Biased Beliefs, Asset Prices, and Investment: A Structural Approach
通过结构性估计一个包含信息处理偏差的模型，发现过度自信和过度外推趋势两种偏差会导致企业资产收益的可预测性和投资低效率，且模型预测与实证数据吻合。
ABSTRACT We structurally estimate a model in which agents’ information processing biases can cause predictability in firms’ asset returns and investment inefficiencies. We generalize the neoclassical investment model by allowing for two biases—overconfidence and overextrapolation of trends—that distort agents’ expectations of firm productivity. Our model's predictions closely match empirical data on asset pricing and firm behavior. The estimated bias parameters are well identified and exhibit plausible magnitudes. Alternative models without either bias or with efficient investment fail to match observed return predictability and firm behavior. These results suggest that biases affect firm behavior, which in turn affects return anomalies.