Which Subjective Expectations Explain Asset Prices?
提出一种方法，在不预设误差机制的前提下，利用会计恒等式和调查预测，发现长期通胀预期误差能解释股票和债券市场的价格波动、收益可预测性及预期假说被拒绝的现象。
Abstract We present a method for determining whether errors in expectations explain asset pricing puzzles without imposing assumptions about the error mechanism. Using accounting identities and survey forecasts, we find that errors in expected long-term inflation explain price variation, return predictability, and the rejection of the expectations hypothesis for aggregate stock and bond markets. Errors in short-term (long-term) nominal earnings growth expectations explain (do not explain) stock price variation and return predictability. The relevant errors are consistent with mistakes about the persistence of forecasted variables and the response to surprises. A simple framework based on fundamental extrapolation successfully replicates these findings.