Cohort effects on expected co-movement

Author / Creator

Goetzmann, William N

Available as

Online

Summary

The covariance of asset returns with economic states of the world is a fundamental input to asset pricing models. Using a semi-annual survey of forecasts by a panel of U.S. economists over more tha...

The covariance of asset returns with economic states of the world is a fundamental input to asset pricing models. Using a semi-annual survey of forecasts by a panel of U.S. economists over more than 70 years, we infer forecaster beliefs about covariance between the S&P index and macro-economic factors. We find evidence that life-experience was a significant determinant of beliefs about the co-movement of inflation and stock returns.

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