TY  - JOUR
AU  - Barberis,Nicholas
AU  - Shleifer,Andrei
AU  - Vishny,Robert W.
TI  - A Model of Investor Sentiment
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5926
PY  - 1997
Y2  - February 1997
UR  - http://www.nber.org/papers/w5926
L1  - http://www.nber.org/papers/w5926.pdf
N1  - Author contact info:
Nicholas C. Barberis
Yale School of Management
135 Prospect Street
P O Box 208200
New Haven, CT 06520-8200
Tel: 203/436-0777
Fax: 203/432-6970
E-Mail: nick.barberis@yale.edu

Andrei Shleifer
Department of Economics
Harvard University
Littauer Center M-9
Cambridge, MA 02138
Tel: 617/495-5046
Fax: 617/496-1708
E-Mail: ashleifer@harvard.edu

Robert W. Vishny
Booth School of Business
The University of Chicago
5807 South Woodlawn Avenue
Chicago, IL  60637
Tel: 773/702-2522
Fax: 773/834-1920
E-Mail: Rvishny@gmail.com
AB  - Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements; and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment that is, of how investors form beliefs that is consistent with the empirical findings.  The model is based on psychological evidence and produces both underreaction and overreaction for a wide range of parameter values.
ER  -