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Overconfidence and asset prices.

Lin, Tao.

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Overconfidence and asset prices.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Overconfidence and asset prices./
作者:	Lin, Tao.
面頁冊數:	121 p.
附註:	Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3369.
Contained By:	Dissertation Abstracts International64-09A.
標題:	Business Administration, Management. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3106806

Overconfidence and asset prices.
Lin, Tao.

Overconfidence and asset prices. - 121 p.

Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3369.

Thesis (Ph.D.)--Duke University, 2003.

My dissertation studies overconfidence and its effects on asset prices. A continuous time, general equilibrium model is presented where a risky asset is traded among symmetrically informed, overconfident traders who stubbornly disagree about the importance of different time-varying signals of dividend growth rate. Each trader believes one signal is more important than the others, but traders agree to disagree about which signal is most important. With the assumption of exponential utility and normally distributed random variables, equilibrium price is a linear combination of the current dividend and the average signal. Despite the absence of noise trading, each trader takes a time-varying position proportional to the difference between the current value of the average signal and the signal he believes to be most important. In Chapter One, overconfidence is modeled by assuming traders attach different weights to different components of the growth rate of the dividend and agree to disagree about these weights. In addition, we study optimism and pessimism when traders agree to disagree about the long run dividend level. We explain abnormal price levels and excess volatility. We show that although learning about the true importance of the different parts of the growth rate does not occur, modest but economically meaningful differences in beliefs can persist for many decades without being easily detected statistically. In Chapter Two, the dividend growth rate is assumed to be an unobserved stochastic process. Each trader observes a continuous noisy signal process, which provides information about the current level of the dividend growth rate. Overconfidence is modeled by assuming investors agree to disagree about the signal to noise ratios. A linear equilibrium exists but does not have a closed form solution. Numerical result shows price change volatility decreases with overconfidence. We explain how investors can un-package overconfident analysts' forecasts. In Chapter Three, overconfidence is modeled in the correlations of changes in the signals and changes in the unobserved growth rate. We explain return predictability and over and under reaction to information.Subjects--Topical Terms:

626628
Business Administration, Management.

Overconfidence and asset prices.
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500 $a Supervisor: Albert S. Kyle.
502 $a Thesis (Ph.D.)--Duke University, 2003.
520 $a My dissertation studies overconfidence and its effects on asset prices. A continuous time, general equilibrium model is presented where a risky asset is traded among symmetrically informed, overconfident traders who stubbornly disagree about the importance of different time-varying signals of dividend growth rate. Each trader believes one signal is more important than the others, but traders agree to disagree about which signal is most important. With the assumption of exponential utility and normally distributed random variables, equilibrium price is a linear combination of the current dividend and the average signal. Despite the absence of noise trading, each trader takes a time-varying position proportional to the difference between the current value of the average signal and the signal he believes to be most important. In Chapter One, overconfidence is modeled by assuming traders attach different weights to different components of the growth rate of the dividend and agree to disagree about these weights. In addition, we study optimism and pessimism when traders agree to disagree about the long run dividend level. We explain abnormal price levels and excess volatility. We show that although learning about the true importance of the different parts of the growth rate does not occur, modest but economically meaningful differences in beliefs can persist for many decades without being easily detected statistically. In Chapter Two, the dividend growth rate is assumed to be an unobserved stochastic process. Each trader observes a continuous noisy signal process, which provides information about the current level of the dividend growth rate. Overconfidence is modeled by assuming investors agree to disagree about the signal to noise ratios. A linear equilibrium exists but does not have a closed form solution. Numerical result shows price change volatility decreases with overconfidence. We explain how investors can un-package overconfident analysts' forecasts. In Chapter Three, overconfidence is modeled in the correlations of changes in the signals and changes in the unobserved growth rate. We explain return predictability and over and under reaction to information.
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