摘要：据JFE官网显示，来自蒂尔堡大学的Stefano Cassella、香港理工大学的Te-Feng Chen、普渡大学的Huseyin Gulen、清华大学的刘岩，合作撰写的论文“Extracting extrapolative beliefs from mar

据JFE官网显示，来自蒂尔堡大学的Stefano Cassella、香港理工大学的Te-Feng Chen、普渡大学的Huseyin Gulen、清华大学的刘岩，合作撰写的论文“Extracting extrapolative beliefs from market prices: An augmented present-value approach”，在国际金融学顶刊《Journal of Financial Economics》线上正式发表。

Title: Extracting extrapolative beliefs from market prices: An augmented present-value approach

从市场价格中提取外推性信念：一种扩展的现值方法

作者简介

Stefano Cassella

蒂尔堡大学

Te-Feng Chen

香港理工大学

Huseyin Gulen

普渡大学

刘岩

清华大学

摘要

We propose a latent-variables approach to recover extrapolative beliefs from asset prices. We estimate a present-value model of the price–dividend ratio of the market that embeds both return extrapolation and cash-flow extrapolation, alongside discount rates and rational expectations of dividend growth. This approach allows us to measure extrapolation bias without having to rely on survey data, and it inherently guarantees that the researcher focuses on a set of beliefs that matter for price formation. We show that extrapolative beliefs extracted from prices are highly correlated with surveys and that survey-based and price-based extrapolative beliefs share similar predictive properties for future returns, with the former improving upon the latter.

本文提出了一种基于潜在变量的方法，用于从资产价格中恢复外推信念。本文估计了一个市场价格-股息比率的现值模型，该模型内嵌了回报外推和现金流外推，以及折扣率和股息增长的理性预期。这种方法使作者能够在不依赖调查数据的情况下测量外推偏差，并且它本质上保证了研究者关注对价格形成有影响的一组信念。本文展示了从价格中提取的外推信念与调查结果高度相关，并且基于调查和基于价格的外推信念对未来回报具有相似的预测特性，前者对后者有所改进。

来源：学术圈