Subjective Bond Returns and Belief Aggregation
基于专业利率预测者的历史准确性，提出一种聚合主观债券收益预期的方法，发现该指标优于等权重方案，且与统计模型动态显著不同，并揭示了风险数量与主观超额收益预期之间的强关联。
Abstract This paper proposes an aggregation scheme of subjective bond return expectations based on the historical accuracy of professional interest rate forecasters. We use disaggregated survey data on bond returns and document large disagreement in the cross-sectional distribution and persistence in forecast accuracy. Our aggregate subjective belief proxy outperforms equal weighting schemes, and its dynamics are significantly different from statistical forecasting models. With this measure in hand, we study the relationship between quantities of risk and subjective expectations of excess returns and demonstrate a strong link between the two, even if such a relationship is difficult to detect using realized returns. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.