Econ Papers Daily / 期刊论文
股票市场的心理模型
Mental Models of the Stock Market
摘要
Investors’ return expectations are pivotal in stock markets, but the reasoning behind these expectations is not well understood. This paper explores economic agents’ mental models of what drives returns. We survey the general population, retail investors, financial professionals, and academic experts to investigate how they forecast and explain future returns in scenarios with stale news about future company earnings. We find that investors strongly disagree in their forecasts and reasoning. Most academic experts view markets as efficient. By contrast, most households express a perspective we call “expected earnings reasoning”: they directly equate higher expected earnings with higher expected returns. Professionals are split between market efficiency, mispricing, and expected earnings reasoning. In detailed experiments, we dissect why households adopt expected earnings reasoning. We show that it arises from inattention to how stock-price changes affect investor costs — that is, how much investors must pay to acquire a claim to future cash flows — because the typical format and context of investment problems obscure these cost implications. Our results help connect a series of previously documented anomalies in expectation and trading data and highlight the importance of selective attention and context in shaping reasoning and belief formation.
中文摘要
投资者的回报预期在股票市场中至关重要，但这些预期背后的推理机制尚不明确。本文探究经济主体对驱动回报因素的心智模型。我们通过调查普通民众、散户投资者、金融专业人士及学术专家，研究他们在面对未来公司盈利的陈旧信息时，如何预测和解释未来回报。研究发现，投资者在预测和推理上存在显著分歧。大多数学术专家认为市场是有效的。相比之下，多数家庭持有一种我们称之为"预期盈利推理"的观点：他们直接将更高的预期盈利等同于更高的预期回报。专业人士则分为市场有效派、错误定价派和预期盈利推理派。通过精细实验，我们剖析了家庭为何采用预期盈利推理。研究表明，这种推理源于投资者对股价变动如何影响投资成本——即投资者为获取未来现金流索取权所需支付的对价——的忽视，因为投资问题的典型呈现形式和背景掩盖了这些成本含义。我们的研究结果有助于串联此前在预期和交易数据中记录的一系列异常现象，并凸显选择性注意和背景在塑造推理与信念形成中的关键作用。