Investor Overconfidence and Trading Volume
用投资者过度自信解释高交易量，发现股票换手率与过去数月回报正相关，且小盘股和散户持股多的时期更明显，为过度自信和处置效应提供了证据。
The proposition that investors are overconfident about their valuation and trading skills can explain high observed trading volume. With biased self-attribution, the level of investor overconfidence and thus trading volume varies with past returns. We test the trading volume predictions of formal overconfidence models and find that share turnover is positively related to lagged returns for many months. The relationship holds for both market-wide and individual security turnover, which we interpret as evidence of investor overconfidence and the disposition effect, respectively. Security volume is more responsive to market return shocks than to security return shocks, and both relationships are more pronounced in small-cap stocks and in earlier periods where individual investors hold a greater proportion of shares. Copyright 2006, Oxford University Press.