{"title":"经济预测、锚定偏差和股票回报","authors":"Gene Birz, Sandip Dutta, Han Yu","doi":"10.1111/fima.12355","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":null,"pages":null},"PeriodicalIF":2.9000,"publicationDate":"2021-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12355","citationCount":"4","resultStr":"{\"title\":\"Economic forecasts, anchoring bias, and stock returns\",\"authors\":\"Gene Birz, Sandip Dutta, Han Yu\",\"doi\":\"10.1111/fima.12355\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>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.</p>\",\"PeriodicalId\":48123,\"journal\":{\"name\":\"Financial Management\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2021-05-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1111/fima.12355\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Management\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/fima.12355\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Management","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/fima.12355","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Economic forecasts, anchoring bias, and stock returns
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.
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