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Simultaneous Over- and Underconfidence: Evidence from Experimental Asset Markets

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Author Info
 Kirchler, Erich
Maciejovsky, Boris

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Abstract

In this paper we investigate individual overconfidence within the context of an experimental asset market. Overall, 72 participants traded one risky asset on six markets of 12 participants each. Our results indicate that participants are not generally prone to overconfidence. A comparison of two different measures of overconfidence, (i) subjective confidence intervals and (ii) differences between objective accuracy and subjective certainty, lead to a different classification of behavior in our data-set. We observe well-calibration as well as over- and underconfidence. Copyright 2002 by Kluwer Academic Publishers

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Publisher Info
Article provided by Springer in its journal Journal of Risk and Uncertainty.

Volume (Year): 25 (2002)
Issue (Month): 1 (July)
Pages: 65-85
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Handle: RePEc:kap:jrisku:v:25:y:2002:i:1:p:65-85

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  1. Erich Kirchler & Boris Maciejovsky & Herbert Schwarzenberger, 2003. "Specious Confidence after Tax Audits: A Contribition to the Dynamics of Compliance," Papers on Strategic Interaction 2003-14, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
  2. Brozynski, Torsten & Menkhoff, Lukas & Schmidt, Ulrich, 2004. "The Impact of Experience on Risk Taking, Overconfidence, and Herding of Fund Managers: Complementary Survey Evidence," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-292, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    Other versions:
  3. Gerlinde Fellner & Werner Güth & Boris Maciejovsky, 2001. "Illusion of Expertise in Portfolio Decisions - An Experimental Approach -," Papers on Strategic Interaction 2001-02, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
    Other versions:
  4. Glaser, Markus & Weber, Martin, 2003. "Overconfidence and Trading Volume," Sonderforschungsbereich 504 Publications 03-07, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
  5. Diego Salzman & Emanuel Trifan, 2005. "Emotions, Bayesian Inference, and Financial Decision Making," Darmstadt Discussion Papers in Economics 166, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
  6. Boris Maciejovsky & Tarek El-Sehitya & Hans Haumerb & Christian Helmensteinc & Erich Kirchlerd, . "Hindsight Bias and Individual Risk Attitude within the Context of Experimental Asset Markets," Papers on Strategic Interaction 2002-16, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
  7. Giulio Bottazzi & Giovanna Devetag & Francesca Pancotto, 2009. "Does Volatility matter? Expectations of price return and variability in an asset pricing experiment," LEM Papers Series 2009/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
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  8. Glaser, Markus & Weber, Martin, 2003. "Overconfidence and Trading Volume," CEPR Discussion Papers 3941, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  9. Dennis Dittrich & Werner Güth & Boris Maciejovsky, . "Overconfidence in Investment Decisions: An Experimental Approach," Papers on Strategic Interaction 2001-03, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
    Other versions:
  10. Glaser, Markus & Langer, Thomas & Weber, Martin, 2005. "Overconfidence of Professionals and Lay Men: Individual Differences Within and Between Tasks?," Sonderforschungsbereich 504 Publications 05-25, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
  11. Glaser, Markus & Weber, Martin, 2005. "Overconfidence and Trading Volume," SIFR Research Report Series 40, Institute for Financial Research. [Downloadable!]
  12. Fellner, Gerlinde & Gueth, Werner & Maciejovsky, Boris, 2001. "Illusion of Expertise in Portfolio Decisions -- An Experimental Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  13. Pavlo Blavatskyy, 2009. "Betting on own knowledge: Experimental test of overconfidence," Journal of Risk and Uncertainty, Springer, vol. 38(1), pages 39-49, February. [Downloadable!] (restricted)
  14. Dennis Dittrich & Boris Maciejovsky, . "Information Dissemination on Asset Markets with Endogenous and Exogenous Information: An Experimental Approacha," Papers on Strategic Interaction 2002-03, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
  15. Glaser, Markus & Nöth, Markus & Weber, Martin, 2003. "Behavioral Finance," Sonderforschungsbereich 504 Publications 03-14, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
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