["Journal of Money, Credit and Banking, EarlyView. ", "\nAbstract\nThis paper shows that forecasts from professional economists in the Livingston survey imply countercyclical variation in expected excess returns on U.S. stocks. These expectations are approximately rational and strongly positively correlated with expected excess returns from the log‐utility investor of Martin (2017), the habit model of Campbell and Cochrane (1999), and the long‐run risk model of Bansal and Yaron (2004). The Livingston survey also implies countercyclical cash flow expectations based on forecasts of tax‐adjusted corporate profits. However, this feature is not matched by either the habit or the long‐run risk model."]