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August 4, 2026Journal of money credit and bankingOpen Access

Countercyclical Return Expectations: Evidence from the Livingston Survey

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Authors

SMSTIG V. MØLLERTPTHOMAS Q. PEDERSENSSSIGURD A. M. STEFFENSEN

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Overview

Shows countercyclical return expectations in U.S. stocks, suggesting rational forecasting by economists.

Key Points

  • The research aims to assess how professional economists’ forecasts imply countercyclical variations in expected excess returns on U.S. stocks.
  • Analysis of forecasts from the Livingston survey by professional economists.
  • Comparison with models: log-utility investor, habit model, and long-run risk model.
  • Evaluation of cash flow expectations based on tax-adjusted corporate profits.
  • Countercyclical variation in excess returns was found, positively correlated with the log-utility model (ranging effects not specified).
  • The habit model and long-run risk model were not able to match the implied cash flow expectations from the Livingston survey.
  • Expected cash flows based on forecasted corporate profits showed similar countercyclical trends.

Cite This Study

MØLLER et al. (2026) studied this question.

synapsesocial.com/papers/6a71993fc47350ef8e494b60https://doi.org/10.1111/jmcb.70075
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