整个市场的过度自信与股票回报

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2023-09-27 DOI:10.1002/fut.22462

Qiang Chen, Yu Han, Ying Huang

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引用次数: 0

摘要

本文基于模糊性（投资者对信息的信心）的大小，提出了一种新的市场过度自信度量方法。所提出的全市场过度自信度量方法与之前文献的预测一致。它与下一个月的市场超额收益率呈明显的负相关。过度自信度量与风险较高的投资组合回报之间的关联性更强，持续时间更长，这意味着过度自信的投资者具有冒险倾向。

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Market-wide overconfidence and stock returns

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.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

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.