Overreaction in Expectations: Evidence and Theory

Autor:	Hassan Afrouzi, Spencer Yongwook Kwon, Augustin Landier, Yueran Ma, David Thesmar
Rok vydání:	2023
Předmět:	History Economics and Econometrics Polymers and Plastics Business and International Management Industrial and Manufacturing Engineering
Zdroj:	The Quarterly Journal of Economics.
ISSN:	1531-4650 0033-5533
DOI:	10.1093/qje/qjad009
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e8a3e7be834706188ecc59a6590d05b0 https://doi.org/10.1093/qje/qjad009 Zobrazit plný text záznamu