Eliciting Expectations

47 Pages Posted: 20 Apr 2024 Last revised: 10 May 2024

See all articles by Samuel M. Hartzmark

Samuel M. Hartzmark

Boston College - Carroll School of Management

Abigail B. Sussman

University of Chicago - Booth School of Business

Date Written: April 1, 2024


We document that variation in the question format used to elicit belief distributions of percentage changes, such as return expectations, can significantly influence those reported beliefs. We develop a methodology that induces return distributions which serve as a ground truth, and we subsequently vary how we ask participants to report about these distributions. Participants can effectively report differences in means and volatilities irrespective of elicitation method. We find significant differences in elicited levels based on the question format. Directly asking for mean returns positively biases responses. Volatilities based on confidence intervals are not dependable, as responses are largely invariant to the interval size. Asking participants to report complete distributions yields more accurate responses. We discuss best practices for constructing such questions to obtain meaningful estimates.

Keywords: Expectations, survey design, expected returns, recall, asset pricing, behavioral finance

JEL Classification: G02, G12, C90, D03, E03

Suggested Citation

Hartzmark, Samuel M. and Sussman, Abigail B., Eliciting Expectations (April 1, 2024). Available at SSRN: https://ssrn.com/abstract=4780506 or http://dx.doi.org/10.2139/ssrn.4780506

Samuel M. Hartzmark (Contact Author)

Boston College - Carroll School of Management ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States

Abigail B. Sussman

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

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