Hard-to-Value Stocks, Behavioral Biases, and Informed Trading
利用投资者层面数据，发现估值不确定性越高时个人投资者行为偏差越强，且知情交易强度在偏差更大的股票中更高，表明不确定性放大偏差并被知情者利用。
Abstract This paper uses investor-level data to provide direct evidence for an intuitive but surprisingly untested proposition that investors make larger investment mistakes when valuation uncertainty is higher and stocks are more difficult to value. Using multiple measures of valuation uncertainty and multiple behavioral bias proxies, I show that individual investors exhibit stronger behavioral biases when stocks are harder to value and when market-level uncertainty is higher. I also find that informed trading intensity is higher among stocks where individual investors exhibit stronger behavioral biases. Collectively, these results indicate that uncertainty at both stock and market levels amplifies individual investors’ behavioral biases and that relatively better informed investors attempt to exploit those biases.