Do Investors Overrely on Old Elements of the Earnings Time Series?*
通过MBA学生实验，发现他们在预测未来盈利时过度依赖旧的年度ROE信息，揭示了认知错误与盈利时间序列结构如何共同导致预测偏差，并为长期过度反应和盈利公告后漂移等市场异象提供了研究方向。
Abstract This paper reports an experiment demonstrating that MBA students overrely on old earnings performance when predicting future earnings performance in a laboratory setting. In the experiment, MBA students relied too heavily on old annual ROE information to predict future annual ROE. The experiment shows how a common cognitive error (overreliance on unreliable information) interacts with the structure of the earnings time series to create particular patterns of prediction errors. The results also suggest directions for research on two well‐known anomalies, long‐run overreactions (De Bondt and Thaler 1985, 1987) and post‐earnings‐announcement drift (Bernard and Thomas 1990).