Overreaction in Expectations: Evidence and Theory*

• 成果类型: Article
• 署名作者: Afrouzi, Hassan; Kwon, Spencer Y.; Landier, Augustin; Ma, Yueran; Thesmar, David
• 署名单位: Harvard University; Hautes Etudes Commerciales (HEC) Paris; University of Chicago; Massachusetts Institute of Technology (MIT)
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjad009
• 发表日期: 2023
• 页码: 1713-1764
• 关键词: working-memory capacity; INFORMATION; JUDGMENT; underreaction; prices; tests; RISK; face

摘要

We investigate biases in expectations across different settings through a large-scale randomized experiment where participants forecast stable stochastic processes. The experiment allows us to control forecasters' information sets as well as the data-generating process, so we can cleanly measure biases in beliefs. We report three facts. First, forecasts display significant overreaction to the most recent observation. Second, overreaction is stronger for less persistent processes. Third, overreaction is also stronger for longer forecast horizons. We develop a tractable model of expectations formation with costly processing of past information, which closely fits the empirical facts. We also perform additional experiments to test the mechanism of the model.