Market‐wide overconfidence and stock returns
基于信息模糊度构建了市场整体过度自信的度量指标，发现该指标与下月市场超额收益显著负相关，且对高风险组合的影响更强更持久，揭示了过度自信投资者的风险偏好。
Abstract In this paper, a novel measurement of overconfidence over the market is developed based on the size of ambiguity (the confidence of investors in information). The proposed measure of market‐wide overconfidence is consistent with the predictions motivated by prior literature. It has a significant negative association with the next‐month market excess return. Associations between the overconfidence measure and riskier portfolio returns behave stronger and last longer, implying a risk‐taking proclivity of overconfident investors.