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来源类型Working Paper
规范类型报告
DOI10.3386/w26608
来源IDWorking Paper 26608
Recovering Investor Expectations from Demand for Index Funds
Mark L. Egan; Alexander MacKay; Hanbin Yang
发表日期2020-01-06
出版年2020
语种英语
摘要We use a revealed-preference approach to estimate investor expectations of stock market returns. Using data on demand for index funds that follow the S&P 500, we develop and estimate a model of investor choice to flexibly recover the time-varying distribution of expected future returns across investors. Our analysis is facilitated by the prevalence of leveraged funds that track the same underlying asset: by choosing between higher and lower leverage, investors trade off higher return against less risk. Our estimates indicate that investor expectations are heterogeneous, extrapolative, and persistent. Following a downturn, investors become more pessimistic on average, but there is also an increase in disagreement among participating investors due to the presence of contrarian investors.
主题Microeconomics ; Households and Firms ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing ; Industrial Organization
URLhttps://www.nber.org/papers/w26608
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/584281
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GB/T 7714
Mark L. Egan,Alexander MacKay,Hanbin Yang. Recovering Investor Expectations from Demand for Index Funds. 2020.
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