Haase, Felix; Neuenkirch, Matthias - 2023 - First Draft: October 15, 2023
We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … expectations and the underlying disagreement in the United States for the period 1989M10-2022M09. We demonstrate that unexpected … priced in the cross section and drive the size and value premium, whereas inflation expectations serve as robust predictors …