Diagnostic Expectations and Stock Returns
研究分析师长期盈利增长预测最乐观与最悲观的股票收益差异，发现分析师基于代表性启发过度反应于新闻，导致预测偏差，模型定量估计解释了数据中的关键模式。
ABSTRACT We revisit La Porta's finding that returns on stocks with the most optimistic analyst long‐term earnings growth forecasts are lower than those on stocks with the most pessimistic forecasts. We document the joint dynamics of fundamentals, expectations, and returns of these portfolios, and explain the facts using a model of belief formation based on the representativeness heuristic. Analysts forecast fundamentals from observed earnings growth, but overreact to news by exaggerating the probability of states that have become more likely. We find support for the model's predictions. A quantitative estimation of the model accounts for the key patterns in the data.