INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for duplicated mails!) **************************************************************************** Date: OCTOBER 10 (Wednesday), 2012 - 4:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Stefan NAGEL, Graduate School of Business, Stanford University http://faculty-gsb.stanford.edu/nagel/ Title: “GREAT EXPECTATIONS, BIG DISAPPOINTMENTS: CYCLES IN SUBJECTIVE ASSET RETURN EXPECTATIONS” ABSTRACT: Recurrent boom/bust episodes in financial markets and the macroeconomy are challenging for economists to explain. In this talk, I discuss research that examines micro data on portfolio choice and subjective expectations to uncover potential drivers of these boom/bust cycles. A variety of empirical patterns in household asset allocation and in subjective expectations about future stock returns, house prices, and inflation suggest a common underlying expectations-formation mechanism that we label "learning from experience": While individuals continuously refine their forecasts in light of new data, they draw primarily on their own life-time experiences rather than all available historical data in forming their expectations. As a result, memory of past macroeconomic events is gradually lost over time. Extrapolation from life-time experiences generates to pro-cyclical asset return expectations, where rising asset prices fuel optimism, and downturns generate pessimism. ABOUT STEFAN NAGEL: Stefan Nagel is an Associate Professor of Finance at Stanford University's Graduate School of Business. He has won various awards and fellowships, among them the Smith-Breeden Prize of the American Finance Association for the best paper in the Journal of Finance in 2004 and the Fama/DFA prize for the best asset pricing paper in the Journal of Financial Economics in 2006 (first prize) and 2010 (second prize). He is a Research Associate at the National Bureau of Economic Research, a Research Fellow at the Centre for Economic Policy Research, an Associate Editor of the Journal of Finance and the Review of Finance, and a former Associate Editor of the Review of Financial Studies. Professor Nagel received his PhD from the London Business School in 2003, and he had been a visiting doctoral student at MIT. Before joining the Stanford GSB in 2004, he spent a year as a lecturer at Harvard University. **Please REGISTER**: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-4244 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics Mag. Dorothea GRIMM www.gutmann-center.at