lang="fr">États-Unis</country><placeName><region type="state">District de Columbia</region></placeName><wicri:cityArea>Center for Economic and Policy Research, Washington</wicri:cityArea></affiliation><affiliation wicri:level="2"><nlm:affiliation>Stern School of Business, New York University, New York, NY 10012.</nlm:affiliation><country xml:lang="fr">États-Unis</country><placeName><region type="state">État de New York</region></placeName><wicri:cityArea>Stern School of Business, New York University, New York</wicri:cityArea></affiliation></author><author><name sortKey="Utkus, Stephen" sort="Utkus, Stephen" uniqKey="Utkus S" first="Stephen" last="Utkus">Stephen Utkus</name><affiliation wicri:level="2"><nlm:affiliation>Center for Investor Research, Vanguard, Malvern, PA 19355.</nlm:affiliation><country xml:lang="fr">États-Unis</country><placeName><region type="state">Pennsylvanie</region></placeName><wicri:cityArea>Center for Investor Research, Vanguard, Malvern</wicri:cityArea></affiliation></author></analytic><series><title level="j">Proceedings of the National Academy of Sciences of the United States of America</title><idno type="eISSN">1091-6490</idno><imprint><date when="2021" type="published">2021</date></imprint></series></biblStruct></sourceDesc></fileDesc><profileDesc><textClass></textClass></profileDesc></teiHeader><front><div type="abstract" xml:lang="en">We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at three points in time: 1) on February 11-12, around the all-time stock market high, 2) on March 11-12, after the stock market had collapsed by over 20%, and 3) on April 16-17, after the market had rallied 25% from its lowest point. Following the crash, the average investor turned more pessimistic about the short-run performance of both the stock market and the real economy. Investors also perceived higher probabilities of both further extreme stock market declines and large declines in short-run real economic activity. In contrast, investor expectations about long-run (10-y) economic and stock market outcomes remained largely unchanged, and, if anything, improved. Disagreement among investors about economic and stock market outcomes also increased substantially following the stock market crash, with the disagreement persisting through the partial market recovery. Those respondents who were the most optimistic in February saw the largest decline in expectations and sold the most equity. Those respondents who were the most pessimistic in February largely left their portfolios unchanged during and after the crash.</div></front></TEI><pubmed><MedlineCitation Status="In-Process" Owner="NLM"><PMID Version="1">33468667</PMID><DateRevised><Year>2021</Year><Month>01</Month><Day>22</Day></DateRevised><Article PubModel="Print"><Journal><ISSN IssnType="Electronic">1091-6490</ISSN><JournalIssue CitedMedium="Internet"><Volume>118</Volume><Issue>4</Issue><PubDate><Year>2021</Year><Month>01</Month><Day>26</Day></PubDate></JournalIssue><Title>Proceedings of the National Academy of Sciences of the United States of America</Title><ISOAbbreviation>Proc Natl Acad Sci U S A</ISOAbbreviation></Journal><ArticleTitle>The joint dynamics of investor beliefs and trading during the COVID-19 crash.</ArticleTitle><ELocationID EIdType="pii" ValidYN="Y">e2010316118</ELocationID><ELocationID EIdType="doi" ValidYN="Y">10.1073/pnas.2010316118</ELocationID><Abstract><AbstractText>We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at three points in time: 1) on February 11-12, around the all-time stock market high, 2) on March 11-12, after the stock market had collapsed by over 20%, and 3) on April 16-17, after the market had rallied 25% from its lowest point. Following the crash, the average investor turned more pessimistic about the short-run performance of both the stock market and the real economy. Investors also perceived higher probabilities of both further extreme stock market declines and large declines in short-run real economic activity. In contrast, investor expectations about long-run (10-y) economic and stock market outcomes remained largely unchanged, and, if anything, improved. Disagreement among investors about economic and stock market outcomes also increased substantially following the stock market crash, with the disagreement persisting through the partial market recovery. Those respondents who were the most optimistic in February saw the largest decline in expectations and sold the most equity. Those respondents who were the most pessimistic in February largely left their portfolios unchanged during and after the crash.</AbstractText></Abstract><AuthorList CompleteYN="Y"><Author ValidYN="Y"><LastName>Giglio</LastName><ForeName>Stefano</ForeName><Initials>S</Initials><AffiliationInfo><Affiliation>Yale School of Management, Yale University, New Haven, CT 06511.</Affiliation></AffiliationInfo><AffiliationInfo><Affiliation>National Bureau of Economic Research, Cambridge, MA 02138.