A Tough Act to Follow: Contrast Effects in Financial Markets
研究发现，投资者对今日盈余消息的感知会受到昨日盈余意外方向的影响，产生对比效应，且这种效应是感知错误而非预期错误，在成熟流动市场中仍能扭曲价格。
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.