Affiliation:
1. School of Economics and Department of Digital Economy (Digital Economy Research Institute) Shanghai University of Finance and Economics Shanghai China
2. School of Economics Shanghai University of Finance and Economics Shanghai China
Abstract
AbstractIn 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.
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Cited by
1 articles.
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