Sean Myers

Sean Myers
  • Assistant Professor of Finance

Contact Information

  • office Address:

    2452 Steinberg - Dietrich Hall
    3620 Locust Walk
    Philadelphia, PA 19104

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

Links: Personal Website, CV

Research

  • Ricardo Delao, Xiao Han, Sean Myers, The Cross-Section of Subjective Expectations: Understanding Prices and Anomalies. Abstract

    The Cross-Section of Subjective Expectations: Understanding Prices and Anomalies

    The Cross-Section of Subjective Expectations: Understanding Prices and Anomalies

    Ricardo Delao, Xiao Han, and Sean Myers
    2024

    Abstract:
    We decompose cross-sectional differences in the level of price-earnings ratios using professional forecasts. High price-earnings ratios are accounted for by both low expected returns and overly high expected earnings growth. The magnitudes and timing of the comovements between prices, earnings growth, and returns are consistent with gradual learning rather than expectations being highly sensitive to recent realizations. Earnings growth surprises do not translate 1-1 into one-period returns, but instead are gradually reflected in returns over time. A structural risk-premia model incorporating constant-gain learning about mean earnings growth replicates our findings and generates realistic dispersion and persistence in price-earnings ratios.

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  • Ricardo Delao, Xiao Han, Sean Myers (2025), The Return of Return Dominance: Decomposing the Cross-Section of Prices, Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2025.104059 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.

  • Tingyue Cui, Ricardo Delao, Sean Myers, The Subjective Belief Factor.
  • Ricardo Delao and Sean Myers (2024), Which Subjective Expectations Explain Asset Prices?, The Review of Financial Studies, 50. https://doi.org/10.1093/rfs/hhae009 Abstract

    We present a method for determining whether errors in expectations explain asset pricing puzzles without imposing assumptions about the error mechanism. Using accounting identities and survey forecasts, we find that errors in expected long-term inflation explain price variation, return predictability, and the rejection of the expectations hypothesis for aggregate stock and bond markets. Errors in short-term (long-term) nominal earnings growth expectations explain (do not explain) stock price variation and return predictability. The relevant errors are consistent with mistakes about the persistence of forecasted variables and the response to surprises. A simple framework based on fundamental extrapolation 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 and Ricardo Delao (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.

Teaching

Current Courses

  • FNCE1010 - Monetary Economics And The Global Economy

    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 )

  • FNCE3900 - Advanced Seminar: Introduction To Finance Research

    The objective of this course is to introduce undergraduates to finance research. It will integrate the work of the various finance courses and familiarize the student with the tools and techniques of research. This research course will give undergraduate students a financial framework that they can build on at Wharton and throughout their career. This Undergraduate Research Fellowship will allow us to broaden our support to our students.

    FNCE3900001 ( Syllabus )

Past Courses

  • 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.

  • FNCE3900 - Advanced Seminar

    The objective of this course is to introduce undergraduates to finance research. It will integrate the work of the various finance courses and familiarize the student with the tools and techniques of research. This research course will give undergraduate students a financial framework that they can build on at Wharton and throughout their career. This Undergraduate Research Fellowship will allow us to broaden our support to our students.

  • FNCE9370 - Topics in Macro Finance

    This is an advanced course in quantitative theory applied to macro and finance models. It is intended for doctoral students in finance, economics and related fields. The course focuses on four broad theoretical literatures: (i) firm investment and growth; (ii) corporate, household and sovereign debt; (iii) asset pricing in general equilibrium; and (iv) equilibrium macro models with a financial sector. My approach is to develop and discuss in detail a unified framework that is suited to address most topics, usually covering a few central topics and the core papers. We then discuss the more recent literature, highlighting how authors combine and expand upon the core ideas. This part of the course usually relies on regular student presentations.

Awards And Honors

In the News

Knowledge @ Wharton

Activity

Latest Research

Ricardo Delao, Xiao Han, Sean Myers, The Cross-Section of Subjective Expectations: Understanding Prices and Anomalies.
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In the News

The Fed Chair Transition and the Future of Central Bank Independence

Wharton associate professor of legal studies and business ethics examines the upcoming Federal Reserve chair transition and the growing debate over central bank independence amid political pressure.…Read More

Knowledge @ Wharton - 2026/01/9
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Awards and Honors

EFA Annual Meeting Best Paper Award 2024
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