The Reaction of Stock Returns to News About Fundamentals
研究发现，经济景气时股价对好消息反应负面、对坏消息反应正面，而经济不景气时则相反。作者通过一个资产定价模型，用投资者学习股利增长率和外部信号精度的差异来解释这一现象。
In good times, stock prices react negatively to good news and positively to bad news, whereas in bad times, they react positively to good news and negatively to bad news. To account for this stylized fact, we consider an asset pricing model where the dividend growth rate switches between different values depending on the underlying state of the economy. Investors never observe the true dividend growth rate, but learn about it through not only its realizations but also external signals such as macroeconomic indicators. Under plausible assumptions, the differing precision of external signals across different states of the economy can change the sign of the market reaction to news from external signals in good and bad times. This paper was accepted by Brad Barber, finance.