Expectations of Returns and Expected Returns

被引:392
|
作者
Greenwood, Robin [1 ]
Shleifer, Andrei [2 ]
机构
[1] Harvard Univ, Sch Business, Cambridge, MA 02138 USA
[2] Harvard Univ, Cambridge, MA 02138 USA
来源
REVIEW OF FINANCIAL STUDIES | 2014年 / 27卷 / 03期
关键词
MUTUAL FUND FLOWS; STOCK RETURNS; SPECULATIVE DYNAMICS; TIMING ABILITY; RARE DISASTERS; ASSET MARKETS; LONG-RUN; RISK; VOLATILITY; INVESTMENT;
D O I
10.1093/rfs/hht082
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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. The evidence is not consistent with rational expectations representative investor models of returns.
引用
收藏
页码:714 / 746
页数:33
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