Economic forecasts, anchoring bias, and stock returns
利用宏观经济统计的调查预测，发现市场参与者的预期存在锚定偏差，且股票市场未能识别这一偏差，导致宏观经济公告的“预期”部分对股价产生显著影响。
Abstract By utilizing survey forecasts of macroeconomic statistics, we find that market participants’ expectations are not rational as they exhibit an anchoring bias. The forecasts systematically underpredict macroeconomic statistics and the forecast errors are predicted by past macroeconomic announcements. Most importantly, we find that the stock market does not see through this bias, that is, we find statistically significant stock price effects of “anticipated” components of macroeconomic announcements. Investors overweight the importance of historical information and do not make sufficient adjustments after the arrival of new information.