A Tough Act to Follow: Contrast Effects in Financial Markets

• 成果类型: Article
• 署名作者: Hartzmark, Samuel M.; Shue, Kelly
• 署名单位: University of Chicago; Yale University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12685
• 发表日期: 2018
• 页码: 1567-1613
• 关键词: FULLY REFLECT; cross-section; stock-prices; earnings; INFORMATION; analysts; returns; news; performance; judgments

摘要

A contrast effect occurs when the value of a previously observed signal inversely biases perception of the next signal. We present the first evidence that contrast effects can distort prices in sophisticated and liquid markets. Investors mistakenly perceive earnings news today as more impressive if yesterday's earnings surprise was bad and less impressive if yesterday's surprise was good. A unique advantage of our financial setting is that we can identify contrast effects as an error in perceptions rather than expectations. Finally, we show that our results cannot be explained by an alternative explanation involving information transmission from previous earnings announcements.