Overreaction in Expectations: Evidence and Theory

IF 11.1 1区 经济学 Q1 ECONOMICS
Hassan Afrouzi, Spencer Y Kwon, Augustin Landier, Yueran Ma, David Thesmar
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引用次数: 4

Abstract

Abstract We investigate biases in expectations across different settings through a large-scale randomized experiment where participants forecast stable stochastic processes. The experiment allows us to control forecasters’ information sets as well as the data-generating process, so we can cleanly measure biases in beliefs. We report three facts. First, forecasts display significant overreaction to the most recent observation. Second, overreaction is stronger for less persistent processes. Third, overreaction is also stronger for longer forecast horizons. We develop a tractable model of expectations formation with costly processing of past information, which closely fits the empirical facts. We also perform additional experiments to test the mechanism of the model.
期望中的过度反应:证据与理论
摘要:本文通过一项大规模随机实验,研究了不同环境下参与者对稳定随机过程的预测偏差。这个实验使我们能够控制预测者的信息集以及数据生成过程,因此我们可以清楚地测量信念中的偏差。我们报告三个事实。首先,预测显示出对最近观察结果的严重过度反应。其次,对于不太持久的过程,过度反应更强烈。第三,对于较长期的预测,过度反应也更为强烈。我们开发了一个易于处理的模型的期望形成与昂贵的处理过去的信息,这非常符合经验事实。我们还进行了额外的实验来测试模型的机制。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
24.20
自引率
2.20%
发文量
42
期刊介绍: The Quarterly Journal of Economics stands as the oldest professional journal of economics in the English language. Published under the editorial guidance of Harvard University's Department of Economics, it comprehensively covers all aspects of the field. Esteemed by professional and academic economists as well as students worldwide, QJE holds unparalleled value in the economic discourse.
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