Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
利用调查数据直接衡量预期商业状况对股票超额回报的影响，发现其呈逆周期特征，且能显著削弱传统财务预测指标的解释力，同时提高回归的R²。
Using survey data, we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a counter-cyclical fashion. Moreover, inclusion of expected business conditions in otherwise-standard predictive return regressions substantially reduce the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R2. Expected business conditions retain predictive power even when including the key nonfinancial predictor, the generalized consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, whereas time-varying consumption/wealth may capture time-varying risk aversion.