Consumer stock market expectations and portfolio choice
研究了美国家庭如何形成股市预期及其对投资组合选择的影响，发现预期存在向下偏差且不符合理性预期，同时收入与风险厌恶对主动投资有影响，而股市预期对主动和间接投资作用相似。
Abstract I examine how US households form stock market expectations and how these expectations affect portfolio choice. I find households’ stock market expectations are downward biased and inconsistent with rational expectations. Although expectations exhibit persistence, adaptation to recent outcomes appears only in specifications without controls. Moreover, although statistically significant, the estimate is qualitatively negligible, and the joint parameters when considered alongside the persistence estimate are inconsistent with adaptive learning. Furthermore, in distinguishing between active and indirect investments, I show income and risk aversion matter for active but not indirect investments, whereas stock market expectations play a similar role in both.