TY  - JOUR
AU  - Dominitz,Jeff
AU  - Manski,Charles F.
TI  - Measuring and Interpreting Expectations of Equity Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11313
PY  - 2005
Y2  - May 2005
UR  - http://www.nber.org/papers/w11313
L1  - http://www.nber.org/papers/w11313.pdf
N1  - Author contact info:
Jeff Dominitz

Charles F. Manski
Department of Economics
Northwestern University
2001 Sheridan Road
Evanston, IL  60208
Tel: 847/491-8223
Fax: 847/491-7001
E-Mail: cfmanski@northwestern.edu
AB  - We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999 %uF8182001 and in the Michigan Survey of Consumers in 2002 %uF8182004. 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.
ER  -