Belief Overreaction and Stock Market Puzzles

• 成果类型: Article
• 署名作者: Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; Shleifer, Andrei
• 署名单位: University of Oxford; Bocconi University; Brown University; Harvard University
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/727713
• 发表日期: 2024
• 页码: 1450-1484
• 关键词: rare disasters; expectations; returns; RISK; consumption; INFORMATION; INVESTMENT; FRAMEWORK

摘要

We construct an index of long-term expected earnings growth for S&P 500 firms and show that it has remarkable power to jointly predict future errors in expectations and stock returns, in both the aggregate market and the cross section. The evidence supports a mechanism whereby good news causes investors to become too optimistic about long-term earnings growth. This leads to inflated stock prices and, as beliefs are systematically disappointed, subsequent low returns in the aggregate market. Overreaction of long-term expectations helps resolve major asset-pricing puzzles without time-series or cross-sectional variation in required returns.