Extrapolators and contrarians: Forecast bias and individual investor stock trading

• 成果类型: Article
• 署名作者: Andersen, Steffen; Dimmock, Stephen G.; Nielsen, Kasper Meisner; Peijnenburg, Kim
• 署名单位: Copenhagen Business School; Centre for Economic Policy Research - UK; National University of Singapore; Tilburg University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104291
• 发表日期: 2026-07
• 页码: 104291
• 关键词: extrapolation; Contrarian bias; forecast bias; expectations; household finance; experimental finance; Individual investor trading; natural expectations; portfolio choice; returns; RISK; Heterogeneity; DYNAMICS; beliefs; experiences; reluctant; BEHAVIOR

摘要

We test whether forecast bias affects individual investors' stock trading by combining bias measures from laboratory experiments with administrative trade data. Forecast bias is positively associated with past excess returns of purchased stocks: Compared to contrarians, extrapolators purchase stocks with higher past returns. Forecast bias is negatively associated with capital gains of sold stocks. Forecast bias also explains investor heterogeneity in the relation between market returns and net flows. Taken together, forecast bias provides a unifying mechanism through which different salient performance measures - past stock returns, capital gains, and past market returns - shape corresponding purchase, sale, and net flow decisions.