A Theory of Overconfidence, Self-Attribution, And Security Market Under- And Over-reactions

8/11/2019 A Theory of Overconfidence, Self-Attribution, And Security Market Under- And Over-reactions

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1 2 33

Favorable Private Signal

Unfavorable Private Signal

Full Information Value

Full Information Value


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1 2 33

Favorable Private Signal

Unfavorable Private Signal

Price

Time


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w/ Attribution Bias

w/o Attribution Bias

0 20 40 60 80 100 1200

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

period

Avg.

Price


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0 20 40 60 80 100 1200

10

20

30

40

50

60

70

period

Av.

Precision

Average Estimated Precision Following Private Information Shock


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10 20 30 40 50 60 70 80 90 100 110

0.02

0

0.02

0.04

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0.08

0.1

lag

Autocorrelation


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0 10 20 30 40 50 60 70 80 90 1001

0.8

0.6

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0.2

0

0.2

0.4

horizon

correlation


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20 40 60 80 100 1203

2

1

0

1

2

3

4

5

6

7

x 103

lag

Crosscorrelation


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A Theory of Overconfidence, Self-Attribution, And Security Market Under- And Over-reactions

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