Do survey expectations of stock returns reflect risk adjustments?

• 成果类型: Article
• 署名作者: Adam, Klaus; Matveev, Dmitry; Nagel, Stefan
• 署名单位: University of Oxford; University of Oxford; Bank of Canada; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Chicago; University of Chicago
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.04.010
• 发表日期: 2021
• 关键词: expectations; asset pricing

摘要

To reconcile the disconnect between survey expectations of stock returns and rational expectations, researchers have hypothesized that survey participants may confound beliefs and preferences by (i) reporting risk-neutral forecasts of future returns; or (ii) reporting pessimistically-tilted forecasts reflecting ambiguity aversion or robustness concerns. We find that these hypotheses are strongly rejected by the data, albeit for different reasons: Inconsistent with hypothesis (i), survey return forecasts are reliably much higher than risk-free interest rates and survey expected excess returns are predictably time-varying. Inconsistent with (ii), agents are not always pessimistic about future returns, but often predictably optimistic and unconditionally unbiased. (C) 2020 The Author(s). Published by Elsevier B.V.