Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/251922 
Autor:innen: 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
ZEW Discussion Papers No. 20-092
Versionsangabe: 
This draft: April 2022
Verlag: 
ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung, Mannheim
Zusammenfassung: 
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.
Schlagwörter: 
stock market expectations
survey data
macro-finance
stock return predictability
JEL: 
D84
G12
Dokumentart: 
Working Paper

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