Investor psychology and security market under- and overreactions

• 成果类型: Review
• 署名作者: Daniel, K; Hirshleifer, D; Subrahmanyam, A
• 署名单位: Northwestern University; National Bureau of Economic Research; University of Michigan System; University of Michigan; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00077
• 发表日期: 1998
• 页码: 1839-1885
• 关键词: initial public offerings; Seasoned equity offerings; STOCK-PRICE BEHAVIOR; operating performance; ANALYSTS RECOMMENDATIONS; CONTRARIAN INVESTMENT; financial-markets; Risk premium; returns; INFORMATION

摘要

We propose a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors' confidence as a function of their investment outcomes. We show that overconfidence implies negative long-lag autocorrelations, excess volatility, and, when managerial actions are correlated with stock mispricing, public-event-based return predictability. Biased self-attribution adds positive short-lag autocorrelations (momentum), short-run earnings drift, but negative correlation between future returns and long-term past stock market and accounting performance. The theory also offers several untested implications and implications for corporate financial policy.