Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model
构建了一个动态理性预期均衡模型，其中基本面漂移在两种不可观测状态间随机切换。模型显示，投资者对冲自身不确定性的意愿导致股价在好时期对坏消息过度反应、在坏时期对好消息反应不足，并能解释波动聚集、杠杆效应等股市特征。
This article presents a dynamic, rational expectations equilibrium model of asset prices where the drift of fundamentals (dividends) shifts between two unobservable states at random times. I show that in equilibrium, investors' willingness to hedge against changes in their own "uncertainty" on the true state makes stock prices overreact to bad news in good times and underreact to good news in bad times. I then show that this model is better able than conventional models with no regime shifts to explain features of stock returns, including volatility clustering, "leverage effects," excess volatility, and time-varying expected returns.