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Does it payoff to be overconfident? Evidence from an emerging market – a quantile regression approach

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  • TOMA, Filip-Mihai
  • CEPOI, Cosmin-Octavian
  • NEGREA, Bogdan

Abstract

•Using an emerging market dataset, we find that overconfidence has a positive influence on individual returns of Romanian investors;.•An overconfidence index is constructed through principal component analysis using three variables: trading frequency, volume and portfolio diversification;.•Overconfidence has a larger positive effect on higher returns for shorter investment horizons;.•Marginal benefits of overconfident behavior diminish as the holding period increases.

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  • TOMA, Filip-Mihai & CEPOI, Cosmin-Octavian & NEGREA, Bogdan, 2021. "Does it payoff to be overconfident? Evidence from an emerging market – a quantile regression approach," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319303010
    DOI: 10.1016/j.frl.2020.101480
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    1. Cosmin Octavian Cepoi & Victor Dragotă & Ruxandra Trifan & Andreea Iordache, 2023. "Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.

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