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A tough act to follow : contrast effects in financial markets

Author: Samuel M Hartzmark; Kelly Shue; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2017.
Series: Working paper series (National Bureau of Economic Research), no. 23883.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
A contrast effect occurs when the value of a previously-observed signal inversely biases perception of the next signal. We present the first evidence that contrast effects can distort prices in sophisticated and liquid markets. Investors mistakenly perceive earnings news today as more impressive if yesterday’s earnings surprise was bad and less impressive if yesterday’s surprise was good. A unique advantage of our  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Samuel M Hartzmark; Kelly Shue; National Bureau of Economic Research,
OCLC Number: 1007768530
Notes: "September 2017"
Includes online appendix (7 pages).
Description: 1 online resource (60 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 23883.
Responsibility: Samuel M. Hartzmark, Kelly Shue.

Abstract:

A contrast effect occurs when the value of a previously-observed signal inversely biases perception of the next signal. We present the first evidence that contrast effects can distort prices in sophisticated and liquid markets. Investors mistakenly perceive earnings news today as more impressive if yesterday’s earnings surprise was bad and less impressive if yesterday’s surprise was good. A unique advantage of our financial setting is that we can identify contrast effects as an error in perceptions rather than expectations. Finally, we show that our results cannot be explained by a key alternative explanation involving information transmission from previous earnings announcements.

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