Contrarians, Extrapolators, and Stock Market Momentum and Reversal
研究发现投资者对股市回报的预期存在差异：多数人外推历史表现，少数人反向预期。模型显示这种差异导致股价短期动量与长期反转，实证支持该机制。
We document considerable cross-investor variation in survey expectations about aggregate stock market returns. Although most investors are extrapolators who expect higher returns after a good market performance, some are contrarians who expect lower returns after a good performance. More notably, compared with extrapolators, contrarians have less persistent expectations that are corrected more quickly. We then develop a dynamic equilibrium model accounting for these differences in expectations and find that the equilibrium stock price exhibits short-term momentum and long-term reversal as in the data. Furthermore, we test the key predictions of our model linking the observable differences in extrapolators’ and contrarians’ expectations to aggregate stock market momentum and future stock performance and find supportive evidence for our model mechanism. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.4960 .