Abstract

http://ssrn.com/abstract=2199762
 
 

References (63)



 
 

Citations (10)



 
 

Footnotes (16)



 


 



Expectations of Returns and Expected Returns


Robin M. Greenwood


Harvard Business School - Finance Unit; National Bureau of Economic Research (NBER)

Andrei Shleifer


Harvard University - Department of Economics; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

January 2013

NBER Working Paper No. w18686

Abstract:     
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. We reconcile the evidence by calibrating a simple behavioral model, in which fundamental traders require a premium to accommodate expectations shocks from extrapolative traders, but markets are not efficient.

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Date posted: January 12, 2013  

Suggested Citation

Greenwood, Robin M. and Shleifer, Andrei, Expectations of Returns and Expected Returns (January 2013). NBER Working Paper No. w18686. Available at SSRN: http://ssrn.com/abstract=2199762

Contact Information

Robin M. Greenwood (Contact Author)
Harvard Business School - Finance Unit ( email )
Boston, MA 02163
United States
617-495-6979 (Phone)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Andrei Shleifer
Harvard University - Department of Economics ( email )
Littauer Center
Cambridge, MA 02138
United States
617-495-5046 (Phone)
617-496-1708 (Fax)
HOME PAGE: http://www.economics.harvard.edu/~ashleife/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
European Corporate Governance Institute (ECGI)
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
HOME PAGE: http://www.ecgi.org
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References:  63
Citations:  10
Footnotes:  16

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