What Hundreds of Economic News Events Say About Belief Overreaction in the Stock Market

• 成果类型: Article; Early Access
• 署名作者: Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai
• 署名单位: Johns Hopkins University; Centre for Economic Policy Research - UK; National Bureau of Economic Research; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag062
• 发表日期: 2026-07-29
• 关键词: prices

摘要

We measure the nature and severity of a variety of belief distortions in market reactions to hundreds of economic news events by synthesizing structural estimation with algorithmic machine learning to quantify bias. We find that investors systematically overreact to perceptions about multiple fundamental shocks, a phenomenon we show often dampens rather than amplifies market volatility via a shock composition effect. Such effects imply that the stock market can underreact to news, even when investors overreact to all shocks.