Overconfidence and Correlated Information Structures

• 成果类型: Article
• 署名作者: Park, Junghum
• 署名单位: Bank of Lithuania; Vilnius University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1093/ej/ueae112
• 发表日期: 2025
• 页码: 1300-1340
• 关键词: judgmental overconfidence; acquisition; price; complementarities; equilibrium; speculation; volatility; investors; MARKETS; traders

摘要

This paper analyses overconfident strategic traders whose private information involves correlated errors. The analysis on the effects of two types of overconfidence-overconfidence in own signals and underconfidence in others' signals-provides richer implications than our typical understanding of overconfidence as follows. First, trading volume decreases (increases) with underconfidence in others' signals (overconfidence in own signals). Second, whereas overconfidence in own signals can explain large trading volume more easily, underconfidence in others' signals may cause trading volume and price informativeness to decrease with the number of traders. Third, overconfidence in own signals can lead to equilibrium multiplicity in information acquisition.