Beschreibung:
Standard rational expectations stock pricing models typically imply that agents use the long-run cointegration relation between stock price and fundamentals to forecast future stock prices. Do survey stock market forecasts support this implication? We find that survey stock price forecasts are not cointegrated with forecasts of fundamentals (aggregate consumption, dividend, and output) at the average and individual level. The findings are robust to addressing the multiple testing problem, small sample problem, and to allowing for structural break