Expected Equity Returns and Portfolio Choice: Evidence from the Health and Retirement Study
基于2004年健康与退休研究数据，调查美国人关于未来一年股权回报的信念，发现预期回报随年龄下降、男性高于女性，且持股概率随感知的正回报概率上升而显著增加。
To provide an empirical basis for the study of expectations, we have undertaken survey research measuring in probabilistic terms the beliefs that Americans hold about equity returns in the year ahead. This paper presents new findings on the expected returns reported in the 2004 Health and Retirement Study. We find substantial heterogeneity of reported beliefs, but, strikingly, nearly two-thirds of respondents report no better than a 50–50 chance of a positive nominal return. As in our earlier work, expected returns decline with age and are higher for men than for women. We find here that the probability of holding stocks increases substantially as the perceived chance of a positive return increases. These findings are potentially of considerable importance for portfolio choice.