NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Measuring and Interpreting Expectations of Equity Returns

Jeff Dominitz, Charles F. Manski

NBER Working Paper No. 11313
Issued in May 2005
NBER Program(s):   EFG

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.

download in pdf format
   (178 K)

email paper

This paper is available as PDF (178 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Published: Jeff Dominitz & Charles F. Manski, 2011. "Measuring and interpreting expectations of equity returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(3), pages 352-370, 04.

Users who downloaded this paper also downloaded these:
Hurd, van Rooij, and Winter w16464 Stock Market Expectations of Dutch Households
Dominitz and Manski w9926 How Should We Measure Consumer Confidence (Sentiment)? Evidence from the Michigan Survey of Consumers
Manski Adolescent Econometricians: How Do Youth Infer the Returns to Schooling?
Baker and Wurgler w13189 Investor Sentiment in the Stock Market
Dominitz and Manski w5690 Perceptions of Economic Insecurity: Evidence from the Survey of Economic Expectations
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us