Predicting the next step of a random walk: experimental evidence of regime-shifting beliefs

• 成果类型: Article
• 署名作者: Bloomfield, R; Hales, J
• 署名单位: Cornell University; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00147-2
• 发表日期: 2002
• 页码: 397-414
• 关键词: Market inefficiency; regime shifting; Investor sentiment; underreaction; overreaction; post-earnings-announcement drift

摘要

Barberis et al. (J. Financial Econ. 49 (1998) 307), construct a model in which investors use the prevalence of past trend reversals as an indicator of the likelihood of future reversals. While such regime-shifting beliefs are consistent with a variety of psychological theories, other contrary predictions are consistent with the same theories. We report two experiments with MBA-student participants that strongly support the existence of regime-shifting beliefs. We conclude that regime-shifting models can provide a useful framework for understanding market anomalies, including underreactions to earnings changes and overreactions to long-term earnings trends. (C) 2002 Published by Elsevier Science B.V.