We construct an index of long-term expected earnings growth for S&P 500 firms and show that it has remarkable power to jointly predict future errors in expectations and stock returns, in both the aggregate market and the cross section. The evidence supports a mechanism whereby good news causes investors to become too optimistic about long-term earnings growth. This leads to inflated stock prices and, as beliefs are systematically disappointed, subsequent low returns in the aggregate market. Overreaction of long-term expectations helps resolve major asset-pricing puzzles without time-series or cross-sectional variation in required returns.

中文翻译：

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信念过度反应与股市之谜

我们构建了标准普尔 500 强公司的长期预期盈利增长指数，并表明该指数在共同预测总体市场和横截面中的预期和股票回报的未来误差方面具有显着的能力。证据支持了一种机制，即好消息会导致投资者对长期盈利增长过于乐观。这导致股价上涨，并且由于信念系统性地失望，导致总体市场回报率较低。长期预期的过度反应有助于解决主要的资产定价难题，而无需要求回报的时间序列或横截面变化。