We model the effect of imperfect memory on asset prices. Our model uses market affective state as a cue for information congruent with the affective state, a phenomenon called mood congruent memory. Our model also incorporates rehearsal, which implies information recalled in the recent past is more easily recalled in the present. When combined with a model of the dynamics of affect, our theory provides novel explanations for short-run continued overreaction to news and long-run correction of the shortrun effects. In addition our model predicts asset price momentum, the unconditional autocorrelation of asset prices. We also predict that excess volatility is highest during market downturns, price biases are increasing in fundamental volatility, knowledge may exacerbate these biases, and asset prices exhibit excess comovement. I would like to thank Ilya Segal, B. Douglas Bernheim, Marcello Miccoli, Juuso Toikka, Alex Hirsch, Carlos Lever, M. Bumin Yenmez, Edward Augenblick, Xiaochen Fan, Annika Todd, and Albert Bollard for invaluable discussions and feedback over the course of this project. Bodoh-Creed gratefully aknowledges the support of the Jacob K. Javits Fellowship program and the Bradley Research Fellowship. Correspondence: acreed@cornell.edu

中文翻译：

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情绪，记忆和资产价格评估

我们对不完全记忆对资产价格的影响进行建模。我们的模型使用市场情感状态作为与情感状态一致的信息的提示，这种现象称为情绪一致记忆。我们的模型还包含演练，这意味着最近回忆的信息现在更容易回忆。当与情感动力学模型结合时，我们的理论为新闻对短期持续的过度反应以及对短期影响的长期纠正提供了新颖的解释。另外，我们的模型可以预测资产价格动量，即资产价格的无条件自相关。我们还预测，在市场低迷时期，过度波动率最高，基本波动率的价格偏差正在增加，知识可能加剧这些偏差，资产价格表现出过度联动。我要感谢Ilya Segal，B.Douglas Bernheim，Marcello Miccoli，Juuso Toikka，Alex Hirsch，Carlos Lever，M.Bumin Yenmez，Edward Augenblick，Xiaochen Fan，Annika Todd和Albert Bollard在课程中进行了宝贵的讨论和反馈这个项目。Bodoh-Creed非常感谢Jacob K. Javits奖学金计划和Bradley Research奖学金的支持。通讯：acreed@cornell.edu