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Cohort Effects on Expected Co-Movement / William N. Goetzmann, Akiko Watanabe, Masahiro Watanabe.
- Format:
- Book
- Author/Creator:
- Goetzmann, William N.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w29949.
- NBER working paper series no. w29949
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2022.
- Summary:
- 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
- Notes:
- Print version record
- April 2022.
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