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A Model of Investor Sentiment / Nicholas Barberis, Andrei Shleifer, Robert W. Vishny.
- Format:
- Book
- Author/Creator:
- Barberis, Nicholas.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w5926.
- NBER working paper series no. w5926
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1997.
- Summary:
- Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements; and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment that is, of how investors form beliefs that 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.
- Notes:
- Print version record
- February 1997.
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