A Mind Is a Terrible Thing to Change: Confirmatory Bias in Financial Markets

• 成果类型: Article
• 署名作者: Pouget, Sebastien; Sauvagnat, Julien; Villeneuve, Stephane
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite de Toulouse; Universite Toulouse 1 Capitole; Bocconi University; Bocconi University; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw100
• 发表日期: 2017
• 页码: 2066
• 关键词: EARNINGS-ANNOUNCEMENT DRIFT; INVESTOR PSYCHOLOGY; information-content; momentum; uncertainty; DISAGREEMENT; opinion; price; RISK; volatility

摘要

This paper studies the impact of the confirmatory bias on financial markets. We propose a model in which some traders may ignore new evidence inconsistent with their favorite hypothesis regarding the state of the world. The confirmatory bias provides a unified rationale for several existing stylized facts, including excess volatility, excess volume, and momentum. It also delivers novel predictions for which we find empirical support using data on analysts' earnings forecasts: traders update beliefs depending on the sign of past signals and previous beliefs, and, at the stock level, differences of opinion are larger when past signals have different signs.