Overconfident Investors, Predictable Returns, and Excessive Trading
探讨投资者过度自信如何解释高交易量、低净回报以及资产价格的可预测性，对理解市场非理性行为有帮助。
The last several decades have witnessed a shift away from a fully rational paradigm of financial markets toward one in which investor behavior is influenced by psychological biases. Two principal factors have contributed to this evolution: a body of evidence showing how psychological bias affects the behavior of economic actors; and an accumulation of evidence that is hard to reconcile with fully rational models of security market trading volumes and returns. In particular, asset markets exhibit trading volumes that are high, with individuals and asset managers trading aggressively, even when such trading results in high risk and low net returns. Moreover, asset prices display patterns of predictability that are difficult to reconcile with rational-expectations–based theories of price formation. In this paper, we discuss the role of overconfidence as an explanation for these patterns.