Overconfident Institutions and Their Self-Attribution Bias: Evidence from Earnings Announcements
研究发现机构在盈余公告前对股票的需求与后续回报负相关，且这种关系在信息不对称和估值难度高的股票中更强，支持了机构过度自信导致错误定价的观点。公告后机构行为表现出自我归因偏差，解释了盈余公告后的漂移现象。
Abstract Institutional demand for a stock before its earnings announcement is negatively related to subsequent returns. The relation is not attributable to the price pressure of institutional demand and is stronger for stocks with higher information asymmetry and/or greater valuation difficulty. These findings support the notion that overconfident institutions misprice stocks. Following announcements, institutions’ behavior exhibits the outcome-dependent feature of self-attribution bias. Whether they become more overconfident and delay their mispricing correction depends on whether earnings news confirms their preannouncement trades. This behavioral bias also offers a new explanation for the well-known post-earnings-announcement drift.