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Conference Paper: Investor overconfidence and the increase in idiosyncratic risk

TitleInvestor overconfidence and the increase in idiosyncratic risk
Authors
KeywordsOverconfidence
Idiosyncratic Risk
Issue Date2008
Citation
The 6th China International Conference in Finance, Dalian, China, 2-5 July 2008. How to Cite?
2008 中国金融国际年会, 中国, 大连, 2008年7月2日至5日. How to Cite?
AbstractWe adopt investor sentiment, stock turnover, and misvaluation as proxies for investor overconfidence, and document that idiosyncratic risk is positively correlated with investor overconfidence at both the individual stock level and the market level. And controlling for investor overconfidence reduces the positive time trend in idiosyncratic risk documented widely. The results are robust when firm size, age, stock price, profitability and growth options are controlled. We argue, therefore, that idiosyncratic risk is associated with investor overconfidence and that changes in overconfidence over time could help to explain the time pattern of idiosyncratic risk.
Persistent Identifierhttp://hdl.handle.net/10722/63285

 

DC FieldValueLanguage
dc.contributor.authorChang, Een_HK
dc.contributor.authorLuo, Yen_HK
dc.date.accessioned2010-07-13T04:20:18Z-
dc.date.available2010-07-13T04:20:18Z-
dc.date.issued2008en_HK
dc.identifier.citationThe 6th China International Conference in Finance, Dalian, China, 2-5 July 2008.-
dc.identifier.citation2008 中国金融国际年会, 中国, 大连, 2008年7月2日至5日.-
dc.identifier.urihttp://hdl.handle.net/10722/63285-
dc.description.abstractWe adopt investor sentiment, stock turnover, and misvaluation as proxies for investor overconfidence, and document that idiosyncratic risk is positively correlated with investor overconfidence at both the individual stock level and the market level. And controlling for investor overconfidence reduces the positive time trend in idiosyncratic risk documented widely. The results are robust when firm size, age, stock price, profitability and growth options are controlled. We argue, therefore, that idiosyncratic risk is associated with investor overconfidence and that changes in overconfidence over time could help to explain the time pattern of idiosyncratic risk.-
dc.languageengen_HK
dc.relation.ispartof6th China International Conference in Finance 2008-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectOverconfidence-
dc.subjectIdiosyncratic Risk-
dc.titleInvestor overconfidence and the increase in idiosyncratic risken_HK
dc.typeConference_Paperen_HK
dc.identifier.emailChang, E: ecchang@hku.hken_HK
dc.identifier.emailLuo, Y: yluo@econ.hku.hken_HK
dc.identifier.authorityChang, E=rp01050en_HK
dc.description.naturepostprint-
dc.identifier.hkuros166685en_HK

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