Expectations of Returns and Expected Returns / Robin Greenwood, Andrei Shleifer.

Format:

Book

Author/Creator:

Greenwood, Robin.

Contributor:

National Bureau of Economic Research.

Shleifer, Andrei.

Series:

Working Paper Series (National Bureau of Economic Research) no. w18686.

NBER working paper series no. w18686

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2013.

Summary:

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. We reconcile the evidence by calibrating a simple behavioral model, in which fundamental traders require a premium to accommodate expectations shocks from extrapolative traders, but markets are not efficient.

Notes:

Print version record

January 2013.