We present a method for determining whether errors in expectations explain asset pricing puzzles without imposing assumptions about the error mechanism. Using accounting identities and survey forecasts, we find that errors in expected long-term inflation explain price variation, return predictability, and the rejection of the expectations hypothesis for aggregate stock and bond markets. Errors in short-term (long-term) nominal earnings growth expectations explain (do not explain) stock price variation and return predictability. The relevant errors are consistent with mistakes about the persistence of forecasted variables and the response to surprises. A simple framework based on fundamental extrapolation successfully replicates these findings.

中文翻译：

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哪些主观预期可以解释资产价格？

我们提出了一种方法，用于确定预期误差是否可以解释资产定价难题，而无需对误差机制施加假设。使用会计恒等式和调查预测，我们发现预期长期通胀的误差可以解释价格变化、回报可预测性以及对股票和债券市场总体预期假设的拒绝。短期（长期）名义盈利增长预期的误差解释（不解释）股价变化和回报可预测性。相关错误与预测变量的持续性和对意外事件的反应的错误是一致的。一个基于基本外推法的简单框架成功地复制了这些发现。