Judgmental Overconfidence and Trading Activity
We investigate the theoretically proposed link between judgmental overconfidence and trading activity. In addition to applying classical measures of miscalibration, we introduce a measure to capture misperception of signal reliability, which is the relevant bias in the theoretical overconfidence literature. We relate the obtained overconfidence measures to trading activity in call and continuous experimental asset markets. Our results confirm prior findings that classical miscalibration measures are not related to trading activity. However, misperception of signal reliability is significantly linked to trading volume, particularly in the continuous market. In addition, we find that men trade more than women at high levels of risk aversion, but the gender trading gap vanishes as risk aversion lessens. The reason is that the trading activity of women seems to be more sensitive to risk attitudes than that of men.
|Date of creation:||19 Oct 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Carl-Zeiss-Strasse 3, 07743 JENA|
Phone: +049 3641/ 9 43000
Fax: +049 3641/ 9 43000
Web page: http://www.jenecon.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gerlinde Fellner & Boris Maciejovsky, .
"Risk Attitude and Market Behavior: Evidence from Experimental Asset Markets,"
Papers on Strategic Interaction
2002-34, Max Planck Institute of Economics, Strategic Interaction Group.
- Fellner, Gerlinde & Maciejovsky, Boris, 2007. "Risk attitude and market behavior: Evidence from experimental asset markets," Journal of Economic Psychology, Elsevier, vol. 28(3), pages 338-350, June.
- Catherine C. Eckel & Philip J. Grossman, 2008.
"Sex and Risk: Experimental Evidence,"
Monash Economics Working Papers
archive-09, Monash University, Department of Economics.
- Eckel, Catherine C. & Grossman, Philip J., 2008. "Men, Women and Risk Aversion: Experimental Evidence," Handbook of Experimental Economics Results, Elsevier.
- Mark Grinblatt & Matti Keloharju, 2000.
"What Makes Investors Trade?,"
Yale School of Management Working Papers
ysm146, Yale School of Management, revised 01 Nov 2001.
- Greiner, Ben, 2004. "An Online Recruitment System for Economic Experiments," MPRA Paper 13513, University Library of Munich, Germany.
- Fellner, Gerlinde & Krügel, Sebastian, 2012. "Judgmental overconfidence: Three measures, one bias?," Journal of Economic Psychology, Elsevier, vol. 33(1), pages 142-154.
- Caballe, Jordi & Sakovics, Jozsef, 2003.
"Speculating against an overconfident market,"
Journal of Financial Markets,
Elsevier, vol. 6(2), pages 199-225, April.
- Urs Fischbacher, 2007. "z-Tree: Zurich toolbox for ready-made economic experiments," Experimental Economics, Springer, vol. 10(2), pages 171-178, June.
When requesting a correction, please mention this item's handle: RePEc:jrp:jrpwrp:2012-057. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Markus Pasche)
If references are entirely missing, you can add them using this form.