We propose a latent-variables approach to recover extrapolative beliefs from asset prices. We estimate a present-value model of the price–dividend ratio of the market that embeds both return extrapolation and cash-flow extrapolation, alongside discount rates and rational expectations of dividend growth. This approach allows us to measure extrapolation bias without having to rely on survey data, and it inherently guarantees that the researcher focuses on a set of beliefs that matter for price formation. We show that extrapolative beliefs extracted from prices are highly correlated with surveys and that survey-based and price-based extrapolative beliefs share similar predictive properties for future returns, with the former improving upon the latter.

中文翻译：

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从市场价格中提取外推信念：一种增强现值方法


我们提出了一种潜在变量方法来从资产价格中恢复外推信念。我们估计了市场价格-股息比率的现值模型，该模型嵌入了回报外推和现金流外推，以及贴现率和对股息增长的理性预期。这种方法使我们能够在不依赖调查数据的情况下测量外推偏差，并且它从本质上保证了研究人员专注于一组对价格形成很重要的信念。我们表明，从价格中提取的外推信念与调查高度相关，并且基于调查和基于价格的外推信念对未来回报具有相似的预测特性，前者优于后者。