Building on the Bayesian Theorem, we propose a multi-period market microstructure model to understand how Bayesian investors underact new information and the duration of market underreaction. Applying the model to post-earnings-announcement drifts, our simulation and regression analyses show that the duration of the post-announcement price adjustment process and the post-announcement drifts can be explained by the new measure of belief updating speed that quantifies the uncertainties faced by Bayesian investors when incorporating new information into prices. Our study highlights the importance of incorporating the belief uncertainties of uninformed investors in explaining market underreaction in the Bayesian framework.

中文翻译：

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贝叶斯投资者信念更新速度和市场对收益公告的反应不足

基于贝叶斯定理，我们提出了一个多周期市场微观结构模型，以了解贝叶斯投资者如何对新信息反应不足以及市场反应不足的持续时间。将该模型应用于收益公告后的漂移，我们的模拟和回归分析表明，公告后价格调整过程的持续时间和公告后的漂移可以通过量化所面临的不确定性的信念更新速度的新度量来解释贝叶斯投资者在将新信息纳入价格时。我们的研究强调了将不知情投资者的信念不确定性纳入贝叶斯框架中解释市场反应不足的重要性。