A Model of Investor Sentiment
Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements; and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment that...
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| Veröffentlicht in: | NBER Working Paper Series 1997-02, p.5926 |
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| creator | Barberis, Nicholas C Vishny, Robert W Shleifer, Andrei |
| description | Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements; and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment that is, of how investors form beliefs that is consistent with the empirical findings. The model is based on psychological evidence and produces both underreaction and overreaction for a wide range of parameter values. |
| doi_str_mv | 10.3386/w5926 |
| format | Article |
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| identifier | ISSN: 0898-2937 |
| ispartof | NBER Working Paper Series, 1997-02, p.5926 |
| issn | 0898-2937 |
| language | eng |
| recordid | cdi_proquest_journals_1690249548 |
| source | Alma/SFX Local Collection |
| subjects | Asset Pricing Economic theory Investor behavior |
| title | A Model of Investor Sentiment |
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