Measuring and Interpreting Expectations of Equity Returns

Jeff Dominitz and Charles Manski

No 11313, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999—2001 and in the Michigan Survey of Consumers in 2002—2004. Our empirical findings suggest that individuals use interpersonally variable but intrapersonally stable processes to form their expectations. We therefore propose to think of the population as a mixture of expectations types, each forming expectations in a stable but different way. We use our expectations data to learn about the prevalence of several specific types suggested by research in conventional and behavioral finance, but conclude that these types do not adequately explain the diverse expectations held by the population.

JEL-codes: D8 G1 (search for similar items in EconPapers)
Date: 2005-05
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

Published as Jeff Dominitz & Charles F. Manski, 2011. "Measuring and interpreting expectations of equity returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(3), pages 352-370, 04.

Downloads: (external link)
http://www.nber.org/papers/w11313.pdf (application/pdf)

Related works:
Journal Article: Measuring and interpreting expectations of equity returns (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:11313

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w11313

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().