Year: 2014
Type: article
Abstract: We analyze time-series of investor expectations of future stock market returns from six data sources between 1963 and 2011.The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market.However, investor expectations are strongly negatively correlated with model-based expected returns.We reconcile the evidence by calibrating a simple behavioral model, in which fundamental traders require a premium to accommodate expectations shocks from extrapolative traders, but markets are not efficient.
Source: Review of Financial Studies
DOI: 10.1093/rfs/hht082
Authors: Robin Greenwood, Andrei Shleifer
Institution: Harvard University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2099227715