文档介绍：Ma y 19, 1998
In v estor Psyc hology and Securit y Mark et Under- and
Ov erreactions
KENT D ANIEL, D A VID HIRSHLEIFER and A V ANIDHAR
SUBRAHMANY AM
Daniel is from North w estern Univ ersit y , Hirshleifer is from the Univ ersit yof Mic higan, Ann Arb or, and
Subrahman y am is from the Univ ersit y of California at Los Angeles. W e thank t w o anon ymous referees, the
editor Ren
e Stulz , Mic hael Brennan, Stev e Buser, W erner DeBondt, Eugene F ama, Simon Gerv ais, Rob ert
Jones, Blak e LeBaron, Tim Opler, Canice Prendergast, Andrei Shleifer, Matt Spiegel, Siew Hong T eoh, and
Sheridan Titman for men ts and discussions, Rob ert Noah for excellen t researc h assistance, and
participan ts in the National Bureau of Economic Researc h 1996 Asset Pricing and 1997 Beha vioral Finance
Meetings, the 1997 W estern Finance Asso ciation Meetings, the 1997 Univ ersit y of Chicago Economics
of Uncertain t y W orkshop, and nance w orkshops at the Securities and Exc mission and the
follo wing univ ersities: Univ ersit y of California at Berk eley , Univ ersit y of California at Los Angeles, Colum bia
Univ ersit y , Univ ersit y of Florida, Univ ersit y of Houston, Univ ersit yofMic higan, London Business Sc ho ol,
London Sc ho ol of Economics, North w estern Univ ersit y , Ohio State Univ ersit y , Stanford Univ ersit y , and
W ashington Univ ersit yat St. Louis, for men ts. Hirshleifer thanks the Nipp on T elephone and
T elegraph Program of Asian Finance and Economics for nancial supp ort.
In v estor Psyc hology and Securit y Mark et Under- and
Ov erreactions
Abstract
W e prop ose a theory of securities mark et under- and o v erreactions based on t w o w ell-
kno wn psyc hological biases: in v estor o v ercon dence ab out the precision of priv ate infor-
mation; and biased self-attribution, whic h causes asymmetric shifts in in v estors' con dence
as a function of their in v estmen t es. W e sho w that o v ercon dence implies nega-
ti