Expectations of Returns and Expected Returns

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Expectations of Returns and Expected Returns

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Title: Expectations of Returns and Expected Returns
Author: Greenwood, Robin Marc; Shleifer, Andrei

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Citation: 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.
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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. The evidence is not consistent with rational expectations representative investor models of returns.
Published Version: doi:10.1093/rfs/hht082
Other Sources: http://www.nber.org/papers/w18686
Terms of Use: This article is made available under the terms and conditions applicable to Open Access Policy Articles, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#OAP
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:11880390
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