Measuring and interpreting expectations of equity returns

Jeff Dominitz, Charles F. Manski*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

55 Scopus citations

Abstract

We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999-2001 and in the Michigan Survey of Consumers in 2002-2004. Our empirical findings suggest that individuals use interpersonally variable but intrapersonally stable processes to form their expectations. We therefore propose to think of the population as a mixture of expectations types, each forming expectations in a stable but different way. We use our expectations data to learn about the prevalence of several specific types suggested by research in finance.

Original languageEnglish (US)
Pages (from-to)352-370
Number of pages19
JournalJournal of Applied Econometrics
Volume26
Issue number3
DOIs
StatePublished - Apr 2011

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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