TY  - UNPD
A1  - Adam, Klaus
A1  - Matveev, Dmitry
A1  - Nagel, Stefan
T1  - Do survey expectations of stock returns reflect risk-adjustments?
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 600
N2  - Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the asset pricing literature are consistent with the survey evidence. We empirically test (1) the notion that survey forecasts constitute rational but risk-neutral forecasts of future returns, and (2) the notion that survey fore- casts are ambiguity averse/robust forecasts of future returns. We find that these alternative hypotheses are also strongly rejected by the data, albeit for different reasons. Hypothesis (1) is rejected because survey return forecasts are not in line with risk-free interest rates and because survey expected excess returns are predictable. Hypothesis (2) is rejected because agents are not al- ways pessimistic about future returns, instead often display overly optimistic return expectations. We speculate as to what kind of expectations theories might be consistent with the available survey evidence.
T3  - CFS working paper series - 600 
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/47347
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-473476
UR  - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3274333
IS  - September 25, 2018
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -