Predictability in Financial Markets: What do Survey Expectations Tell Us?

By Philippe Bacchetta, Elmar Mertens, Eric van Wincoop. 2009

238 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3243c8bd06778b1265e43c03f54111a5a079d73b

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Citations in the corpus

Expectations of Returns and Expected Returns (2014, background): “For equities, the papers closer to our work are Amronin and Sharpe (2008) and Bacchetta, Mertens, and Wincoop (2009), who find, as we also document below, that return expectations and expectational errors are related to dividend yields.”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “This second wave has been spurred in part by renewed attention to a neglected but potentially very useful type of data, namely survey data on the beliefs of real-world investors about future asset returns (Bacchetta et al., 2009; Amromin and Sharpe, 2014; Greenwood and Shleifer, 2014).”
Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (2012, background): “(3)For example, Froot and Frankel (1989), Chinn and Frankel (2002) and Bacchetta et al. (2008) decompose predictable”
Macroeconomics and the Term Structure (2012, background): “a setup in which equations (4) and (5) do not apply).”
Stock Price Booms and Expected Capital Gains (2017, unknown): “13A related observation is that return forecast errors implied by survey data can be predicted using the PD ratio, see Bacchetta, Mertens, and Wincoop (2009).”
Extrapolative beliefs in the cross-section: What can we learn from the crowds? (2020, background): “Recent work ( Vissing-Jorgensen, 2004 ; Bacchetta et al., 2009 ; Amromin and Sharpe, 2013 ; Greenwood and Shleifer, 2014 ; Kuchler and Zafar, 2019 ) provides convincing evidence of return extrapolation, the notion that investors’ expectations about an asset’s future return are a positive function…”
Futures Contract Rates as Monetary Policy Forecasts (2012, unknown): “θ ( 4 ) t -2.765** -4.063** -2.394** -3.884**”
Trend and Cycle in Bond Premia (2009, unknown): “Related Literature • predictability regressions Fama & Bliss 1987, Campbell & Shiller 1991, etc • statistical analysis of interest rate survey data Froot 1989, Kim & Orphanides 2007, Chernov & Mueller 2008 • role of survey expectations in other markets Frankel & Froot 1989, Gourinchas & Tornell 2004”
Exchange rate expectations and economic policy uncertainty (2017, background): “Recent studies dealing with comparable datasets in a different context are for example provided by Fratzscher et al. (2015), Bacchetta et al. (2009), and Cavusoglu and Neveu (2015).”