Sean Myers

Sean Myers
  • Assistant Professor of Finance

Contact Information

  • office Address:

    2459 Steinberg - Dietrich Hall
    3620 Locust Walk
    Philadelphia, PA 19104

Research Interests: asset pricing, subjective expectations, macroeconomics, pensions

Links: CV, Personal Website


  • Sean Myers, The Cross-Section of Subjective Expectations: Understanding Prices and Anomalies.

  • Sean Myers and Ricardo De la O (Forthcoming), Which Subjective Expectations Explain Asset Prices?.

    Abstract: We present a method for determining whether errors in expectations explain asset pricing puzzles without imposing assumptions about the mechanism of the error. Using accounting identities and survey forecasts, we find that errors in expected long-term inflation and short-term nominal earnings growth explain price variation, return predictability, and the rejection of the expectations hypothesis for aggregate stock and bond markets. Errors in expected short-term inflation and long-term nominal earnings growth play no role. The relevant errors are consistent with mistakes about both the persistence of forecasted variables and the response to surprises. A fundamental extrapolation model successfully replicates these findings.

  • Sean Myers, Sovereign Debt, Government Spending Cycles, and Back-loaded Pension Reforms.

    Abstract: This paper studies the effect of public pension obligations on a sovereign government's commitment to repaying debt. In the model, the government can renege on its pension promises but suffers a cost from losing the trust of households about future pensions. Large pension promises act as a commitment device for debt because they require the government to have regular access to credit markets. The government's decision to default is driven by its total obligations, not just its debt. Thus, there is a range of pension obligations large enough to act as a commitment device without raising total obligations to the point of default. This otherwise deterministic economy has an endogenous cycle in which periods of high spending and increasing debt are followed by periods of pension reform and debt reduction. The model successfully produces high debt in excess of 100% GDP without default and back-loaded pension cuts that match salient features of recent reforms in six EU nations.

  • Sean Myers (Under Revision), Public Employee Pensions and Municipal Insolvency.

    Abstract: This paper studies how municipal governments jointly manage spending, credit market borrowing, and public employee pensions. I model governments as levered investors who must meet non-defaultable pension obligations and may value government spending more than citizens. I quantify the model using California city-level data, including a new record of fiscal emergencies, tax increases required to maintain essential services. After the financial crisis depleted pension funds, cities engaged in excessive risk-taking: the fiscal emergency option encouraged gambling for resurrection that kept cities vulnerable to shocks well into the recovery. Restricting risk-taking does not correct this problem, but a spending cap does.

  • Sean Myers, Ricardo De la O, Xiao Han, The Return of Return Dominance: Decomposing the Cross-Section of Prices.

    Abstract: Are stock valuation ratios mainly informative about future earnings growth or future returns? Using a variance decomposition, we find that over 70% of cross-sectional variation in price-earnings ratios is reflected in cross-sectional differences in future returns, while less than 30% is reflected in cross-sectional differences in future earnings growth. This is because, empirically, valuation ratios primarily predict future returns and only modestly predict future earnings growth. Additionally, changes in predicted future returns are more important than changes in predicted future earnings growth for explaining innovations in price-earnings ratios and current realized returns. We reconcile these results with previous literature which has found a strong relation between prices and future profitability. These results are consistent with models in which the cross-section of stock valuation ratios is driven mainly by discount rates or mispricing rather than differences in future earnings growth.

  • Sean Myers and Ricardo De la O (2021), Subjective Cash Flow and Discount Rate Expectations, Journal of Finance.

    Abstract: Why do stock prices vary? Using survey forecasts, we find that cash flow growth expectations explain most movements in the S&P 500 price-dividend and price-earnings ratios, accounting for at least 93% and 63% of their variation. These expectations comove strongly with price ratios, even when price ratios do not predict future cash flow growth. In comparison, return expectations have low volatility and small comovement with price ratios. Short-term, rather than long-term, expectations account for most price ratio variation. We propose an asset pricing model with beliefs about earnings growth reversal that accurately replicates these cash flow growth expectations and dynamics.


Current Courses (Spring 2024)

  • FNCE1010 - Monetary Econ & Glob Eco

    This is an intermediate-level course in macroeconomics and the global economy, including topics in monetary and international economics. The goal is to provide a unified framework for understanding macroeconomic events and policy, which govern the global economic environment of business. The course analyzes the determinants and behavior of employment, production, demand and profits; inflation, interest rates, asset prices, and wages; exchange rates and international flows of goods and assets; including the interaction of the real economy with monetary policy and the financial system. The analysis is applied to current events, both in the US and abroad. Students cannot receive credit for taking both FNCE 1010 and ECON 2200. Wharton students are required to take FNCE 1010.

    FNCE1010004 ( Syllabus )

    FNCE1010005 ( Syllabus )

    FNCE1010006 ( Syllabus )

    FNCE1010007 ( Syllabus )

    FNCE1010204 ( Syllabus )

    FNCE1010205 ( Syllabus )

    FNCE1010206 ( Syllabus )

    FNCE1010207 ( Syllabus )

Awards and Honors


In the News

Why Stock Valuation Hinges More on Returns Than Future Earnings

Growth stocks don’t generate the long-term returns that would justify their high multiples, according to the 2023 Jacobs Levy Center’s “Best Paper,” co-authored by Wharton’s Sean Myers. Read More

Knowledge at Wharton - 8/29/2023
All News