Expectations of Returns and Expected Returns

Robin Marc Greenwood and Andrei Shleifer

Scholarly Articles from Harvard University Department of Economics

Abstract: 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.

Date: 2014
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (437)

Published in Review of Financial Studies

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Related works:
Journal Article: Expectations of Returns and Expected Returns (2014)
Working Paper: Expectations of Returns and Expected Returns (2013)
Working Paper: Expectations of Returns and Expected Returns
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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:11880390

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