Stock Price Booms and Expected Capital Gains
研究发现投资者主观资本收益预期在股市高峰时过度乐观、低谷时过度悲观，不符合理性预期；将这种信念纳入标准资产定价模型后，能产生泡沫与崩盘周期，并复现股价股息比与调查预期收益的正相关关系。
Investors' subjective capital gains expectations are a key element explaining stock price fluctuations. Survey measures of these expectations display excessive optimism (pessimism) at market peaks (troughs). We formally reject the hypothesis that this is compatible with rational expectations. We then incorporate subjective price beliefs with such properties into a standard asset-pricing model with rational agents (internal rationality). The model gives rise to boom-bust cycles that temporarily delink stock prices from fundamentals and quantitatively replicates many asset-pricing moments. In particular, it matches the observed strong positive correlation between the price dividend ratio and survey return expectations, which cannot be matched by rational expectations.