经济预测、锚定偏差和股票回报

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Financial Management Pub Date : 2021-05-21 DOI:10.1111/fima.12355

Gene Birz, Sandip Dutta, Han Yu

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引用次数: 4

摘要

利用宏观经济统计的调查预测，我们发现市场参与者的预期并不理性，他们表现出锚定偏差。这些预测系统地低估了宏观经济统计数据，预测误差是根据过去的宏观经济公告预测的。最重要的是，我们发现股市并没有看穿这种偏见，也就是说，我们发现宏观经济公告的“预期”成分对股价的影响在统计上显著。投资者过分看重历史信息的重要性，在新信息到来后没有做出充分的调整。

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Economic forecasts, anchoring bias, and stock returns

By utilizing survey forecasts of macroeconomic statistics, we find that market participants’ expectations are not rational as they exhibit an anchoring bias. The forecasts systematically underpredict macroeconomic statistics and the forecast errors are predicted by past macroeconomic announcements. Most importantly, we find that the stock market does not see through this bias, that is, we find statistically significant stock price effects of “anticipated” components of macroeconomic announcements. Investors overweight the importance of historical information and do not make sufficient adjustments after the arrival of new information.

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来源期刊

Financial Management BUSINESS, FINANCE-

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not-for-profit organizations.