Replication Data: Belief Overreaction and Stock Market Puzzles
Creators:
Pedro Bordalo, Nicola Gennaioli, Rafael La Porta, and Andrei Shleifer
Publication Date:
2023
Data Category:
Dataset Description:
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.
Variables:
Details: