Hindsight Effects in Dollar-Weighted Returns
研究发现，用美元加权回报衡量投资者收益时存在后见之明效应（即前期回报影响新投资水平），导致回报被低估；纠正后显示，美国主流股票的低美元加权回报主要源于该效应，而非投资者择时错误，因此不能据此认为风险溢价很低。
Abstract A growing number of studies use dollar-weighted (DW) returns as evidence that bad timing substantially reduces investor returns, and that consequently the equity risk premium must be considerably lower than previously thought. This paper demonstrates that this method is subject to a hindsight effect (as prior returns influence levels of new investment) and derives a technique that corrects it. The results show that for mainstream U.S. equities, DW returns are low because of this hindsight effect (bad investor timing had very little impact). Thus, low DW returns do not imply that the risk premium is correspondingly low.