Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/333483 
Year of Publication: 
2025
Series/Report no.: 
Research Papers in Economics No. 7/25
Publisher: 
Universität Trier, Fachbereich IV - Volkswirtschaftslehre, Trier
Abstract: 
Economic expectations play a central role in financial markets, yet investors often disagree about the economy's future. This disagreement has long been viewed as a potential driver of asset prices, but it remains unclear whether it reflects mispricing or a priced source of risk. We address this question by constructing monthly disagreement indices from Consensus Economics forecasts from 24 OECD markets. Firm-level exposure to economic disagreement is estimated through return regressions. Results reveal pronounced cross-country heterogeneity. In developed markets, particularly the United States, greater exposure to disagreement consistently predicts lower future returns, supporting the mispricing hypothesis. Smaller markets exhibit mixed patterns, with some evidence of positive risk premia, while other cases show no significant effect. These findings provide new international evidence that the pricing of forecast disagreement is context-dependent, shaped by market structure and institutional depth.
Subjects: 
Asset Pricing
Consensus Economics
Forecast Disagreement
Macroeconomic Forecasts
JEL: 
D84
G12
G14
G15
Document Type: 
Working Paper

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