This paper discusses the expectation formation process of Japanese stock market professionals and how their expectations are related to larger fluctuations of the TOPIX price than those of economic fundamentals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK...

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...