Macroeconomic Expectations and Expected Returns
利用专业经济学家的宏观预测构建综合宏观条件指数，该指数能预测股票收益并产生逆周期的股权溢价预测，且不受信念偏差影响，通过贴现率渠道发挥作用。
Abstract Using the macroeconomic forecasts of professional economists, we construct a comprehensive macro condition index that summarizes subjective expectations of output, inflation, and labor and housing market conditions. The index predicts stock returns and produces countercyclical equity premium forecasts, both in- and out-of-sample. Our results contrast with the procyclical subjective equity premia documented in recent literature. We show that the index reflects the true but unobserved macroeconomic condition that impacts the equity premium. Moreover, the predictability is not affected by belief biases and operates via a discount rate channel. The index’s predictability conforms to an explanation based on time-varying risk premia.