This paper studies the heterogeneous effects of subjective macroeconomic expectations on
the cross-section of equity returns. We argue that an upward revision in expectations of …

This study investigates the impact of return extrapolation on risk-return trade-offs in both the
aggregate time series and the cross section of stocks. We find that the relation between the …

This paper proposes an asset pricing model featuring extrapolative market participation by
retail investors, who increase participation following high market returns and high new …

We test whether forecast bias affects household stock trading by combining measures of
bias elicited in laboratory experiments with administrative trade-level data. On average …

We examine how large language models (LLMs) interpret historical stock returns and
compare their forecasts with estimates from a crowd-sourced platform for ranking stocks …

We document a strong negative relation between the curvature of stock price paths (ie, price-
path convexity) and future short-horizon returns at both the aggregate and firm levels. This …

This paper studies the heterogeneous effects of subjective macroeconomic productivity
expectations on the cross-section of equity returns. We argue that an upward revision in …

We use survey data on expectations of short-horizon returns to show that extrapolative
expectations play a significant role in short-horizon stock return predictability. We develop a …

We provide evidence that dividend-paying stocks are less exposed to return extrapolation
than non-dividend-paying stocks (capital-gain stocks). In particular, social media sentiment …

概 要本稿では, 株式市場に関するアノマリーの中で, 日本市場において最も顕著に観測されている
バリュー効果が, どのような要因によって引き起こされているのかの検証を行っている. 検証の結果 …