Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/251922 
Year of Publication: 
2022
Series/Report no.: 
ZEW Discussion Papers No. 20-092
Version Description: 
This draft: April 2022
Publisher: 
ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung, Mannheim
Abstract: 
Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between my main survey measure of expected returns and measures of economic conditions are largely consistent with the view that expected returns are counter-cyclical. In particular, I find a positive relationship between expected returns and the dividend-price ratio, which is at odds with the findings of previous papers studying survey measures of expected returns. Finally, I find that an aggregated measure of the financial market experts' stock return forecasts has weak predictive power for actual returns, but is a less precise forecast than a simple average of historical stock returns.
Subjects: 
stock market expectations
survey data
macro-finance
stock return predictability
JEL: 
D84
G12
Document Type: 
Working Paper

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