Recovering Investor Expectations from Demand for Index Funds
利用投资者对跟踪标普500的指数基金的需求数据，通过揭示偏好方法估计投资者对股市回报的预期分布，发现预期具有异质性、外推性和持续性，且经济下行时悲观情绪和分歧加剧。
Abstract We use a revealed-preference approach to estimate investor expectations of stock market returns. Using data on demand for index funds that follow the 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.