A DIRECT TEST OF THE COGNITIVE BIAS THEORY OF SHARE PRICE REVERSALS

被引：61

作者：

KLEIN, A

机构：

[1] New York University, New York City

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 1990年 / 13卷 / 02期

关键词：

D O I：

10.1016/0165-4101(90)90028-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The cognitive bias theory of share price reversals predicts that the market forms overly optimistic (pessimistic) earnings expectations for firms that experienced high (low) stock returns. This paper finds evidence inconsistent with this theory. Analysts do not underpredict earnings following large stock price declines; instead, they remain overly optimistic about future earnings. Similarly, analysts do not overpredict earnings for firms after periods of extreme price rises. It appears, then, that other factors are responsible for the observed mean reversions in share prices. © 1990.

引用

页码：155 / 166

页数：12

共 20 条

[1] NONSTATIONARY EXPECTED RETURNS - IMPLICATIONS FOR TESTS OF MARKET-EFFICIENCY AND SERIAL-CORRELATION IN RETURNS [J].