文档介绍：Journal of Financial Economics 49 (1998) 307—343
A model of investor sentiment
Nicholas Barberis!, Andrei Shleifer" *, Robert Vishny!
! Graduate School of Business, University of Chicago, Chicago, IL 60637, USA
" Harvard University, Cambridge, MA 02138, USA
Received 29 January 1997; received in revised form 10 February 1998
Abstract
Recent empirical research in finance has uncovered two families of pervasive regulari-
ties: underreaction of stock prices to news such as earnings announcements, and overreac-
tion of stock prices to a series of good or bad news. In this paper, we present a parsimoni-
ous 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. ( 1998 Elsevier
Science . All rights reserved.
JEL classification: G12; G14
Keywords: Investor sentiment; Underreaction; Overreaction
1. Introduction
Recent empirical research in finance has identified two families of pervasive
regularities: underreaction and overreaction. The underreaction evidence shows
that over horizons of perhaps 1—12 months, security prices underreact to news.
* Corresponding author. Tel.: 617/495-5046; fax: 617/496-1708; e-mail: ******@.
We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John
Campbell (a referee), John Cochrane, Edward Glaeser, . Heaton, Danny Kahneman, David
Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an
anonymous referee, and the editor, Bill Schwert, ments.
Some of the papers in this area, discussed in more detail in Section 2, include Cutler et al. (1991),
Bernard and Thomas (1989), Jegadeesh and Titman (1993), and Chan et al. (1997).
0304-405X/98/$ ( 1998 Elsevier Science . All rights reserved
PII S0304-405X(98)00027-0
308 N. Barberis et al