Expectations of Returns and Expected Returns
نویسندگان
چکیده
منابع مشابه
Expectations of Returns and Expected Returns
We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. The evidence i...
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We show that proxies for firms’ incentives to manage earnings expectations toward beatable levels contain strong predictive power for earnings announcement returns. Firms with stronger incentives to manage expectations predictably underperform before, and subsequently outperform during, their expected earnings announcement months. This predictable V-shaped pattern in prices yields strategy retu...
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The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we construct portfolios of durablegood, nondurable-good, and service producers. In the cross-section, an inv...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2014
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hht082