Are survey stock price forecasts anchored by fundamental forecasts? A long-run perspective

IF 1.2 3区经济学 Q3 ECONOMICS

Economic Theory Pub Date : 2024-07-14 DOI:10.1007/s00199-024-01597-2

Pei Kuang, Li Tang, Renbin Zhang, Tongbin Zhang

引用次数: 0

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.

查看原文本刊更多论文

调查股价预测是否以基本面预测为基础？长期视角

本文首先表明，各种资产定价模型，包括完全信息模型和贝叶斯理性预期模型，通常意味着代理人利用股票价格与基本面之间的长期协整关系来预测未来的股票价格。然而，通过使用几个广泛使用的调查预测数据集，我们提供了有力的新证据，表明对股票价格总指数的调查预测与对基本面（总消费、红利和产出）的预测并不存在协整关系，无论是在共识层面还是个人层面。我们认为，放宽投资者对均衡定价函数的常识对于协调这一结论至关重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Economic Theory ECONOMICS-

CiteScore

2.50

自引率

23.10%

发文量

期刊介绍： The purpose of Economic Theory is to provide an outlet for research - in all areas of economics based on rigorous theoretical reasoning, and - on specific topics in mathematics which is motivated by the analysis of economic problems. Economic Theory''s scope encompasses - but is not limited to - the following fields. - classical and modern equilibrium theory - cooperative and non-cooperative game theory - macroeconomics - social choice and welfare - uncertainty and information, intertemporal economics (including dynamical systems) - public economics - international and developmental economics - financial economics, money and banking - industrial organization Economic Theory also publishes surveys if they clearly picture the basic ideas at work in some areas, the essential technical apparatus which is used and the central questions which remain open. The development of a productive dialectic between stylized facts and abstract formulations requires that economic relevance be at the forefront. Thus, correct, and innovative, mathematical analysis is not enough; it must be motivated by - and contribute to - the understanding of substantive economic problems. Officially cited as: Econ Theory