Survey expectations of returns and asset pricing puzzles



Publishing details

IFA Working Paper

Authors / Editors

Koijen R; Schmeling M; Vrugt E

Publication Year



Survey expectations of returns negatively predict future returns both in the cross section of countries and in the time series in three major asset classes: global equities, currencies, and global fixed income. While past returns and survey expectations of economic growth explain some of the variation in survey expectations of returns, the residual variation in survey expectations of returns also predicts future returns in all three asset classes. We find that the variation in expected returns that is related to survey expectations of returns is positively correlated with the amount of excess volatility across international equity markets.


Surveys; Expected returns; Equities; Fixed income; Currencies; Carry; Momentum; Value


IFA Working Paper