Stock Market Return Expectations: Some General Properties
研究主要经济学家如何预测股票市场回报及其预测质量，发现其预期不符合效率条件，但后期有所改善。
Abstract This paper examines how and how well do leading economists forecast stock market returns. This question is fundamental in finance, since the Capital Asset Pricing foundation rests upon assumptions about the properties of investors' expectations for stock market returns. The results reveal that economists' expectations of market returns as exemplified in Livingston's data do not meet the necessary conditions of efficiency. It should be noted however, that in later period some improvement in the quality of economists' forecasts was observed.