I show that prices impact analyst cash flow expectations and argue this impact can partially reconcile subjective beliefs data with asset pricing models in which investors have rational expectations and discount rate variation drives prices. Previous work argues that correlations of biased analyst cash flow expectations with prices and future returns contradict rational models and imply biased investor expectations distort prices. However, using two instrumental variables for price, I find increases in price unrelated to cash flow news raise analyst cash flow expectations. Based on this empirical finding, I propose a model with rational investors that matches key moments in beliefs data: analysts form biased cash flow expectations by learning from prices that contain discount rate variation. Thus, while stylized facts in beliefs data can be consistent with investors having biased expectations that distort prices, these facts can also be consistent with investors having rational expectations and analysts learning from prices.

中文翻译：

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价格对分析师现金流预期的影响：调和主观信念数据与合理的贴现率变化

我表明价格会影响分析师的现金流预期，并认为这种影响可以部分调和主观信念数据与资产定价模型，在资产定价模型中，投资者有理性的预期，贴现率变化会推动价格。以前的研究认为，有偏差的分析师现金流预期与价格和未来回报的相关性与理性模型相矛盾，并暗示有偏差的投资者预期会扭曲价格。然而，使用两个工具变量来计算价格，我发现与现金流无关的价格上涨会提高分析师的现金流预期。基于这一实证发现，我提出了一个与信念数据中的关键时刻相匹配的理性投资者模型：分析师通过从包含贴现率变化的价格中学习来形成有偏差的现金流预期。因此，虽然信念数据中的程式化事实可能与投资者具有扭曲价格的偏见预期一致，但这些事实也可能与投资者的理性预期和分析师从价格中学习一致。