INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for duplicated mails!)
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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