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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w26608 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w26608 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584281 |
推荐引用方式 GB/T 7714 | Mark L. Egan,Alexander MacKay,Hanbin Yang. Recovering Investor Expectations from Demand for Index Funds. 2020. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w26608.pdf(1011KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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