The DOI matches its Crossref record; 46 of the 46 references it cites were found in a registry or an index.
Diagnostic Expectations and Stock Returns
Abstract
We revisit La Porta's finding that returns on stocks with the most optimistic analyst long‐term earnings growth forecasts are lower than those on stocks with the most pessimistic forecasts. We document the joint dynamics of fundamentals, expectations, and returns of these portfolios, and explain the facts using a model of belief formation based on the representativeness heuristic. Analysts forecast fundamentals from observed earnings growth, but overreact to news by exaggerating the probability of states that have become more likely. We find support for the model's predictions. A quantitative estimation of the model accounts for the key patterns in the data.
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Cites
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Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Does the Stock Market Overreact?
De BONDT, W. F. M., & THALER, R. (1985) · The Journal of Finance · doi:10.1111/j.1540-6261.1985.tb05004.x · Cited by 7,578
Noise Trader Risk in Financial Markets
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Self-citationOn the psychology of prediction.
Kahneman, D., & Tversky, A. (1973) · Psychological Review · doi:10.1037/h0034747 · Cited by 6,202
Investor Psychology and Security Market Under‐ and Overreactions
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Subjective probability: A judgment of representativeness
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A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
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Tversky, A., & Kahneman, D. (1983) · Psychological Review · doi:10.1037/0033-295x.90.4.293 · Cited by 3,991
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Cited by
Overreaction in Macroeconomic Expectations
Bordalo, P., Gennaioli, N., Ma, Y., & Shleifer, A. (2020) · American Economic Review · doi:10.1257/aer.20181219 · Cited by 608
Self-citationHome Price Expectations and Behaviour: Evidence from a Randomized Information Experiment
Armona, L., Fuster, A., & Zafar, B. (2019) · The Review of Economic Studies · doi:10.1093/restud/rdy038 · Cited by 319
Metadata
- Authors
- BORDALO, P., GENNAIOLI, N., PORTA, R. L., & SHLEIFER, A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2019-07-23
- Volume
- 74
- Issue
- 6
- Pages
- 2839-2874
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2758449449
- Cited by
- 396
- References
- 46
- FWCI
- 43.48
- Type
- journal article
- Language
- en
- Open access
- closed
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