Expectations and experience: What governed investment in banking stocks (1897 to 1931)?

该项目旨在通过研究1897年至1931年期间柏林证券交易所的预期和投资决策，为优先方案的总体议程做出贡献。股市的投资决策尤其有趣，因为我们在这里观察到了各种类型的投资行为，而金融模型迄今未能预测到这些行为。例如，我们发现，承担高特质风险、投资组合分散化不足或押注股票的投资者，可能受到过度自信和羊群行为的驱动。此外，个人投资者的社会经济特征在很大程度上影响着他们的预期和投资决策，在所考虑的时间段内，这些很可能已经发生了重大变化。因此，我们的目标是提高我们对典型股票投资者的了解，以及他们的特征是如何变化的。一般来说，我们假设显性偏好的经济学范式成立，即信念和偏好可以从观察到的行动中推断出来。因此，我们使用股票市场价格来衡量投资者的预期，因为在一个有效的资本市场中，价格反映了市场参与者对未来发展的综合预期。我们专注于银行股的投资决策，因为银行规模很大，特别容易受到金融危机的影响，而且它们拥有为自己的股票做市的特殊技能，它们是这一时期德国经济发展的核心。我们特别要问的是，对于厌恶风险的投资者来说，大型银行的股票是否是一种有吸引力的投资，以及这种情况是否会随着时间的推移而改变。例如，大型全能银行在19世纪获得了安全投资，但在20世纪初由于过度冒险而存在风险吗？银行追求更高风险政策的事实，是否与20世纪获得股市投资机会的另一群投资者不那么厌恶风险的预期相符？投资者建立预期的时间范围有多长？其他投资者的决策有多重要，即我们是否观察到羊群效应，这是否与相当不确定的情况存在因果关系？我们进一步测试了银行的其他特征对投资者预期的影响，例如银行之间的合并，以及通过银行监事会中的政客与议会的直接联系，或通过总理事会成员与德国央行的直接联系，以及这些因素及其对预期的影响如何随着时间的推移而变化。虽然投资决策受到经济和政治环境变化的影响，但反过来也会影响经济，因此也会影响未来的政治局势。因此，增加我们对投资者以及他们如何建立预期的了解，至关重要地提高了我们对德国在所考虑的时间段内的经济和政治形势的理解。

This project aims at contributing to the overall agenda of the priority program by studying expectations and investment decisions on the Berlin stock exchange in the period 1897 to 1931. Investment decisions on stock markets are particularly interesting since here we observe types of investment behaviour, which finance models failed to predict so far. We spot for instance investors, who take high idiosyncratic risk, under-diversify their portfolios or gamble with stocks, being possibly driven by overconfidence and herding behaviour. Moreover, the socioeconomic characteristics of individual investors highly influence their expectations and investment decisions and these are very likely to have changed crucially in the considered time period. Thus we aim at improving our knowledge about typical investors in stocks and how their characteristics changed. In general, we assume that the economic paradigm of revealed preferences holds, i.e. that beliefs and preferences can be inferred from observed actions. We therefore use stock market prices as a measure of expectations of investors, since in an efficient capital market, prices reflect the aggregated expectations of market participants with regard to future developments. We focus on investment decisions in bank stocks, since banks were large, they were especially prone to impacts of financial crises, and they possessed special skills in making the market of their own stocks and they were central for the economic development of Germany in this period. In particular we ask whether the shares of the large banks were an attractive investment for risk averse investors and whether this changed over time. For instance were large universal banks secure investments in the 19th, but risky in the early 20th Century, due to their excessive risk-taking? Was the fact that banks pursued more risky policies matching the less risk averse expectations of a different group of investors which gained access to the stock markets in the 20th Century? How long was the time horizon on which investors built expectations? How important were decisions of other investors, i.e. do we observe herding and can this be causally linked to situation of considerable uncertainty? We further test the impact of other features of banks on expectations of investors such as mergers between banks as well as direct connections to the parliament via politicians in supervisory boards of banks or to the Reichsbank via a membership in the general council and how these factors and their impact on expectations changed over time. While investment decisions are influenced by changes in the economic and political setting, they conversely affect the economy and can therefore also influence future political situations. Increasing our knowledge of investors and how they built expectations therefore crucially improves our understanding about the economic and political situation in Germany in the considered time period.