OVERCONFIDENCE AND EQUILIBRIUM MULTIPLICITY IN CAPITAL MARKET

被引：0
|
作者：
Chen, Binbin [1 ]
Liu, Shancun [1 ]
Zhang, Qiang [2 ]
Zeng, Qingduo [1 ]
机构：
[1] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
[2] Beijing Univ Chem Technol, Sch Econ & Management, Beijing 100029, Peoples R China
来源：
ICIM'2016: PROCEEDINGS OF THE 13TH INTERNATIONAL CONFERENCE ON INDUSTRIAL MANAGEMENT | 2016年
关键词：
Information bias; Short-term investment; Equilibrium multiplicity; Rational expectation; Market anomalies; SHORT-TERM INVESTMENT; INFORMATION; EXPECTATIONS; INVESTORS;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
The average single of information-bias traders deviates from liquidation value. This may be caused by communication barriers, market sentiment and overconfidence phenomenon when information-bias traders receive private information. In static benchmark model, there is a unique linear equilibrium and all traders' trading intensity is directly proportional to the precision and inversely proportional to their risk-tolerance coefficient. The relationship between price informativeness and proportion of informed traders is monotonous. In a 2-period model with short-term investment of informed traders, the price informativeness in period 2 interact with the informed traders response to private information in period 1. This relationship influences price informativeness and multiple equilibria arise.
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页码：470 / 476
页数：7
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