| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23863 |
| 来源ID | Working Paper 23863 |
| Diagnostic Expectations and Stock Returns | |
| Pedro Bordalo; Nicola Gennaioli; Rafael La Porta; Andrei Shleifer | |
| 发表日期 | 2017-09-25 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We revisit La Porta’s (1996) finding that returns on stocks with the most optimistic analyst long term earnings growth forecasts are substantially lower than those for stocks with the most pessimistic forecasts. We document that this finding still holds, and present several further facts about the joint dynamics of fundamentals, expectations, and returns for these portfolios. We explain these facts using a new model of belief formation based on a portable formalization of the representativeness heuristic. In this model, analysts forecast future fundamentals from the history of earnings growth, but they over-react to news by exaggerating the probability of states that have become objectively more likely. Intuitively, fast earnings growth predicts future Googles but not as many as analysts believe. We test predictions that distinguish this mechanism from both Bayesian learning and adaptive expectations, and find supportive evidence. A calibration of the model offers a satisfactory account of the key patterns in fundamentals, expectations, and returns. |
| 主题 | Microeconomics ; Behavioral Economics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w23863 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581536 |
| 推荐引用方式 GB/T 7714 | Pedro Bordalo,Nicola Gennaioli,Rafael La Porta,et al. Diagnostic Expectations and Stock Returns. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23863.pdf（1878KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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