This paper studies the heterogeneous effects of subjective macroeconomic expectations on the cross-section of equity returns. We argue that an upward revision in expectations of macroeconomic productivity might be accompanied by an excessive increase in investment and external financing, inflated current equity prices, and thus lowered subsequent returns, particularly for financially constrained firms. Thus, following upward revisions in expectations of macroeconomic productivity, subsequent returns are relatively low for small firms, value firms, low-investment firms, risky firms, unprofitable firms, low-quality firms, and financially distressed firms—all of which are more financially constrained. In sharp contrast, following downward revisions in expectations of macroeconomic productivity, these categories of firms earn relatively high subsequent returns. We find that revisions in subjective macroeconomic expectations induce strong predictable time variation in a large set of anomalies. In particular, favorable revisions in expectations of macroeconomic productivity predict significantly stronger profitability, quality, distress, and low-risk anomalies but weaker value, investment, and size anomalies.

中文翻译：

---

宏观经济认知、财务约束和异常


本文研究了主观宏观经济预期对股票回报横截面的异质性影响。我们认为，宏观经济生产率预期的上调可能伴随着投资和外部融资的过度增加，当前股票价格上涨，从而降低后续回报，特别是对于财务受限的公司。因此，在宏观经济生产率预期上调之后，小公司、价值公司、低投资公司、风险公司、无利可图的公司、低质量公司和财务困境公司的后续回报率相对较低——所有这些公司的财务限制都更加有限。与此形成鲜明对比的是，在宏观经济生产率预期下调后，这些类别的公司获得了相对较高的后续回报。我们发现，主观宏观经济预期的修正会在大量异常中诱发强烈的可预测时间变化。特别是，对宏观经济生产率预期的有利修正预示着盈利能力、质量、困境和低风险异常显著增强，但价值、投资和规模异常较弱。