Are Subjective Expectations Formed as in Rational Expectations Models of Active Management?

The authors thank Laurent Barras, Sylvain Benoit (discussant), Richard B. Evans, Katrin Gödker (discussant), Campbell Harvey, Jose Vicente Martinez, Lasse H. Pedersen, Alberto G. Rossi, Andrea Rossi (discussant), Ran Xing (discussant), and seminar and conference participants at Copenhagen Business School, École Supérieure des Sciences Economiques (ESSEC) Business School, the Stockholm School of Economics, the Federal Reserve Board of Governors, the Triangle Macro-Finance workshop, the Australasian Finance & Banking Conference 2020, the Annual Hedge Fund Research Conference 2023, the HEC-McGill Winter Finance Workshop 2023, and the American Finance Association Meeting 2024 for comments and suggestions. The paper was previously circulated under the title “Expectations of Active Mutual Fund Performance.”