Home > Publications . Search All . Browse All . Country . Browse PSC Pubs . PSC Report Series

PSC In The News

RSS Feed icon

Surprising findings on what influences unintended pregnancy from Wise, Geronimus and Smock

Recommendations on how to reduce discrimination resulting from ban-the-box policies cite Starr's work

Brian Jacob on NAEP scores: "Michigan is the only state in the country where proficiency rates have actually declined over time."

More News

Highlights

Call for papers: Conference on computational social science, April 2017, U-M

Sioban Harlow honored with 2017 Sarah Goddard Power Award for commitment to women's health

Post-doc fellowship in computational social science for summer or fall 2017, U-Penn

ICPSR Summer Program scholarships to support training in statistics, quantitative methods, research design, and data analysis

More Highlights

Next Brown Bag

Mon, March 13, 2017, noon:
Rachel Best

Stock market crash and expectations of American households

Publication Abstract

Hudomiet, Peter, Gabor Kezdi, and Robert Willis. 2011. "Stock market crash and expectations of American households." Journal of Applied Econometrics, 26(3): 393-415.

This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households' expectations about the returns on the stock market index. We use data from the Health and Retirement Study that was fielded in February 2008 through February 2009. The effect of the crash is identified from the date of the interview, which is shown to be exogenous to previous stock market expectations. We estimate the effect of the crash on the population average of expected returns, the population average of the uncertainty about returns (subjective standard deviation), and the cross-sectional heterogeneity in expected returns (disagreement). We show estimates from simple reduced-form regressions on probability answers as well as from a more structural model that focuses on the parameters of interest and separates survey noise from relevant heterogeneity. We find a temporary increase in the population average of expectations and uncertainty right after the crash. The effect on cross-sectional heterogeneity is more significant and longer lasting, which implies substantial long-term increase in disagreement. The increase in disagreement is larger among the stockholders, the more informed, and those with higher cognitive capacity, and disagreement co-moves with trading volume and volatility in the market. Copyright © 2010 John Wiley & Sons, Ltd.

DOI:10.1002/jae.1226 (Full Text)

PMCID: PMC3086799. (Pub Med Central)

Country of focus: United States of America.

Browse | Search : All Pubs | Next