Are survey stock price forecasts anchored by fundamental forecasts? A long-run perspective
Pei Kuang,
Li Tang,
Renbin Zhang
et al.
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, a… Show more
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