文澜学术系列讲座 第152期 中国台湾大学财务金融刘名育博士:“投资人过度自信对股票报酬、流动性与价格效率性的影响(Investor Overconfidence and the Impact on Stock Returns, Liquidity, and Price Efficiency)”
日期:2019-04-09             信息来源:文澜学院

主题|Topic:投资人过度自信对股票报酬、流动性与价格效率性的影响

时间|Time412号(周五)|April 12th (Friday), 330 -500PM

地点Venue文澴709教室|Class Room 709WENHUAN


主讲|Speaker

刘博士即将毕业于中国台湾大学财务金融系,主要研究资产定价、行为金融等领域。已在 Journal of Futures Markets 等期刊发表文章。


研究领域|Research Interests 

资产定价、行为金融

Asset PricingBehavior Finance


摘要|Abstract

本论文发现个人投资人较偏爱的股票有较明显的价格持续过度反应而且对负面消息有较强的价格过度反应,因为价格持续过度反应理论上来自于投资人过度自信与自我归因偏误,而且个人投资人较偏爱的股票可能被个人投资人交易较多而被机构投资人交易较少,所以这个发现隐含个人投资人的过度自信与自我归因偏误程度较机构投资人高,而且个人投资人对负面消息的过度反应较机构投资人强。除此之外,本论文发现个人投资人过度自信提高股票流动性与价格效率性,然而机构投资人过度自信降低股票流动性。


This paper finds that stocks that are more preferred by individual investors, which are likely to be traded more by individual investors and traded less by institutional investors, exhibit a more pronounced continuing overreaction in prices and reveal a stronger price overreaction to negative information. As continuing overreaction theoretically results from investor overconfidence and biased self-attribution, it suggests that individual investors are more subject to the psychological biases and overreact more to negative information than institutional investors. Additionally, I present empirical evidence suggesting that individual investor overconfidence improves stock liquidity and price efficiency, whereas institutional investor overconfidence impairs stock liquidity.