Investor Overconfidence, Firm Valuation, and Corporate Decisions
研究发现，共同基金经理的过度自信会导致其持股公司被高估，这些公司后续股票回报更低、更倾向于增发股票和增加投资，对理解市场定价和企业行为有参考价值。
Behavioral theory predicts that investor overconfidence leads to overpricing because overconfident investors overestimate the quality of their information and underestimate risk. We test this prediction by using a measure of investor overconfidence derived from the characteristics and holdings of U.S. equity mutual fund managers. We find that firms with more overconfident investors are relatively overvalued based on the market-to-book ratio and a misvaluation measure. The result is stronger among stocks with greater mutual fund ownership, particularly by active mutual funds. Firms with more overconfident investors also exhibit lower subsequent stock returns, issue more equity, and invest more. Overall, our findings suggest that investor overconfidence is significantly related to firm valuation and corporate decisions. The Internet appendix is available at https://doi.org/10.1287/mnsc.2017.2806 . This paper was accepted by Neng Wang, finance.