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Measuring and interpreting expectations of equity returns

Author: Jeff Dominitz; Charles F Manski; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2005.
Series: Working paper series (National Bureau of Economic Research), working paper no. 11313.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"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  Read more...
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Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Jeff Dominitz; Charles F Manski; National Bureau of Economic Research.
OCLC Number: 60395465
Notes: "May 2005."
Description: 34 pages ; 22 cm.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 11313.
Responsibility: Jeff Dominitz, Charles F. Manski.

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 conventional and behavioral finance, but conclude that these types do not adequately explain the diverse expectations held by the population"--National Bureau of Economic Research web site.

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