Expectations of Returns and Expected Returns

• 成果类型: Article
• 署名作者: Greenwood, Robin; Shleifer, Andrei
• 署名单位: Harvard University; Harvard University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht082
• 发表日期: 2014
• 页码: 714
• 关键词: MUTUAL FUND FLOWS; stock returns; SPECULATIVE DYNAMICS; TIMING ABILITY; rare disasters; asset markets; long-run; RISK; volatility; INVESTMENT

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.