This paper reevaluates the importance of the cay variable and studies the role of market belief for predicting changes in consumption and asset wealth. The cay variable on its own is not a stable predictor, which leads to a reasonable doubt of how robust this proxy for expectations is. We use expectations data from the Livingston Survey and Blue Chip Financial Forecast to construct the average market belief, and find that the presence of the belief variable wipes out the effect of the cay variable, and that the explanatory power of the belief variables is consistent throughout different time horizon.

Motolese, M., Wu, H., The Effect of Belief: Reevaluating CAY, <<Working Paper, Department of Economics, Stanford University>>, 2009; (Ottobre): 1-28 [http://hdl.handle.net/10807/13803]

The Effect of Belief: Reevaluating CAY

Motolese, Maurizio;
2009

Abstract

This paper reevaluates the importance of the cay variable and studies the role of market belief for predicting changes in consumption and asset wealth. The cay variable on its own is not a stable predictor, which leads to a reasonable doubt of how robust this proxy for expectations is. We use expectations data from the Livingston Survey and Blue Chip Financial Forecast to construct the average market belief, and find that the presence of the belief variable wipes out the effect of the cay variable, and that the explanatory power of the belief variables is consistent throughout different time horizon.
Inglese
Motolese, M., Wu, H., The Effect of Belief: Reevaluating CAY, <>, 2009; (Ottobre): 1-28 [http://hdl.handle.net/10807/13803]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/13803
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