00Thaler_FM i-xxvi.qxd

be positive in a setting where the extremum in the impulse response func- tion is sufficiently smooth, because the negative auto ...

abnormal price trends are of the same sign as the average initial event-date reaction. We now slightly generalize the model to a ...

(Proposition 1). However, even though the event is unrelated to the prior mispricing, the more underpriced the security, the mor ...

Proposition 5.If investors are overconfident, then selective events that are initiated when the stock is undervalued (overvalued ...

typically leads to full revelation, consistent with our assumption that
is re- vealed to the market at the event date.^11 Whet ...

other favorable events will tend to occur when market, industry, or firm market/book or price/earnings ratios are low, and equit ...

heavily on past fundamental public performance measures (such as past earnings). Many events, such as dividends and stock splits ...

stock is underpriced (perhaps after run-downs or when firm or aggregate market/book ratios are low), the firm, acting in current ...

model.) The figure shows two possible date 1 prices, and the paths for ex- pected price conditional on the date 1 move. It can b ...

price (virtually) does not move at date 2. However, if sign (θ+
)=sign (s 2 ), then the new price is calculated using the new le ...

while the single-period price change single-lag autocorrelation that straddles the extremum is negative.^17 Under appropriate pa ...

require more judgment to evaluate, and where the feedback on this judg- ment is ambiguous in the short run, such as for growth s ...

more confident in his private signal. If the new public signal disconfirms his private signal, the investor revises the estimate ...

which the price moves away from the true value as the investor’s attribution bias causes him to place more weight, on average, o ...

The conclusions of this simulation are summarized as follows: Result 1.In the biased self-attribution setting of Subsection B, i ...

biased self-attributions in Western versus Asian groups, especially Japan. For example, Kitayama, Takagi, and Matsumoto (1995) r ...

changes τperiods in the future ∆Pt+τ=Pt+τ−Pt+τ− 1. These correlations are then averaged over the Monte Carlo draws. The average ...

IV. Conclusion Empirical securities markets research in the last three decades has presented a body of evidence with systematic ...

will be insufficient volatility relative to the rational level, long-run return continuation, and negative correlation between s ...

(more rationally priced) than small stocks, because it is easier to cover the fixed investigation cost in large, liquid stocks. ...