Cohort Effects on Expected Co-Movement

William Goetzmann, Akiko Watanabe and Masahiro Watanabe

No 29949, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The covariance of asset returns with economic states of the world is a fundamental input to asset pricing models. Using a semi-annual survey of forecasts by a panel of U.S. economists over more than 70 years, we infer forecaster beliefs about covariance between the S&P index and macro-economic factors. We find evidence that life-experience was a significant determinant of beliefs about the co-movement of inflation and stock returns

JEL-codes: E31 E37 E44 G17 (search for similar items in EconPapers)
Date: 2022-04
New Economics Papers: this item is included in nep-mac
Note: AP
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