“Superstitious” Investors
通过一个投资者错误认为能预测股息增长的模型，解释了股价过度波动、价值溢价和价值因子的预测能力，并用分析师预测和汇率数据验证了该机制。
Abstract We reconsider the excess volatility puzzle through the lens of a model in which agents believe they can predict dividend growth when in fact they cannot. Besides excess volatility in the time series, the model explains the value premium, and the explanatory power of the value factor. In support of the model, we show that analysts’ earnings forecasts align with market valuation and that analysts are far more optimistic about growth stocks than they are about value stocks. Using both survey and price data, we show that the same mechanism can explain the excess returns earned by investing in high-interest rate currencies.