Working Papers

“Predictability, Bias, and Herding in Analyst Forecasts” - Job Market Paper

(Coming Soon)

“Time-Series and Cross-Section of Risk Premia Expectations: Evidence from Financial Analysts” (2nd Round R&R at JFE)

(Current Version: June 2025, Recently Updated!)

Abstract: I show that—despite potential bias—sell-side analysts’ return expectations are the closest to rational, most informative, and relevant among survey forecasts. They efficiently incorporate available information, exhibit less predictable forecast errors, and align with a multi-factor model in the cross-section. Out-of-sample tests highlight their predictive ability, and a machine learning benchmark trained to predict single-stock outcomes assigns significant importance to their beliefs. Analysts’ expectations are strongly positively correlated with mutual fund institutional flows and allocations, and intraday returns, underscoring their relevance for institutional investment decisions. A multi-asset, heterogeneous-agent, two-period model identifies transmission mechanisms that account for these empirical findings.

Award: John A. Doukas Doctoral Best Paper Award, 2023 EFMA.

“The Term Structure of Return Expectations” with Cameron Peng

(Current Version: August 2025)

Abstract: Using a long-running survey of U.S. investors, we examine subjective return expectations for the aggregate stock market across horizons from one month to ten years. Short-term expectations are extrapolative, whereas forward return expectations are contrarian. The term structure of return expectations is upward-sloping in bad times and relatively flat in good times. We introduce perceived mispricing as a complementary belief measure and show that it helps explain the dynamics of the term structure: it is negatively correlated with short-term return expectations but positively correlated with forward return expectations. Examining the information content of these belief measures, and how they are reflected in free-text investment rationales and related to both stated and actual trading decisions, we show that both long-term expectations and perceived mispricing are central to investment behavior.

“Global Fund Managers' Beliefs, Perceived Mispricing, and Asset Allocation” with Cameron Peng

(Current Version: December 2024)

Abstract: We investigate the subjective beliefs of global fund managers regarding stock market mispricing using a newly compiled dataset from a 30-year survey. Fund managers are more likely to perceive the market as underpriced when retail investor sentiment is pessimistic, recent market declines have occurred, risks to market stability are elevated, and expectations for fundamental growth are low. Perceptions of underpricing are also weakly positively correlated with equity risk premium expectations from Capital Market Assumptions. These beliefs significantly predict realized excess returns in the aggregate stock market over a three-year horizon, even after controlling for established predictive factors. Finally, we show that perceived mispricing is strongly correlated with fund managers' future investment plans, as well as with future inflows into equity mutual funds.

“From Words to Weights: Breaking Down Institutional Beliefs” with Andrea Andolfatto

(Coming soon)

“On the Dynamics of Subjective Forecasts”

Abstract: Many macroeconomic and financial surveys report forecasts for variables—such as GDP or asset prices—that may be stationary or non-stationary. Analyzing these forecasts in their raw, potentially non-stationary form is crucial for understanding how expectations are formed and for identifying systematic biases and limits to forecast accuracy. By preserving the original time-series properties of the data, this approach helps reconcile long-standing puzzles in the literature on forecast accuracy and over-/under-reaction, offering new insights into how economic agents process information, anchor expectations, and update beliefs.

In Preparation

“Fifty Shades of Retail Trading” with Marco Sammon