Dynamics and heterogeneity of subjective stock market expectations
主观股票市场预期的动态与异质性
Between 2004 and 2016, we elicited individuals’ subjective expectations of stock market returns in a Dutch internet panel at bi-annual intervals. In this paper, we develop a panel data model with a finite mixture of expectation types who differ in how they use past stock market returns to form current stock market expectations. The model allows for rounding in the probabilistic responses and for observed and unobserved heterogeneity at several levels. We estimate the type…