Stock Price Deviations From Fundamentals Levels: Mis‐Valuation due to Investor Overconfidence?
研究利用剩余收益估值模型计算欧元区六国股票的基本面价值，发现市场波动率（VIX）和能源价格是解释价格偏离的重要因素，VIX作为市场过度自信的反向指标，其上升会缩小价格偏离。
ABSTRACT We use the Residual Income Valuation Model to obtain fundamental values for sample stocks in six Eurozone markets. We then estimate the deviation between the fundamental values and actual stock prices. Subsequently, we examine whether these deviations can be systematically explained by business cycle trends, trends in local economic sentiment, global market‐related uncertainty and developments in global energy prices. We find that market volatility, proxied by the CBOE Volatility Index (VIX), is an important factor, along with energy prices. Findings are similar when a second proxy for price deviations, based on Cochrane's (1994) methodology, is employed. Impulse Response Functions indicate that a shock increase in VIX tends to reduce the deviation between fundamental and actual stock prices in sample markets. We argue that the VIX serves as a contrarian indicator of market overconfidence, such that higher VIX levels are associated with lower investor overconfidence and, consequently, with smaller price deviations from their fundamental values. Conversely, lower VIX levels (i.e., heightened overconfidence) are associated with larger price deviations.