Greenwood, Robin Marc, and Andrei Shleifer. 2014. “Expectations of Returns and Expected Returns.” Review of Financial Studies 27 (3) (March 1): 714–746. doi:10.1093/rfs/hht082. http://dx.doi.org/10.1093/rfs/hht082.
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. The evidence is not consistent with rational expectations representative investor models of returns.