Belief Overreaction and Stock Market Puzzles
构建了标普500公司长期预期盈利增长指数，发现它能预测预期误差和股票回报，支持好消息导致投资者过度乐观、推高股价后回报走低的机制，有助于解释资产定价谜题。
We construct an index of long-term expected earnings growth for S&P 500 firms and show that it has remarkable power to jointly predict future errors in expectations and stock returns, in both the aggregate market and the cross section. The evidence supports a mechanism whereby good news causes investors to become too optimistic about long-term earnings growth. This leads to inflated stock prices and, as beliefs are systematically disappointed, subsequent low returns in the aggregate market. Overreaction of long-term expectations helps resolve major asset-pricing puzzles without time-series or cross-sectional variation in required returns.