Are Subjective Expectations Formed as in Rational Expectations Models of Active Management?
从分析师评级中提取主动型股票基金的预期净费用异常收益（alpha），发现大多数基金的alpha为负，但大型基金为正；分析师未像理性学习模型那样认为基金规模增长会降低收益，且基于理性模型的反事实评级在样本外表现更优。
We recover forward-looking expected net-of-fee abnormal returns (alphas) for active equity mutual funds from analyst ratings. In contrast to the typical equilibrium implication of zero alphas, analyst alphas are negative for most funds, but positive for the largest funds. We compare analysts’ subjective expectations with expectations from a rational expectations learning model. The model’s rational learner believes that an increase in fund size leads to a decrease in returns, but we find no evidence that analysts believe so. Consistently, counterfactual ratings based on the rational model tend to outperform analysts’ ratings out of sample. Investor fund flows respond significantly to analyst ratings. This paper was accepted by Lukas Schmid, finance. Funding: Support from the Center for Big Data in Finance [Grant DNRF167], the Danish Finance Institute, and the Swedish House of Finance is gratefully acknowledged. This work was funded by Fundação para a Ciência e a Tecnologia (UIDB/00124/2025, UID/PRR/124/2025, Nova School of Business and Economics) and LISBOA2030 (DataLab2030 - LISBOA2030-FEDER-01314200). Supplemental Material: The online appendices and data files are available at https://doi.org/10.1287/mnsc.2024.04419 .