Siew Hong Teoh

The Paul Merage School of Business
University of Irvine
Irvine, CA 92697-3125
Tel: 949-824-9952
Fax: 949-725-2847

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: University of California at Irvine

NBER Working Papers and Publications

February 2018Decision Fatigue and Heuristic Analyst Forecasts
with David Hirshleifer, Yaron Levi, Ben Lourie: w24293
Psychological evidence indicates that decision quality declines after an extensive session of decision-making, a phenomenon known as decision fatigue. We study whether decision fatigue affects analysts’ judgments. Analysts cover multiple firms and often issue several forecasts in a single day. We find that forecast accuracy declines over the course of a day as the number of forecasts the analyst has already issued increases. Also consistent with decision fatigue, we find that the more forecasts an analyst issues, the higher the likelihood the analyst resorts to more heuristic decisions by herding more closely with the consensus forecast, by self-herding (i.e., reissuing their own previous outstanding forecasts), and by issuing a rounded forecast. Finally, we find that the stock market und...

Published: David Hirshleifer & Yaron Levi & Ben Lourie & Siew Hong Teoh, 2019. "Decision Fatigue and Heuristic Analyst Forecasts," Journal of Financial Economics, . citation courtesy of

December 2017Stock Market Overvaluation, Moon Shots, and Corporate Innovation
with Ming Dong, David Hirshleifer: w24142
We test how market overvaluation affects corporate innovation. Estimated stock overvaluation is very strongly associated with R&D, innovative output, and measures of innovative novelty, originality, and scope. R&D is much more sensitive than capital investment to overvaluation. Misvaluation affects R&D more via a non-equity channel than via equity issuance. We document how the sensitivity of R&D and innovative outcomes to misvaluation depends on growth, overvaluation, and turnover. The frequency of exceptionally high innovative inputs/outputs increases with overvaluation. This evidence suggests that market overvaluation may generate social value by increasing innovative output and by encouraging firms to engage in ‘moon shots.’
Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion
with David Hirshleifer, Chong Huang: w24143
Ambiguity aversion alone does not explain the market nonparticipation puzzle. We show that in a rational expectations equilibrium model with a fund offering the risk-adjusted market portfolio (RAMP), ambiguity averse investors hold the fund and an information-based portfolio, and thus participate in all asset markets, directly or indirectly. This result follows from a new separation theorem which states that an investor’s equilibrium portfolio can be decomposed into components, each matching the optimal portfolio based on only one information source (price versus private signal). Asset risk premia satisfy the CAPM with the fund as the pricing portfolio.
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