Institutions' Return Expectations Across Assets and Time

Replication data and code for "Institutions' Return Expectations Across Assets and Time" forthcoming in the Journal of Financial Economics.

NIAID Data Ecosystem00

Short Rates and Expected Asset Returns

We present evidence that short-term interest rates forecast excess returns on many alternative assets: foreign exchange, stocks, bonds, and commodities. On average, a one percentage-point increase in

NBER1990-01-01 更新50

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

NBER2013-01-01 更新40