Testing behavioral finance theories using trends and consistency in financial performance

• 成果类型: Article; Proceedings Paper
• 署名作者: Chan, WS; Frankel, R; Kothari, SP
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2004.07.003
• 发表日期: 2004
• 关键词: CONTRARIAN INVESTMENT; risk-factors; MARKET; returns; momentum; earnings; PSYCHOLOGY; overreaction; strategies; EFFICIENCY

摘要

Assessing the predictive ability of behavioral finance theories using out-of-sample data is important. Otherwise, the potentially boundless set of psychological biases underlying the behavioral explanations for security price behavior can lead to overfitting of theories to data. We test pricing effects attributed to two psychological biases, representativeness and conservatism, which underlie many behavioral finance theories. Using trends and consistency of accounting performance, we look for the pricing consequences of representativeness and conservatism. We find mixed evidence consistent with behavioral finance. Specifically, the theories based on representativeness are not supported, but we find some evidence of the pricing implications of conservatism. (C) 2004 Elsevier B.V. All rights reserved.