Are Subjective Expectations Formed as in Rational Expectations Models of Active Management?

• 成果类型: Article
• 署名作者: Dahlquist, Magnus; Ibert, Markus; Wilke, Felix
• 署名单位: Stockholm School of Economics; Centre for Economic Policy Research - UK; Copenhagen Business School; Danish Finance Institute; Universidade Nova de Lisboa
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.04419
• 发表日期: 2026
• 关键词: Alpha; Expectations formation; Mutual funds

摘要

We recover forward-looking expected net-of-fee abnormal returns (alphas) for active equity mutual funds from analyst ratings. In contrast to the typical equilibrium implication of zero alphas, analyst alphas are negative for most funds, but positive for the largest funds. We compare analysts' subjective expectations with expectations from a rational expectations learning model. The model's rational learner believes that an increase in fund size leads to a decrease in returns, but we find no evidence that analysts believe so. Consistently, counterfactual ratings based on the rational model tend to outperform analysts' ratings out of sample. Investor fund flows respond significantly to analyst ratings.