This paper revisits the effects of news shocks in the context of an otherwise standard New Keynesian dynamic general equilibrium (DSGE) model. We use the U.S. real-time forecasts from the Federal Reserve's Green Book to model agents' and the central bank's expectations of future macroeconomic...

We decompose consensus analyst long-term growth forecasts into a hard growth component that captures accounting information (asset and sales growth, profitability and equity dilution) and an orthogonal soft growth component. The soft component does not forecast future returns, and the hard...

By utilizing survey forecasts of macroeconomic statistics, we find that market participants' expectations are not rational as they exhibit an anchoring bias. The forecasts systematically under-predict macroeconomic statistics and the forecast errors are predicted by past macroeconomic...

This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to...

In this paper we propose a new analysis of the association between the growth of the earnings per share (EPS) as reflected in analysts' forecasts, the book value of equity, the EPS and the market value of equity. Specifically, we motivate and introduce a new specification of the dynamics of the...

We assess the contribution of macroeconomic uncertainty - approximated by the dispersion of the real GDP survey forecasts - to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods are...

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...