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    • Recovering Investor Expectations from Demand for Index Funds 

      Egan, Mark; MacKay, Alexander; Yang, Hanbin; mackay (Oxford University Press (OUP), 2021-12-07)
      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 ...