A model of investor sentiment

• 成果类型: Article
• 署名作者: Barberis, N; Shleifer, A; Vishny, R
• 署名单位: Harvard University; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00027-0
• 发表日期: 1998
• 页码: 307-343
• 关键词: Investor sentiment; underreaction; overreaction

摘要

Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements, and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment, or of how investors form beliefs, which is consistent with the empirical findings. The model is based on psychological evidence and produces both underreaction and overreaction for a wide range of parameter values. (C) 1998 Elsevier Science S.A. All rights reserved.