Work

Measuring and Interpreting Expectations of Equity Returns

Year: 2005

Type: report

Abstract: We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999 2001 and in the Michigan Survey of Consumers in 2002 2004.Our empirical findings suggest that individuals use interpersonally variable but intrapersonally stable processes to form their expectations.We therefore propose to think of the population as a mixture of expectations types, each forming expectations in a stable but different way.We use our expectations data to learn about the prevalence of several specific types suggested by research in conventional and behavioral finance, but conclude that these types do not adequately explain the diverse expectations held by the population.

Source: National Bureau of Economic Research

DOI: 10.3386/w11313

Authors: Jeff Dominitz, Charles Manski

Institutions: Carnegie Mellon University, Northwestern University, National Bureau of Economic Research

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Science Foundation, Northwestern University, University of Michigan, University College London, Curtin University of Technology

Award: Identification and Empirical Inference

OpenAlex ID: W2891368177

Cites: 20

Cited by: 66

Related to: 20