Volume, Volatility, Price, and Profit When All Traders Are Above Average
研究过度自信的价格接受者、内幕交易者和做市商如何影响市场成交量、波动性和价格质量，发现过度自信增加成交量但降低自身效用，且市场对理性信息反应不足，对显著信息反应过度。
People are overconfident. Overconfidence affects financial markets. How depends on who in the market is overconfident and on how information is distributed. This paper examines markets in which price‐taking traders, a strategic‐trading insider, and risk‐averse marketmakers are overconfident. Overconfidence increases expected trading volume, increases market depth, and decreases the expected utility of overconfident traders. Its effect on volatility and price quality depend on who is overconfident. Overconfident traders can cause markets to underreact to the information of rational traders. Markets also underreact to abstract, statistical, and highly relevant information, and they overreact to salient, anecdotal, and less relevant information.