| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27283 |
| 来源ID | Working Paper 27283 |
| Belief Overreaction and Stock Market Puzzles | |
| Pedro Bordalo; Nicola Gennaioli; Rafael La Porta; Andrei Shleifer | |
| 发表日期 | 2020-06-01 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We construct an index of long term expected earnings growth for S&P500 firms and show that it has remarkable power to jointly predict errors in these expectations and stock returns, in both the aggregate market and the cross section. The evidence supports a mechanism whereby good news cause investors to become too optimistic about earnings growth, for the market as a whole but especially for specific firms. This leads to inflated stock prices and, as beliefs are systematically disappointed, to subsequent low returns in the aggregate market and for specific firms in the cross section. Overreaction of measured long-term expectations helps resolve major asset pricing puzzles without time series or cross-sectional variation in required returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Behavioral Finance |
| URL | https://www.nber.org/papers/w27283 |
| 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/584954 |
| 推荐引用方式 GB/T 7714 | Pedro Bordalo,Nicola Gennaioli,Rafael La Porta,et al. Belief Overreaction and Stock Market Puzzles. 2020. |
| 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 | ||
| w27283.pdf（767KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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