Expectations of Returns and Expected Returns

Robin Greenwood; Andrei Shleifer

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Expectations of Returns and Expected Returns

机译：期望收益和期望收益

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摘要

We analyze time series of in vestor 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.

机译：我们分析了1963年至2011年之间来自六个数据源的对未来股票市场收益的预期时间序列。这六个预期量度彼此之间以及与过去的股票收益率以及股票市场的水平高度相关。。但是，投资者的期望与基于模型的期望收益强烈负相关。证据与理性预期代表的投资者回报模型不一致。

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《The review of financial studies》 |2014年第3期|714-746|共33页
作者
Robin Greenwood; Andrei Shleifer;
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作者单位

Harvard Business School;

Harvard University;

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正文语种 eng
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6. Does expecting mean achieving? The association between expecting to return to work and recovery in whiplash associated disorders: a population-based prospective cohort study [O] . Dejan Ozegovic, Linda J. Carroll, J. David Cassidy 2009

机译：期望意味着成就吗？鞭打相关疾病的预期重返工作与康复之间的关联：一项基于人群的前瞻性队列研究
7. Expectations of Returns and Expected Returns [O] . Robin Greenwood, Andrei Shleifer 2014

机译：回报和预期回报的期望

Expectations of Returns and Expected Returns

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