亚眠圣母院大教堂 www.dtuwmf.com.cn 主題：Biased Beliefs and the Term Structure of Equity Returns（期界偏差與股權收益期限結構）
Ample evidence suggests that individuals are, on average, overly optimistic about future outcomes. In this paper, we rely on insights from psychology, economics, and finance to cast a novel prediction on optimism, namely that optimism grows with the forecast horizon. We test this horizon bias hypothesis using data on macroeconomic expectations of unsophisticated individuals and sophisticated forecasters in the US and abroad. We then assess the extent to which horizon bias can help us rationalize puzzling facts from financial markets, namely the empirical evidence regarding the term structure of equity. In particular, we use analyst forecasts to show that beliefs about long-term growth are unconditionally more optimistic than beliefs about short-term growth. We link this finding to the average negative slope of the term structure using a simple present value model. We then show that the horizon bias also has implications for the recent finding that the slope of the term structure is time-varying, since realized term premia are negative following periods in which horizon bias is larger, and positive when the horizon bias is smaller. In addition, we cast a sharper prediction that stems from the interplay of long-term growth narratives (Shiller, 2014) and extrapolation bias (Greenwood and Shleifer, 2014). We conjecture that when investors form beliefs by overextrapolating recent information, they can be easily swayed by a short-lived long-term growth story. This magnifies the overpricing of long-term claims over short-term claims, and further lowers subsequent realized equity term premia. In line with this conjecture, we find that the term structure of equity returns is downward sloping in regimes in which overly optimistic beliefs regarding long-term growth are coupled with high extrapolative beliefs. The term structure is instead flat or upward sloping when there is no evidence of long-term growth over-optimism or when investors do not overweight recent information.
Peter Kelly joined the University of Notre Dame as an assistant professor of finance in 2015. Prior to that, he was a PhD student at Yale University. His undergraduate degree is in honors mathematics and economics from the University of Notre Dame. Professor Kelly's research focuses on empirical issues in behavioral finance, especially as it relates to investments. He has published his work in the Review of Financial Studies. His research was recently covered in major media outlets like Bloomberg, the U.S. News and World Report, and numerous others. He has presented his research at top conferences like the American Finance Association and the American Economic Association.