This paper documents new evidence that survey forecasts of stock prices are not anchored by forecasts of economic fundamentals in US stock markets. This evidence is at odds with a wide range of asset pricing models with various information assumptions. The paper develops and estimates a stock...

The paper develops and estimates a stock pricing model with sentiment shocks to stock price forecasts and learning about stock prices by investors which replicates several survey evidence on stock price forecasts along with a standard set of asset pricing facts for the United States. A unique...

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...