What’s Causing Overreaction? An Experimental Investigation of Recency and the Hot‐hand Effect
通过实验区分两种解释市场过度反应的理论：近因效应（投资者过度重视近期信息）和热手效应（投资者高估序列自相关），结果支持热手效应。
Abstract A substantial body of empirical literature provides evidence of overreaction in markets. Past losers outperform past winners in stock markets as well as in sports markets. Two hypotheses are consistent with this observation. The recency hypothesis states that traders overweight recent information; they are too optimistic about winners and too pessimistic about losers. According to the hot‐hand hypothesis, traders try to discover trends in the past record of a firm or a team, and thereby overestimate the autocorrelation in the series. An experimental design allows us to distinguish between these hypotheses. The evidence is consistent with the hot‐hand hypothesis.