Volume, volatility, price, and profit when all traders are above average

• 成果类型: Review
• 署名作者: Odean, T
• 署名单位: University of California System; University of California Davis
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00078
• 发表日期: 1998
• 页码: 1887-1934
• 关键词: variance bounds tests; MUTUAL FUND RETURNS; stock-market; transactions costs; INFORMATION; performance; EFFICIENCY; overconfidence; probability; RISK

摘要

People are overconfident. Overconfidence affects financial markets. How depends on who in the market is overconfident and on how information is distributed. This paper examines markets in which price-taking traders, a strategic-trading insider, and risk-averse marketmakers are overconfident. Overconfidence increases expected trading volume, increases market depth, and decreases the expected utility of overconfident traders. Its effect on volatility and price quality depend on who is overconfident. Overconfident traders can cause markets to underreact to the information of rational traders. Markets also underreact to abstract, statistical, and highly relevant information, and they overreact to salient, anecdotal, and less relevant information.