behavioural economics

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Replication Data: Belief Overreaction and Stock Market Puzzles

Creators: Pedro Bordalo, Nicola Gennaioli, Rafael La Porta, and Andrei Shleifer
Publication Date: 2023
Creators: Pedro Bordalo, Nicola Gennaioli, Rafael La Porta, and Andrei Shleifer

This dataset, hosted on Harvard Dataverse, contains the replication data for the study “Belief Overreaction and Stock Market Puzzles” (Bordalo, Gennaioli, La Porta & Shleifer, 2024, Journal of Political Economy). It includes analyst forecast and stock return data used to examine how overreaction in investor beliefs generates well-known stock market anomalies such as excess volatility, return predictability, and the value premium, providing a unified behavioural explanation for several long-standing asset pricing puzzles.

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