Subjective Cash Flow and Discount Rate Expectations

• 成果类型: Article
• 署名作者: Delao, Ricardo; Myers, Sean
• 署名单位: University of Southern California; National Bureau of Economic Research; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13016
• 发表日期: 2021
• 页码: 1339-1387
• 关键词: long-run; STOCK; earnings; returns; predictability; Dividends; risks; MODEL

摘要

Why do stock prices vary? Using survey forecasts, we find that cash flow growth expectations explain most movements in the S&P 500 price-dividend and price-earnings ratios, accounting for at least 93% and 63% of their variation. These expectations comove strongly with price ratios, even when price ratios do not predict future cash flow growth. In comparison, return expectations have low volatility and small comovement with price ratios. Short-term, rather than long-term, expectations account for most price ratio variation. We propose an asset pricing model with beliefs about earnings growth reversal that accurately replicates these cash flow growth expectations and dynamics.