Recovering Investor Expectations from Demand for Index Funds

• 成果类型: Article
• 署名作者: Egan, Mark; MacKay, Alexander; Yang, Hanbin
• 署名单位: Harvard University; National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdab086
• 发表日期: 2022
• 页码: 2559-2599
• 关键词: risk; BEHAVIOR; Extrapolation; COMPETITION; welfare; models; CHOICE; MARKET; US

摘要

We use a revealed-preference approach to estimate investor expectations of stock market returns. Using data on demand for index funds that followthe 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.