A Tale of Two Investors: Estimating Optimism and Overconfidence

Author:

Barone Adesi giovanni,Mancini Loriano,Shefrin Hersh

Publisher

Elsevier BV

Reference72 articles.

1. Measuring Bubble Expectations and Investor Confidence

2. �100, where E p R t is the conditional expectation at date t under the representative investor's pdf p R , S t is the S&P 500 index at date t, (T ? t) is one year, and similarly E p t is the conditional expectation under the objective pdf p. Lower graph: Yale/Shiller crash confidence index (CP) and "probability of no crash" under the representative investor's pdf. The latter is P rob{S T /S t > 0.8} under the representative investor's pdf p R . For each Wednesday t;turnover on the New York Stock Exchange (NYSE),2002

3. Nonparametric Risk Management and Implied Risk Aversion;Y A�?ta�?t-Sahalia;Journal of Econometrics,2000

4. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation;D Andrews;Econometrica,1991

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