Diagnostic Expectations and Stock Returns

• 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; Bocconi University; Brown University; Harvard University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12833
• 发表日期: 2019
• 页码: 2839-2874
• 关键词: investment strategies; CONTRARIAN INVESTMENT; MARKET; PSYCHOLOGY; probability; volatility; forecasts; JUDGMENT; price; RISK

摘要

We revisit La Porta's finding that returns on stocks with the most optimistic analyst long-term earnings growth forecasts are lower than those on stocks with the most pessimistic forecasts. We document the joint dynamics of fundamentals, expectations, and returns of these portfolios, and explain the facts using a model of belief formation based on the representativeness heuristic. Analysts forecast fundamentals from observed earnings growth, but overreact to news by exaggerating the probability of states that have become more likely. We find support for the model's predictions. A quantitative estimation of the model accounts for the key patterns in the data.