When Beliefs Influence the Perceived Signal Precision: The Impact of News on Reinforcement-Oriented Agents

References

• Andrei D, Hasler M (2014) Investor attention and stock market volatility. Rev. Financial Stud. 28(1):33–72.Crossref, Google Scholar
• Avramov D, Chordia T, Jostova G, Philipov A (2009) Dispersion in analysts’ earnings forecasts and credit rating. J. Financial Econom. 91(1):83–101.Crossref, Google Scholar
• Bai J, Philippon T, Savov A (2016) Have financial markets become more informative? J. Financial Econom. 122(3):625–654.Crossref, Google Scholar
• Ball R, Brown P (1968) An empirical evaluation of accounting income numbers. J. Accounting Res. 6(2):159–178.Crossref, Google Scholar
• Ball R, Kothari SP (1991) Security returns around earnings announcements. Accounting Rev. 66(4):718–738.Google Scholar
• Banerjee S, Davis J, Gondhi N (2018) When transparency improves, must prices reflect fundamentals better? Rev. Financial Stud. 31(6):2377–2414.Crossref, Google Scholar
• Barberis N, Huang M (2008) Stocks as lotteries: The implications of probability weighting for security prices. Amer. Econom. Rev. 98(5):2066–2100.Crossref, Google Scholar
• Barberis N, Shleifer A, Vishny R (1998) A model of investor sentiment. J. Financial Econom. 49(3):307–343.Crossref, Google Scholar
• Batchelor R, Dua P (1992) Conservatism and consensus-seeking among economic forecasters. J. Forecasting 11(2):169–181.Crossref, Google Scholar
• Börgers T, Sarin R (2000) Naive reinforcement learning with endogenous aspirations. Internat. Econom. Rev. 41(4):921–950.Crossref, Google Scholar
• Brav A, Heaton JB (2002) Competing theories of financial anomalies. Rev. Financial Stud. 15(2):575–606.Crossref, Google Scholar
• Chan LKC, Jegadeesh N, Lakonishok J (1996) Momentum strategies. J. Finance 51(5):1681–1713.Crossref, Google Scholar
• Cheng L, Roulstone DT, Van Buskirk A (2021) Are investors influenced by the order of information in earnings press releases? Accounting Rev. 96(2):413–433.Crossref, Google Scholar
• Choi JJ, Laibson D, Madrian BC, Metrick A (2009) Reinforcement learning and savings behavior. J. Finance 64(6):2515–2534.Crossref, Google Scholar
• Cohen L, Lou D, Malloy C (2016) Playing favorites: How firms prevent the revelation of bad news. Working paper, Harvard Business School, Boston.Google Scholar
• Daniel K, Moskowitz TJ (2016) Momentum crashes. J. Financial Econom. 122(2):221–247.Crossref, Google Scholar
• Daniel K, Hirshleifer D, Subrahmanyam A (1998) Investor psychology and security market under-and overreactions. J. Finance 53(6):1839–1885.Crossref, Google Scholar
• DeBondt W, Thaler R (1985) Does the stock market overreact? J. Finance 40(3):793–805.Crossref, Google Scholar
• Diether KB, Malloy CJ, Scherbina A (2002) Differences of opinion and the cross section of stock returns. J. Finance 57(5):2113–2141.Crossref, Google Scholar
• Edwards W (1968) Conservatism in human information processing. Kleinmuntz B, ed. Formal Representation of Human Judgment (John Wiley & Sons, New York), 359–369.Google Scholar
• Ehling P, Graniero A, Heyerdahl-Larsen C (2018) Asset prices and portfolio choice with learning from experience. Rev. Econom. Stud. 85(3):1752–1780.Crossref, Google Scholar
• Engelberg JE, Reed AV, Ringgenberg MC (2012) How are shorts informed?: Short sellers, news, and information processing. J. Financial Econom. 105(2):260–278.Crossref, Google Scholar
• Erev I, Roth AE (1998) Predicting how people play games: Reinforcement learning in experimental games with unique, mixed strategy equilibria. Amer. Econom. Rev. 88(4):848–881.Google Scholar
• Farboodi M, Matray A, Veldkamp L (2018) Where has all the big data gone? Working paper, Princeton University, Princeton, NJ.Google Scholar
• Feldman D (2007) Incomplete information equilibria: Separation theorems and other myths. Ann. Oper. Res. 151:119–149.Crossref, Google Scholar
• Fischer P, Schulz-Hardt S, Frey D (2008) Selective exposure and information quantity: How different information quantities moderate decision makers’ preference for consistent and inconsistent information. J. Personality Soc. Psych. 94(2):231–244.Crossref, Google Scholar
