Momentum, Reversals, and Fund Manager Overconfidence
研究了基金经理过度自信和自归因偏差如何解释动量效应，发现持有过度自信经理所管理股票的投资者能获得更高动量收益和更强反转。
This paper examines the role of investor overconfidence and self‐attribution bias in explaining the momentum effect. We develop a novel measure of overconfidence based on characteristics and trading patterns of US equity mutual fund managers. Stocks held by more overconfident managers experience greater momentum profits and stronger return reversals than stocks held by less overconfident managers. The difference in momentum profits is not compensation for risk nor is it attributable to stock characteristics that influence momentum. Our results are consistent with Daniel, Hirshleifer, and Subrahmanyam (1998) who argue that momentum results from delayed overreaction caused by overconfidence and biased self‐attribution.