Expectation formation in financial markets: Heterogeneity and sentiment
构建了一个基于禀赋的资产定价模型，其中投资者对未来价格水平的预期存在异质性，预期由基本面或趋势与情绪共同决定，且投资者会根据历史表现和情绪在预期形成函数间切换。基于标普500指数及其成分股的估计显示，投资者群体间存在异质性且频繁切换，情绪对预期有直接和间接影响。
We set up an endowment based asset pricing model in which agents have heterogeneous expectations about future price levels. Expectations are a function of fundamentals or trends, both interacted with sentiment. Agents are able to switch between expectation formation functions based on past performance combined with sentiment. Estimation results on the S&P500 index as well as its constituents reveal that there is heterogeneity between agents, with substantial switching between groups. We find that sentiment has both a direct and an indirect effect on expectations. Specifically, heterogeneity between groups is increasing in sentiment, and higher sentiment reduces the frequency of switching between functions. Our results imply that the true expectation formation process is a dynamic process based on multiple information sources.