I review the literature on financial speculation driven by belief disagreements from a macroeconomics perspective. To highlight unifying themes, I develop a stylized macroeconomic model that embeds several mechanisms. With short-selling constraints, speculation can generate overvaluation and...

Information-theoretic methods have recently been proposed for the simultaneous recovery of investors’ beliefs about future macroeconomic and financial outcomes and their risk preferences from observed asset prices. These methods estimate beliefs and preferences to minimize the statistical...

This paper quantifies the amount of noise and bias in analysts' forecast of corporate earnings at various horizons. We first show analyst forecasts outperform statistical forecasts at short-horizons, but underperform at longer horizons. We next decompose the relative accuracy of these forecasts...

This study focuses on how optimism translates into innovation outcomes. While the link has been established at a microeconomic level, its translation to an aggregate economic effect is still an open question. Empirical analysis draws from a yearly sample of 42 (mainly OECD) countries between...

The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statements from January 2000 to December 2015, this...

This paper analyzes the effect equity values and age have on the risk aversion of participants in U.S. defined contribution plans using a unique dataset with daily responses to a risk tolerance questionnaire. We find that older investors are more risk averse compared to younger cohorts when...

We propose a novel procedure to identify the marginal stock market investor's beliefs from observed asset prices. Our approach recovers price-consistent beliefs, i.e. the distribution of macro and financial variables that satisfy the conditional Euler equations, given a cross-section of assets,...