Abstract
Survey expectations of returns negatively predict future returns both in the cross section of countries and in the time series in three major asset classes: global equities, currencies, and global fixed income. While past returns and survey expectations of economic growth explain some of the variation in survey expectations of returns, the residual variation in survey expectations of returns also predicts future returns in all three asset classes. We find that the variation in expected returns that is related to survey expectations of returns is positively correlated with the amount of excess volatility across international equity markets.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
