{"title":"Market-wide overconfidence and stock returns","authors":"Qiang Chen, Yu Han, Ying Huang","doi":"10.1002/fut.22462","DOIUrl":null,"url":null,"abstract":"<p>In this paper, a novel measurement of overconfidence over the market is developed based on the size of ambiguity (the confidence of investors in information). The proposed measure of market-wide overconfidence is consistent with the predictions motivated by prior literature. It has a significant negative association with the next-month market excess return. Associations between the overconfidence measure and riskier portfolio returns behave stronger and last longer, implying a risk-taking proclivity of overconfident investors.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 1","pages":"3-26"},"PeriodicalIF":1.8000,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.22462","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, a novel measurement of overconfidence over the market is developed based on the size of ambiguity (the confidence of investors in information). The proposed measure of market-wide overconfidence is consistent with the predictions motivated by prior literature. It has a significant negative association with the next-month market excess return. Associations between the overconfidence measure and riskier portfolio returns behave stronger and last longer, implying a risk-taking proclivity of overconfident investors.
期刊介绍：
The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
