Speculation duopoly with agreement to disagree: Can overconfidence survive the market test?

• 成果类型: Article
• 署名作者: Kyle, AS; Wang, FA
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb02751.x
• 发表日期: 1997
• 页码: 2073-2090
• 关键词: stock-market; financial-markets; noise; overreact; BEHAVIOR; RISK

摘要

In a duopoly model of informed speculation, we show that overconfidence may strictly dominate rationality since an overconfident trader may not only generate higher expected profit and utility than his rational opponent, but also higher than if he were also rational. This occurs because overconfidence acts Like a commitment device in a standard Cournot duopoly. As a result, for some parameter values the Nash equilibrium of a two-fund game is a Prisoner's Dilemma in which both funds hire overconfident managers. Thus, overconfidence can persist and survive in the long run.