Which Investors Matter for Equity Valuations and Expected Returns?
基于资产需求系统，量化了从主动到被动投资管理转型以及气候引发的资产需求变化对股票价格、价格信息含量和财富分配的影响，发现主动转被动对价格影响大但对信息含量影响小，而气候需求变化可能对价格和财富分配产生重大影响。
Abstract 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.