Investment Strategy and Selection Bias: An Equilibrium Perspective on Overoptimism
研究了投资者基于信号观察和过往项目均值回报进行投资的启发式策略，发现选择偏差和信号异质性导致过度投资，理性投资者会加剧采样投资者的过度乐观，产生负外部性。
Investors implement projects based on idiosyncratic signal observations, without knowing how signals and returns are jointly distributed. The following heuristic is studied: investors collect information on previously implemented projects with the same signal realization, and invest if the associated mean return exceeds the cost. The corresponding steady states result in suboptimal investments, due to selection bias and the heterogeneity of signals across investors. When higher signals are associated with higher returns, investors are overoptimistic, resulting in overinvestment. Rational investors increase the overoptimism of sampling investors, thereby illustrating a negative externality imposed by rational investors.