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来源类型Working Paper
规范类型报告
DOI10.3386/w23883
来源IDWorking Paper 23883
A Tough Act to Follow: Contrast Effects In Financial Markets
Samuel M. Hartzmark; Kelly Shue
发表日期2017-10-02
出版年2017
语种英语
摘要A contrast effect occurs when the value of a previously-observed signal inversely biases perception of the next signal. We present the first evidence that contrast effects can distort prices in sophisticated and liquid markets. Investors mistakenly perceive earnings news today as more impressive if yesterday’s earnings surprise was bad and less impressive if yesterday’s surprise was good. A unique advantage of our financial setting is that we can identify contrast effects as an error in perceptions rather than expectations. Finally, we show that our results cannot be explained by a key alternative explanation involving information transmission from previous earnings announcements.
主题Microeconomics ; Behavioral Economics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Behavioral Finance
URLhttps://www.nber.org/papers/w23883
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/581555
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GB/T 7714
Samuel M. Hartzmark,Kelly Shue. A Tough Act to Follow: Contrast Effects In Financial Markets. 2017.
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