Shleifer, Andrei; Barberis, Nicholas; Vishny, Robert W. - National Bureau of Economic Research (NBER) - 1997
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...