</Affiliation></AffiliationInfo><AffiliationInfo><Affiliation>Center for Economic and Policy Research, Washington, DC 20009.</Affiliation></AffiliationInfo></Author><Author ValidYN="Y"><LastName>Maggiori</LastName><ForeName>Matteo</ForeName><Initials>M</Initials><AffiliationInfo><Affiliation>National Bureau of Economic Research, Cambridge, MA 02138; maggiori@stanford.edu.</Affiliation></AffiliationInfo><AffiliationInfo><Affiliation>Center for Economic and Policy Research, Washington, DC 20009.</Affiliation></AffiliationInfo><AffiliationInfo><Affiliation>Graduate School of Business, Stanford University, Stanford, CA 94305.</Affiliation></AffiliationInfo></Author><Author ValidYN="Y"><LastName>Stroebel</LastName><ForeName>Johannes</ForeName><Initials>J</Initials><AffiliationInfo><Affiliation>National Bureau of Economic Research, Cambridge, MA 02138.</Affiliation></AffiliationInfo><AffiliationInfo><Affiliation>Center for Economic and Policy Research, Washington, DC 20009.</Affiliation></AffiliationInfo><AffiliationInfo><Affiliation>Stern School of Business, New York University, New York, NY 10012.</Affiliation></AffiliationInfo></Author><Author ValidYN="Y"><LastName>Utkus</LastName><ForeName>Stephen</ForeName><Initials>S</Initials><Identifier Source="ORCID">0000-0003-4940-9715</Identifier><AffiliationInfo><Affiliation>Center for Investor Research, Vanguard, Malvern, PA 19355.</Affiliation></AffiliationInfo></Author></AuthorList><Language>eng</Language><PublicationTypeList><PublicationType UI="D016428">Journal Article</PublicationType></PublicationTypeList></Article><MedlineJournalInfo><Country>United States</Country><MedlineTA>Proc Natl Acad Sci U S A</MedlineTA><NlmUniqueID>7505876</NlmUniqueID><ISSNLinking>0027-8424</ISSNLinking></MedlineJournalInfo><CitationSubset>IM</CitationSubset><KeywordList Owner="NOTNLM"><Keyword MajorTopicYN="Y">COVID-19</Keyword><Keyword MajorTopicYN="Y">beliefs</Keyword><Keyword MajorTopicYN="Y">surveys</Keyword><Keyword MajorTopicYN="Y">trading</Keyword></KeywordList><CoiStatement>Competing interest statement: S.U. is employed at Vanguard in a research capacity. S.G., M.M., and J.S. are unpaid consultants at Vanguard in order to access the anonymized data. Vanguard provided anonymized portfolio and survey data and survey research services for this project.</CoiStatement></MedlineCitation><PubmedData><History><PubMedPubDate PubStatus="entrez"><Year>2021</Year><Month>1</Month><Day>20</Day><Hour>5</Hour><Minute>43</Minute></PubMedPubDate><PubMedPubDate PubStatus="pubmed"><Year>2021</Year><Month>1</Month><Day>21</Day><Hour>6</Hour><Minute>0</Minute></PubMedPubDate><PubMedPubDate PubStatus="medline"><Year>2021</Year><Month>1</Month><Day>21</Day><Hour>6</Hour><Minute>0</Minute></PubMedPubDate></History><PublicationStatus>ppublish</PublicationStatus><ArticleIdList><ArticleId IdType="pubmed">33468667</ArticleId><ArticleId IdType="pii">2010316118</ArticleId><ArticleId IdType="doi">10.1073/pnas.2010316118</ArticleId></ArticleIdList><ReferenceList><Reference><Citation>Giglio S., Maggiori M., Stroebel J., Utkus S.. 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SSRN. 2020.</Citation></Reference></ReferenceList></PubmedData></pubmed><affiliations><list><country><li>États-Unis</li></country><region><li>Californie</li><li>Connecticut</li><li>District de Columbia</li><li>Massachusetts</li><li>Pennsylvanie</li><li>État de New York</li></region></list><tree><country name="États-Unis"><region name="Connecticut"><name sortKey="Giglio, Stefano" sort="Giglio, Stefano" uniqKey="Giglio S" first="Stefano" last="Giglio">Stefano Giglio</name></region><name sortKey="Giglio, Stefano" sort="Giglio, Stefano" uniqKey="Giglio S" first="Stefano" last="Giglio">Stefano Giglio</name><name sortKey="Giglio, Stefano" sort="Giglio, Stefano" uniqKey="Giglio S" first="Stefano" last="Giglio">Stefano Giglio</name><name sortKey="Maggiori, Matteo" sort="Maggiori, Matteo" uniqKey="Maggiori M" first="Matteo" last="Maggiori">Matteo Maggiori</name><name sortKey="Maggiori, Matteo" sort="Maggiori, Matteo" uniqKey="Maggiori M" first="Matteo" last="Maggiori">Matteo Maggiori</name><name sortKey="Maggiori, Matteo" sort="Maggiori, Matteo" uniqKey="Maggiori M" first="Matteo" last="Maggiori">Matteo Maggiori</name><name sortKey="Stroebel, Johannes" sort="Stroebel, Johannes" uniqKey="Stroebel J" first="Johannes" last="Stroebel">Johannes Stroebel</name><name sortKey="Stroebel, Johannes" sort="Stroebel, Johannes" uniqKey="Stroebel J" first="Johannes" last="Stroebel">Johannes Stroebel</name><name sortKey="Stroebel, Johannes" sort="Stroebel, Johannes" uniqKey="Stroebel J" first="Johannes" last="Stroebel">Johannes Stroebel</name><name sortKey="Utkus, Stephen" sort="Utkus, Stephen" uniqKey="Utkus S" first="Stephen" last="Utkus">Stephen Utkus</name></country></tree></affiliations></record>Pour manipuler ce document sous Unix (Dilib)
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