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Conference Paper: Investor overconfidence and the increase in idiosyncratic risk
| Title | Investor overconfidence and the increase in idiosyncratic risk |
|---|---|
| Authors | |
| Keywords | Overconfidence Idiosyncratic Risk |
| Issue Date | 2008 |
| 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? |
| Abstract | We 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 Identifier | http://hdl.handle.net/10722/63285 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Chang, E | en_HK |
| dc.contributor.author | Luo, Y | en_HK |
| dc.date.accessioned | 2010-07-13T04:20:18Z | - |
| dc.date.available | 2010-07-13T04:20:18Z | - |
| dc.date.issued | 2008 | en_HK |
| dc.identifier.citation | The 6th China International Conference in Finance, Dalian, China, 2-5 July 2008. | - |
| dc.identifier.citation | 2008 中国金融国际年会, 中国, 大连, 2008年7月2日至5日. | - |
| dc.identifier.uri | http://hdl.handle.net/10722/63285 | - |
| dc.description.abstract | We 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.language | eng | en_HK |
| dc.relation.ispartof | 6th China International Conference in Finance 2008 | - |
| dc.subject | Overconfidence | - |
| dc.subject | Idiosyncratic Risk | - |
| dc.title | Investor overconfidence and the increase in idiosyncratic risk | en_HK |
| dc.type | Conference_Paper | en_HK |
| dc.identifier.email | Chang, E: ecchang@hku.hk | en_HK |
| dc.identifier.email | Luo, Y: yluo@econ.hku.hk | en_HK |
| dc.identifier.authority | Chang, E=rp01050 | en_HK |
| dc.description.nature | postprint | - |
| dc.identifier.hkuros | 166685 | en_HK |