Measuring and Interpreting Expectations of Equity Returns / Jeff Dominitz, Charles F. Manski.

Format:

Book

Author/Creator:

Dominitz, Jeff.

Contributor:

National Bureau of Economic Research.

Manski, Charles F.

Series:

Working Paper Series (National Bureau of Economic Research) no. w11313.

NBER working paper series no. w11313

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2005.

Summary:

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.

Notes:

Print version record

May 2005.