A Model of Investor Sentiment

Nicholas Barberis, Andrei Shleifer, Robert W. Vishny

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

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Year of publication:	February 1997
Authors:	Barberis, Nicholas
Other Persons:	Shleifer, Andrei (contributor) ; Vishny, Robert W. (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Anlageverhalten \| Behavioural finance \| Theorie \| Theory

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w5926
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w5926 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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