Are survey stock price forecasts anchored by fundamental forecasts? A long-run perspective
检验多种资产定价模型，发现调查中的股价预测与基本面预测（如消费、股息、产出）不存在长期协整关系，表明投资者可能缺乏对均衡定价函数的共同知识。
Abstract This paper firstly shows that a wide range of asset pricing models, including full information and Bayesian rational expectations models, typically imply that agents use the long-run cointegration relationship between stock prices and fundamentals to forecast future stock prices. However, using several widely used survey forecast datasets, we provide robust new evidence that survey forecasts of aggregate stock price indices are not cointegrated with forecasts of fundamentals (aggregate consumption, dividend, and output), both at the consensus and individual level. We argue that it is crucial to relax investors’ common knowledge of the equilibrium pricing function to reconcile this finding.