Time-Varying Drivers of Stock Prices
发现主观预期对股票价格变化的解释作用随时间变化：现金流预期在金融不确定性和衰退期更重要，贴现率在扩张期更重要，通胀预期在高通胀环境下解释一半以上价格波动。
This paper provides novel evidence of the time-varying roles of subjective expectations in explaining stock price variations. Cash flow expectations matter more during times of financial uncertainty and recessions, especially among the hardest-hit industries such as Telecommunications during the dot-com bubble, Financials during the Great Recession, and Healthcare during the COVID-19 pandemic. Conversely, discount rates explain more price variations during expansionary periods. Inflation expectations, while accounting for more than half of price fluctuations in high-inflation environments, play a negligible role otherwise. Finally, factor returns tend to move against earnings growth expectations under low financial uncertainty but move in sync with earnings growth expectations when financial uncertainty is high.