Subjective Bond Returns and Belief Aggregation

Autor:	Andrea Buraschi, Ilaria Piatti, Paul Whelan
Rok vydání:	2021
Předmět:	Business Fluctuations Prices Economics and Econometrics Asset Pricing Bond Interest Rates Cycles Accounting Trading volume Financial Forecasting and Simulation Money and Interest Rates Behavioral Finance Finance
Zdroj:	The Review of Financial Studies. 35:3710-3741
ISSN:	1465-7368 0893-9454
Popis:	This paper proposes an aggregation scheme of subjective bond return expectations based on the historical accuracy of professional interest rate forecasters. We use disaggregated survey data on bond returns and document large disagreement in the cross-sectional distribution and persistence in forecast accuracy. Our aggregate subjective belief proxy outperforms equal weighting schemes, and its dynamics are significantly different from statistical forecasting models. With this measure in hand, we study the relationship between quantities of risk and subjective expectations of excess returns and demonstrate a strong link between the two, even if such a relationship is difficult to detect using realized returns. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4b16f25332e64c42af146d973b51db1c https://doi.org/10.1093/rfs/hhab115 Zobrazit plný text záznamu