Investor overconfidence and market outcomes: empirical and experimental evidence
Saved in:
| Main Author: | |
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| Format: | Thesis Book |
| Language: | German |
| Published: |
2003
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVI, 169 S. graph. Darst. |
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Record in the Search Index
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|---|---|
| adam_text | MARKUS GLASER INVESTOR OVERCONFIDENCE AND MARKET OUTCOMES: EMPIRICAL AND
EXPERIMENTAL EVIDENCE IRIAUGURALDISSCRTATION ZUR ERLANGUNG DES
AKADEMISCHEN GRADES EINES DOKTORS DER WIRTSCHAFTSWISSENSCHAFTEN DER
UNIVERSITAT MANNHEIM VORGELEGT IM SOMMERSEMESTER 2003 CONTENTS LIST OF
FIGURES XI LIST OF TABLES XIII 1 INTRODUCTION 1 1.1 MOTIVATION 1 1.2
TRADITIONAL FINANCE AND BEHAVIORAL FINANCE 2 1.3 MOMENTUM, TRADING
VOLUME, AND OVERCONFIDENCE 3 1.4 MAIN RESEARCH QUESTIONS, OUTLINE OF THE
THESIS, AND MAIN RESULTS 5 1.5 HOW TO EMPIRICALLY TEST A BEHAVIORAL
FINANCE MODEL? 9 1.5.1 TESTING MODEL ASSUMPTIONS 9 1.5.2 TESTING MODEL
PREDICTIONS 10 2 ONLINE BROKER INVESTORS: DEMOGRAPHIC INFORMATION,
INVESTMENT STRAT- EGY, PORTFOLIO POSITIONS, AND TRADING ACTIVITY 13 2.1
INTRODUCTION 13 2.2 DATA 16 2.3 DEMOGRAPHIC INFORMATION AND INVESTMENT
STRATEGY 18 VIII CONTENTS 2.4 PORTFOLIO POSITIONS 18 2.5 TRADING
ACTIVITY 24 2.5.1 DESCRIPTIVE STATISTICS 25 2.5.2 CROSS-SECTIONAL
REGRESSIONS 37 2.G SUMMARY AND CONCLUSION 43 3 OVERCONFIDENCE AND
TRADING VOLUME 45 3.1 INTRODUCTION 45 3.2 RELATED RESEARCH 49 3.3
OVERCONFIDENCE IN PSYCHOLOGY AND FINANCE 51 3.3.1 OVERCONFIDENCE IN THE
PSYCHOLOGICAL LITERATURE 51 3.3.2 OVERCONFIDENCE IN FINANCE MODELS 53
3.4 DATA SETS, DESIGN OF THE STUDY, AND OVERCONFIDENCE MEASURES 56 3.4.1
DATA SETS 5C 3.4.2 DESIGN OF THE STUDY 56 3.4.3 DESCRIPTIVE STATISTICS
OF ALL INVESTORS AND THE SUBGROUP OF RESPON- DENTS TO THE QUESTIONNAIRE
58 3.4.4 MEASURES OF OVERCONFIDENCE 58 3.5 OVERCONFIDENCE AND TRADING
VOLUME: EMPIRICAL RESULTS 66 3.5.1 OVERCONFIDENCE AND TRADING VOLUME:
CORRELATION COEFFICIENTS . . . . 66 3.5.2 OVERCONFIDENCE AND TRADING
VOLUME: CROSS-SECTIONAL REGRESSIONS . 69 3.6 DISCUSSION 78 CONTENTS IX
3.7 CONCLUSION 82 4 SEPTEMBER 11 AND STOCK RETURN EXPECTATIONS OF
INDIVIDUAL INVESTORS 85 4.1 INTRODUCTION 85 4.2 METHODOLOGY 90 4.3
RESULTS 93 4.3.1 RETURN FORECASTS 93 4.3.2 VOLATILITY FORECASTS 97 4.3.3
DIFFERENCES OF OPINION - 100 4.4 DISCUSSION AND CONCLUSION 103 5 ON THE
TREND RECOGNITION AND FORECASTING ABILITY OF PROFESSIONAL TRADERS 105
5.1 INTRODUCTION 105 5.2 RELATED FINANCE MODELS 107 5.3 EXPERIMENTAL
DESIGN 110 5.4 GENERAL HYPOTHESES AND RESULTS 113 5.4.1 TREND PREDICTION
BY PROBABILITY ESTIMATES 113 5.4.2 TREND PREDICTION BY CONFIDENCE
INTERVALS 119 5.5 THE CORRELATION OF OVERCONFIDENCE MEASURES 121 5.5.1
TRADERS VERSUS STUDENTS 121 5.5.2 CORRELATION OF OVERCONFIDENCE AND
PERFORMANCE MEASURES 122 5.6 DISCUSSION AND CONCLUSION 125 X CONTENTS 6
MOMENTUM AND TURNOVER: EVIDENCE FROM THE GERMAN STOCK MARKET 127 6.1
INTRODUCTION 127 6.2 DATA AND METHODOLOGY 132 6.3 RESULTS FOR
TURNOVER-BASED MOMENTUM STRATEGIES 133 6.3.1 RESULTS FOR PURE MOMENTUM
STRATEGIES 133 6.3.2 MOMENTUM AND TURNOVER 136 6.3.3 PORTFOLIO
CHARACTERISTICS 137 6.3.4 ROBUSTNESS CHECKS 139 6.3.5 MOMENTUM,
