Expectations of Returns and Expected Returns
Expectations of Returns and Expected Returns
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DOI：
10.1093/rfs/hht082
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发表时间：
2014-03-01
影响因子：
8.2
通讯作者：
Shleifer, Andrei
中科院分区：
文献类型：
--
作者：
Greenwood, Robin;Shleifer, Andrei
我们从六个数据来源分析了1963至2011年间投资者对未来股市回报的预期的时间序列。这六个衡量预期的指标彼此之间以及与过去的股票回报和股市水平都是高度正相关的。然而，投资者预期与基于模型的预期收益呈显著负相关。这一证据与理性预期、代表性投资者回报模型并不一致。
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.