Which Investors Matter for Equity Valuations and Expected Returns?

• 成果类型: Article
• 署名作者: Koijen, Ralph S. J.; Richmond, Robert J.; Yogo, Motohiro
• 署名单位: University of Chicago; National Bureau of Economic Research; Centre for Economic Policy Research - UK; New York University; Princeton University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdad083
• 发表日期: 2023
• 页码: 2387-2424
• 关键词: institutional investors; MODEL; regression; variables; price

摘要

Based on an asset demand system, we develop a framework to quantify the impact of market trends and changes in regulation on asset prices, price informativeness, and the wealth distribution. Our leading applications are the transition from active to passive investment management and climate-induced shifts in asset demand. The transition from active to passive investment management had a large impact on equity prices but a small impact on price informativeness because capital did not flow from more to less informed investors on average. This finding is based on a new measure of investor-level informativeness that identifies which investors are more informed about future profitability. Climate-induced shifts in asset demand have a potentially large impact on equity prices and the wealth distribution, implying capital gains for passive investment advisors, pension funds, insurance companies, and private banking and capital losses for active investment advisors and hedge funds.