• Funai N (2022) Reinforcement learning with foregone payoff information in normal form games. J. Econom. Behav. Organ. 200:638–660.Crossref, Google Scholar
• Galperti S, Trevino I (2020) Coordination motives and competition for attention in information markets. J. Econom. Theory 188:105039.Crossref, Google Scholar
• Garcia D, Strobl G (2011) Relative wealth concerns and complementarities in information acquisition. Rev. Financial Stud. 24(1):169–207.Crossref, Google Scholar
• Hart W, Albarracín D, Eagly AH, Brechan I, Lindberg MJ, Merrill L (2009) Feeling validated vs. being correct: A meta-analysis of selective exposure to information. Psych. Bull. 135(4):555–588.Crossref, Google Scholar
• Hirshleifer D, Teoh SH (2003) Limited attention, information disclosure, and financial reporting. J. Accounting Econom. 36(1):337–386.Crossref, Google Scholar
• Hong H, Lim T, Stein JC (2000) Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. J. Finance 55(1):265–295.Crossref, Google Scholar
• Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
• Li Y, Yang L (2013) Prospect theory, the disposition effect, and asset prices. J. Financial Econom. 107(3):715–739.Crossref, Google Scholar
• Lord CG, Ross L, Lepper MR (1979) Biased assimilation and attitude polarization: The effects of prior theories on subsequently considered evidence. J. Personality Soc. Psych. 37(11):2098–2109.Crossref, Google Scholar
• Malmendier U, Nagel S (2015) Learning from inflation experiences. Quart. J. Econom. 131(1):53–87.Crossref, Google Scholar
• Malmendier U, Tate G (2005) CEO overconfidence and corporate investment. J. Finance 60(6):2661–2700.Crossref, Google Scholar
• Malmendier U, Pouzo D, Vanasco V (2020) Investor experiences and financial market dynamics. J. Financial Econom. 136(3):597–622.Crossref, Google Scholar
• Mendenhall RR (2004) Arbitrage risk and post-earnings-announcement drift. J. Bus. 77(4):875–894.Crossref, Google Scholar
• Min B-K, Qiu B, Roh T-Y (2022) What drives the dispersion anomaly? J. Banking Finance 138:106405.Crossref, Google Scholar
• Mullainathan S, Shleifer A (2005) The market for news. Amer. Econom. Rev. 95(4):1031–1053.Crossref, Google Scholar
• Odean T (1998) Volume, volatility, price, and profit when all traders are above average. J. Finance 53(6):1887–1934.Crossref, Google Scholar
• Pagel M (2017) Expectations-based reference-dependent life-cycle consumption. Rev. Econom. Stud. 84(2):885–934.Google Scholar
• Pagel M (2018) A news-utility theory for inattention and delegation in portfolio choice. Econometrica 86(2):491–522.Crossref, Google Scholar
• Park J, Konana P, Gu B, Kumar A, Raghunathan R (2013) Information valuation and confirmation bias in virtual communities: Evidence from stock message boards. Inform. Systems Res. 24(4):1050–1067.Link, Google Scholar
• Peng L, Xiong W (2006) Investor attention, overconfidence and category learning. J. Financial Econom. 80(3):563–602.Crossref, Google Scholar
• Pouget S, Sauvagnat J, Villeneuve S (2017) A mind is a terrible thing to change: Confirmatory bias in financial markets. Rev. Financial Stud. 30(6):2006–2065.Crossref, Google Scholar
• Rabin M, Schrag JL (1999) First impressions matter: A model of confirmatory bias. Quart. J. Econom. 114(1):37–82.Crossref, Google Scholar
• Schraeder S (2016) Information processing and non-Bayesian learning in financial markets. Rev. Finance 20(2):823–853.Crossref, Google Scholar
• Sims CA (2003) Implications of rational inattention. J. Monetary Econom. 50(3):665–690.Crossref, Google Scholar
• Skinner DJ (1994) Why firms voluntarily disclose bad news. J. Accounting Res. 32(1):38–60.Crossref, Google Scholar
• Van Nieuwerburgh S, Veldkamp L (2009) Information immobility and the home bias puzzle. J. Finance 64(3):1187–1215.Crossref, Google Scholar
• Wang XW, Yan Z, Zhang Q, Gao X (2018) Investor attention and stock market under-reaction to earnings announcements: Evidence from the options market. J. Futures Markets 38(4):478–492.Crossref, Google Scholar
• Zhang XF (2006) Information uncertainty and stock returns. J. Finance 61(1):105–137.Crossref, Google Scholar