Sticky Expectations and Stock Market Anomalies - HEC Paris - École des hautes études commerciales de Paris Access content directly
Preprints, Working Papers, ... Year : 2016

Sticky Expectations and Stock Market Anomalies

Jean-Philippe Bouchaud
Philipp Krueger
  • Function : Author


We propose a theory of one of the most economically significant stock market anomalies, i.e. the "profitability" anomaly. In our model, investors forecast future profits using a signal and sticky belief dynamics. In this model, past profits forecast future returns (the profitability anomaly). Using analyst forecast data, we measure expectation stickiness at the firm level and find strong support for three additional predictions of the model: (1) analysts are on average too pessimistic regarding the future profits of high profit firms, (2) the profitability anomaly is stronger for stocks which are followed by stickier analysts, and (3) it is also stronger for stocks with more persistent profits.
No file

Dates and versions

hal-01993418 , version 1 (24-01-2019)




  • HAL Id : hal-01993418 , version 1


Jean-Philippe Bouchaud, Philipp Krueger, Augustin Landier, David Thesmar. Sticky Expectations and Stock Market Anomalies. 2016. ⟨hal-01993418⟩
110 View
0 Download


Gmail Facebook X LinkedIn More