Stock market overreaction to bad news in good times: A rational expectations equilibrium model

• 成果类型: Article
• 署名作者: Veronesi, P
• 署名单位: University of Chicago
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/12.5.975
• 发表日期: 1999
• 页码: 975
• 关键词: volatility; returns

摘要

This article presents a dynamic, rational expectations equilibrium model of asset prices where the drift of fundamentals (dividends) shifts between two unobservable states at random times. I show that in equilibrium, investors' willingness to hedge against changes in their own uncertainty on the true state makes stock prices overreact to bad news in good times and underreact to good news in bad times. I then show that this model is better able than conventional models with no regime shifts to explain features of stock returns, including volatility clustering, leverage effects, excess volatility, and time-varying expected returns.