Bianchi, Francesco; Ilut, Cosmin; Saijo, Hikaru - 2024
Shleifer (2010), overreaction and confidence are affected by uncertainty, as a news effect interacts with an uncertainty effect …) overreaction of conditional mean to news, (2) stronger overreaction for weaker signals and longer forecast horizons, and (3 …) overconfidence in subjective uncertainty. An analytical RBC model featuring Smooth DE accounts for overreaction and overconfidence in …