Stock Returns, Inflation, and Economic Activity: The Survey Evidence
利用调查预期数据研究股票回报、通胀与经济活动之间的实证关系，发现预期通胀与预期经济活动的数量关系对解释股票回报与通胀负相关作用不大，但实际不确定性（预测者间经济活动预测的离散度）是股票回报的重要决定因素。
ABSTRACT The primary purpose of this paper is the use of survey expectations data to study the empirical relationships between stock returns, inflation, and economic activity. In the course of this analysis and as a secondary purpose, the paper discusses general considerations involving the use of expectations proxies and makes recommendations for econometric techniques. The main empirical findings are: (1) Hypothesized relationships between expected economic activity and expected inflation do not in practice appear to be important in explaining the negative relationship between expected inflation and stock returns. (2) Nevertheless, the survey data do lend some support to the hypothesis of a quantity theory relationship between expected inflation and expected economic activity, holding constant monetary growth. (3) The cross‐forecaster dispersion of economic activity forecasts, a proxy for real uncertainty, appears to be a significant determinant of stock returns. Inclusion of this variable eliminates the negative impact of expected inflation.