A model of investor sentiment

被引：2074

作者：

Barberis, N

Shleifer, A ^{[1
]}

Vishny, R

机构：

[1] Harvard Univ, Cambridge, MA 02138 USA

[2] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1998年 / 49卷 / 03期

关键词：

investor sentiment; underreaction; overreaction;

D O I：

10.1016/S0304-405X(98)00027-0

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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, or of how investors form beliefs, which 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. (C) 1998 Elsevier Science S.A. All rights reserved.

引用

页码：307 / 343

页数：37

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