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Overconfidence on public information

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  • Zhou, Deqing
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    Abstract

    This work sets the market maker as overconfident and shows that this will lead to a higher informed trading intensity, a more efficient market, a larger informed profit and a lower adverse selection.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165176511001522
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 112 (2011)
    Issue (Month): 3 (September)
    Pages: 239-242

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    Handle: RePEc:eee:ecolet:v:112:y:2011:i:3:p:239-242

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    Web page: http://www.elsevier.com/locate/ecolet

    Related research

    Keywords: Insider trading Public information Overconfidence;

    References

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    1. Covrig, Vicentiu & Ng, Lilian, 2004. "Volume autocorrelation, information, and investor trading," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2155-2174, September.
    2. Markus Glaser & Martin Weber, 2007. "Overconfidence and trading volume," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 32(1), pages 1-36, June.
    3. Benos, Alexandros V., 1998. "Aggressiveness and survival of overconfident traders," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 353-383, September.
    4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    5. Kyle, Albert S & Wang, F Albert, 1997. " Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test?," Journal of Finance, American Finance Association, vol. 52(5), pages 2073-90, December.
    6. Luo, Shunlong, 2001. "The impact of public information on insider trading," Economics Letters, Elsevier, vol. 70(1), pages 59-68, January.
    7. Albert Wang, F., 1998. "Strategic trading, asymmetric information and heterogeneous prior beliefs," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 321-352, September.
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    Citations

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    Cited by:
    1. Zhou, Deqing, 2012. "Overconfidence, public disclosure and long-lived information," Economics Letters, Elsevier, vol. 116(3), pages 626-630.
    2. Zhou, Deqing, 2013. "Irrational confidence, imperfect and long-lived information," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 383-405.

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