行为金融学经典文献导读DHS_98

InvestorPsychologyandSecurityMarketUnder-andOverreactionsKENTDANIEL,DAVIDHIRSHLEIFER,andAVANIDHARSUBRAHMANYAM*ABSTRACTWeproposeatheoryofsecuritiesmarketunder-andoverreactionsbasedontwowell-knownpsychologicalbiases:investoroverconfidenceabouttheprecisionofprivateinformation;andbiasedself-attribution,whichcausesasymmetricshiftsininvestors’confidenceasafunctionoftheirinvestmentoutcomes.Weshowthatoverconfidenceimpliesnegativelong-lagautocorrelations,excessvolatility,and,whenmanagerialactionsarecorrelatedwithstockmispricing,public-event-basedreturnpredictability.Biasedself-attributionaddspositiveshort-lagautocorrela-tions~“momentum”!,short-runearnings“drift,”butnegativecorrelationbetweenfuturereturnsandlong-termpaststockmarketandaccountingperformance.Thetheoryalsooffersseveraluntestedimplicationsandimplicationsforcorporatefi-nancialpolicy.INRECENTYEARSABODYOFevidenceonsecurityreturnshaspresentedasharpchallengetothetraditionalviewthatsecuritiesarerationallypricedtore-flectallpubliclyavailableinformation.Someofthemorepervasiveanoma-liescanbeclassifiedasfollows~AppendixAcitestherelevantliterature!:1.Event-basedreturnpredictability~public-event-dateaveragestockre-turnsofthesamesignasaveragesubsequentlong-runabnormalper-formance!2.Short-termmomentum~positiveshort-termautocorrelationofstockre-turns,forindividualstocksandthemarketasawhole!*DanielisatNorthwesternUniversityandNBER,HirshleiferisattheUniversityofMich-igan,AnnArbor,andSubrahmanyamisattheUniversityofCaliforniaatLosAngeles.Wethanktwoanonymousreferees,theeditor~RenéStulz!,MichaelBrennan,SteveBuser,WernerDeBondt,EugeneFama,SimonGervais,RobertJones,BlakeLeBaron,TimOpler,CanicePren-dergast,AndreiShleifer,MattSpiegel,SiewHongTeoh,andSheridanTitmanforhelpfulcom-mentsanddiscussions,RobertNoahforexcellentresearchassistance,andparticipantsintheNationalBureauofEconomicResearch1996AssetPricingMeeting,and1997BehavioralFi-nanceMeeting,the1997WesternFinanceAssociationMeetings,the1997UniversityofChicagoEconomicsofUncertaintyWorkshop,andfinanceworkshopsattheSecuritiesandExchangeCommissionandthefollowinguniversities:UniversityofCaliforniaatBerkeley,UniversityofCaliforniaatLosAngeles,ColumbiaUniversity,UniversityofFlorida,UniversityofHouston,UniversityofMichigan,LondonBusinessSchool,LondonSchoolofEconomics,NorthwesternUniversity,OhioStateUniversity,StanfordUniversity,andWashingtonUniversityatSt.Louisforhelpfulcomments.HirshleiferthankstheNipponTelephoneandTelegraphProgramofAsianFinanceandEconomicsforfinancialsupport.THEJOURNALOFFINANCE•VOL.LIII,NO.6•DECEMBER199818393.Long-termreversal~negativeautocorrelationofshort-termreturnssep-aratedbylonglags,or“overreaction”!4.Highvolatilityofassetpricesrelativetofundamentals5.Short-runpost-earningsannouncementstockprice“drift”inthedirec-tionindicatedbytheearningssurprise,butabnormalstockpriceper-formanceintheoppositedirectionoflong-termearningschanges.Thereremainsdisagreementovertheinterpretationoftheaboveevidenceofpredictability.Onepossibilityisthattheseanomaliesarechancedevia-tionstobeexpectedundermarketefficiency~Fama~1998!!.Webelievetheevidencedoesnotaccordwiththisviewpointbecausesomeofthereturnpatternsarestrongandregular.Thesize,book-to-market,andmomentumeffectsarepresentbothinternationallyandindifferenttimeperiods.Also,thepatternmentionedin~1!aboveobtainsforthegreatmajorityofeventstudies.Alternatively,thesepatternscouldrepresentvariationsinrationalriskpremia.However,basedonthehighSharperatios~relativetothemarket!apparentlyachievablewithsimpletradingstrategies~MacKinlay~1995!!,anyassetpricingmodelconsistentwiththesepatternswouldhavetohaveextremelyvariablemarginalutilityacrossstates.CampbellandCochrane~1994!findthatautilityfunctionwithextremehabitpersistenceisrequiredtoexplainthepredictablevariationinmarketreturns.Tobeconsistentwithcross-sectionalpredictabilityfindings~e.g.,onsize,book-to-market,andmo-mentum!,amodelwouldpresumablyrequireevenmoreextremevariationinmarginalutilities.Also,themodelwouldrequirethatmarginalutilitiescovarystronglywiththereturnsonthesize,book-to-market,andmomen-tumportfolios.Butwhenthedataareexamined,nosuchcorrelationisob-vious.Giventhisevidence,itseemsreasonabletoconsiderexplanationsfortheobservedreturnpatternsbasedonimperfectrationality.Moreover,thereareimportantcorporatefinancingandpayoutpatternsthatseempotentiallyrelatedtomarketanomalies.Firmstendtoissueeq-uity~ratherthandebt!afterrisesinmarketvalueandwhenthefirmorindustrybook-to-marketratioislow.Thereareindustry-specificfinancingandrepurchasebooms,perhapsdesignedtoexploitindustry-levelmispric-ings.Transactionssuchastakeoversthatoftenrelyonsecuritiesfinancingarealsopronetoindustryboomsandquietperiods.Althoughitisnotobvioushowtheempiricalsecuritiesmarketphenomenacanbecapturedplausiblyinamodelbasedonperfectinvestorrationality,nopsychological~“behavioral”!theoryforthesephenomenahaswongeneralacceptance.Someaspectsofthepatternsseemcontradictory,suchasappar-entmarketunderreactioninsomecontextsandoverreactioninothers.Ex-planationshavebeenofferedforparticularanom