W&R-Gastvortrag von Prof. Paolo Pellizzari von der Ca’Foscari Universität in Venedig: (Mis)information, prudent traders and the equity premium puzzle
We describe a model where agents can access two independent signals and can use no,one or both signals. We assume that while the first signal is costly and informative, i.e., itdirectly affects the return generation process, the second signal is pure misinformationand free. We find that large swaths of the agents’ population do not use information intheir trading process. This holds especially in parametric configurations that are roughlycalibrated to realistic situations. Traders often (learn to) select prudent strategies which,in practice, appear to produce a relatively small demand for equity. As a consequence, themodel offers some explanation for the well‐known equity premium puzzle, the generaltendency to hold fewer stocks than normal risk‐aversion measures would suggest.Paolo Pellizzari is Professor of Mathematics for Economics and Social Sciences at Ca' FoscariUniversity in Venice, Italy. His research interests include computational economics, agentbasedmodels and complex systems. He is the local coordinator of the ITN project EPOC"Economic Policy in Complex Environments" ( https://epoc‐itn.eu/ ) and is currently thepresident of the Economic Library at Ca' Foscari.
