Momentum and Reversals When Overconfident Investors Underestimate Their Competition
构建模型说明过度自信且怀疑他人的投资者如何导致市场短期动量与长期反转，并解释动量与流动性和价格效率的关系。
Abstract We develop a model in which overconfident investors overestimate their own signal quality but are skeptical of others’ Investors who are initially uninformed believe that early-informed investors have learned little, leading the former investors to provide excess liquidity, which, in turn, causes underreaction and short-run momentum. Skeptical investors can also react to stale information, causing momentum, followed by reversals. Hence, skepticism generates both momentum and reversals; the latter are amplified if investors overassess their own signal precision. We explain how long-run reversals can disappear while shorter-term momentum prevails, provide empirical implications, and link momentum to liquidity and price efficiency.