Overreaction and underreaction in analysts' forecasts
نویسندگان
چکیده
منابع مشابه
1 “ Overreaction ” and “ Underreaction ” : - Evidence for the Portuguese Stock Market -
In the past two decades several studies show and explain the occurrence of financial phenomena that are contrary to the Efficient Markets Hypothesis (EMH) of Fama (1970). Among them, the phenomena of “overreaction” and “underreaction”, inspired by cognitive psychology studies, are one of the most important challenges to market efficiency, and helped to build the foundations of Behavioral Financ...
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We study the degree of individual and aggregate market overreaction in a dynamic experimental auction market. In 13 sessions with overall 101 students we find overreaction to new information both in stock price forecasts and transaction prices. Interestingly, market forces do not seem to help in lowering overreaction to new information in our setting. Moreover, we illustrate that subjects are n...
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The most relevant practical impediment to an application of the Markowitz portfolio selection approach is the problem of estimating return moments, in particular return expectations. We analyze the consequences of using return estimates implied by analysts’ dividend forecasts under the explicit notion of taxes and non-flat term structures of interest rates and achieve quite good performance res...
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Prior archival studies of analysts’ forecasts have found evidence for systematic underreaction, systematic overreaction, and systematic optimism bias. Easterwood and Nutt (1999) attempt to reconcile the conflicting evidence by testing the robustness of Abarbanell and Bernard’s (1992) underreaction results to the nature of the information. Consistent with systematic optimism, forecasts are found...
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ژورنال
عنوان ژورنال: Journal of Economic Behavior & Organization
سال: 1998
ISSN: 0167-2681
DOI: 10.1016/s0167-2681(98)00092-4