We construct an index of long-term expected earnings growth for S&P 500 firms and show
that it has remarkable power to jointly predict future errors in expectations and stock returns …

This paper documents a striking fact: a narrow window around Fed meetings captures the
secular decline in US Treasury yields since 1980. Yield movements outside this window are …

Collecting large asset managers' capital market assumptions, we revisit the relationships
between subjective equity premium expectations, equity valuations, and financial portfolios …

I find that the causal effect of subjective growth expectations on asset prices is far smaller
than standard models suggest. To quantify this causal effect, I construct an asset demand …

I develop a framework to quantify which features of investors' dynamic trading strategies
lead to momentum in equilibrium. I distinguish persistent demand shocks, capturing …

Should policymakers adapt their macroprudential and monetary policies when the financial
sector is vulnerable to belief-driven boom-bust cycles? I develop a model in which financial …

We measure the nature and severity of a variety of belief distortions in market reactions to
hundreds of economic news events using a new methodology that synthesizes estimation of …

Higher order beliefs-beliefs about others' beliefs-may be important for trading behavior and
asset prices, but have received little systematic empirical examination. We study more than …

We propose a latent-variables approach to recover extrapolative beliefs from asset prices.
We estimate a present-value model of the price–dividend ratio of the market that embeds …

This paper examines the effect of foreign ownership on stock market volatility, and further
explore the mediating effect of heterogeneous beliefs on the above relationship. We use the …