We contribute to identifying proxies for the information set of investors in financial markets. We show that the marketwide price-dividend ratio highly correlates with inflation and labor market variables that also forecast consumption, dividend, and GDP growth, but not with aggregate consumption or GDP growth. Our model with learning from inflation and wage earnings rationalizes the moments of consumption and dividend growth, market return, the price-dividend ratio, real and nominal term structures, the low predictive power of the price-dividend ratio for consumption and dividends, and the dynamics of the price-dividend ratio, unlike a nested model with learning from consumption alone. (JEL E3, G12, G14)

中文翻译：

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什么信息驱动资产价格？

我们有助于确定金融市场投资者信息集的代理。我们表明，整个市场的价格股息率与通胀和劳动力市场变量高度相关，这些变量也预测消费、股息和 GDP 增长，但与总消费或 GDP 增长无关。我们从通货膨胀和工资收入中学习的模型合理化了消费和股息增长的时刻、市场回报、价格股息比率、实际和名义期限结构、价格股息比率对消费和股息的低预测能力，以及价格股息比率的动态，与仅从消费中学习的嵌套模型不同。(JEL E3, G12, G14)