TURNOVER, AND FIRM SIZE 142 6.3.6 SIZE-, BOOK-TO-MARKET, AND
INDUSTRY-ADJUSTED RETURNS 144 6.3.7 CAPM TIME SERIES REGRESSIONS 146
6.3.8 SEASONALITY 148 6.3.9 LONG-HORIZON RESULTS 148 6.4 DISCUSSION .
151 6.4.1 MOMENTUM AND TURNOVER 151 6.4.2 OTHER STYLIZED MOMENTUM FACTS
154 6.5 CONCLUSION . 156 BIBLIOGRAPHY 157
|
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| illustrated | Illustrated |
| indexdate | 2024-07-09T19:19:57Z |
| institution | BVB |
| language | German |
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| oclc_num | 53285910 |
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| physical | XVI, 169 S. graph. Darst. |
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| spelling | Glaser, Markus 1976- Verfasser (DE-588)128392142 aut Investor overconfidence and market outcomes empirical and experimental evidence Markus Glaser 2003 XVI, 169 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mannheim, Univ., Diss., 2003 Investitionsentscheidung (DE-588)4162244-3 gnd rswk-swf Broker (DE-588)4134688-9 gnd rswk-swf Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Selbstüberschätzung (DE-588)4133278-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Broker (DE-588)4134688-9 s Investitionsentscheidung (DE-588)4162244-3 s Selbstüberschätzung (DE-588)4133278-7 s DE-188 Anlagepolitik (DE-588)4206018-7 s Anlageverhalten (DE-588)4214003-1 s GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010597093&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Glaser, Markus 1976- Investor overconfidence and market outcomes empirical and experimental evidence Investitionsentscheidung (DE-588)4162244-3 gnd Broker (DE-588)4134688-9 gnd Anlageverhalten (DE-588)4214003-1 gnd Anlagepolitik (DE-588)4206018-7 gnd Selbstüberschätzung (DE-588)4133278-7 gnd |
| subject_GND | (DE-588)4162244-3 (DE-588)4134688-9 (DE-588)4214003-1 (DE-588)4206018-7 (DE-588)4133278-7 (DE-588)4113937-9 |
| title | Investor overconfidence and market outcomes empirical and experimental evidence |
| title_auth | Investor overconfidence and market outcomes empirical and experimental evidence |
| title_exact_search | Investor overconfidence and market outcomes empirical and experimental evidence |
| title_full | Investor overconfidence and market outcomes empirical and experimental evidence Markus Glaser |
| title_fullStr | Investor overconfidence and market outcomes empirical and experimental evidence Markus Glaser |
| title_full_unstemmed | Investor overconfidence and market outcomes empirical and experimental evidence Markus Glaser |
| title_short | Investor overconfidence and market outcomes |
| title_sort | investor overconfidence and market outcomes empirical and experimental evidence |
| title_sub | empirical and experimental evidence |
| topic | Investitionsentscheidung (DE-588)4162244-3 gnd Broker (DE-588)4134688-9 gnd Anlageverhalten (DE-588)4214003-1 gnd Anlagepolitik (DE-588)4206018-7 gnd Selbstüberschätzung (DE-588)4133278-7 gnd |
| topic_facet | Investitionsentscheidung Broker Anlageverhalten Anlagepolitik Selbstüberschätzung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010597093&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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