Discussion of: Testing behavioral finance theories using trends and sequences in financial performance, (by Wesley!Chan, Richard!Frankel, and S.P.!Kothari)

• 成果类型: Editorial Material
• 署名作者: Daniel, K
• 署名单位: Northwestern University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2004.10.003
• 发表日期: 2004
• 关键词: expected stock returns; ASSET PRICING MODEL; MOMENTUM STRATEGIES; SECURITY MARKET; RISK; arbitrage; INVESTMENT; earnings; prices

摘要

Chan, Frankel, and Kothari (CFK) present new empirical evidence which they argue rules out a broad class of behavioral models as potentials explanations of long-horizon return predictability. I provide a different interpretation of their findings. The CFK evidence and other extant empirical evidence is inconsistent with investor misinterpretation of earnings information as a source a long-horizon predictability, as CFK claim. However, this evidence points to misinterpretation of non-accounting based information as a source of the predictability. This type of predictability is consistent with the predictions of other behavioral models, such as that of Daniel, Hirshleifer and Subrahmanyam (1998). (C) 2004 Elsevier B.V. All rights reserved.