A Tough Act to Follow: Contrast Effects in Financial Markets
研究发现，投资者会因前一天盈余意外的好坏而错误地感知当天盈余新闻的优劣，这种对比效应在成熟流动市场中扭曲了价格，且无法用信息传递解释。
ABSTRACT A contrast effect occurs when the value of a previously observed signal inversely biases perception of the next signal. We present the first evidence that contrast effects can distort prices in sophisticated and liquid markets. Investors mistakenly perceive earnings news today as more impressive if yesterday's earnings surprise was bad and less impressive if yesterday's surprise was good. A unique advantage of our financial setting is that we can identify contrast effects as an error in perceptions rather than expectations. Finally, we show that our results cannot be explained by an alternative explanation involving information transmission from previous earnings announcements.