Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 30, 2022 erstellt
Description:
I construct a new dataset of subjective total return expectations at the single stock level using forecast data of sell-side analysts, which I then aggregate at both market and portfolio level. Sell-side analysts' expectations appear to be countercylical, contrarian and less persistent than CFOs' expectations. Sell-side analysts’ forecasts have strong and consistent correlations with many model-based expected risk premium measures, and imply a larger discount rate channel than CFOs' and economists' forecasts. In addition, sell-side analysts’ expectations are strongly positively correlated (almost 80%) with the square of the VIX index (VIX^2). Sell-side analysts' expected market risk premia forecasts are also able to predict realised stock market risk premia. Using sell-side analysts’ excess return forecasts, CAPM and Fama-French multi-factor models fit the cross-sectional dynamics of subjective expected excess returns remarkably well