Overconfidence and market efficiency with heterogeneous agents
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- dc.contributor.author Garcia, Diegoca
- dc.contributor.author Sangiorgi, Francescoca
- dc.contributor.author Urosevic, Brankoca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:51:11Z
- dc.date.available 2017-07-26T10:51:11Z
- dc.date.issued 2004-10-01
- dc.date.modified 2017-07-23T02:08:49Z
- dc.description.abstract We study financial markets in which both rational and overconfident agents coexist and make endogenous information acquisition decisions. We demonstrate the following irrelevance result: when a positive fraction of rational agents (endogeneously) decides to become informed in equilibrium, prices are set as if all investors were rational, and as a consequence the overconfidence bias does not aect informational efficiency, price volatility, rational traders expected profits or their welfare. Intuitively, as overconfidence goes up, so does price infornativeness, which makes rational agents cut their information acquisition activities, effectively undoing the standard effect of more aggressive trading by the overconfident.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=786
- dc.identifier.citation Economic Theory, Springer, vol. 30(2), pp. 313-336, February, 2007
- dc.identifier.uri http://hdl.handle.net/10230/822
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 786
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword partially revealing equilibria
- dc.subject.keyword overconfidence
- dc.subject.keyword rational expectations
- dc.subject.keyword information
- dc.subject.keyword Finance and Accounting
- dc.title Overconfidence and market efficiency with heterogeneous agentsca
- dc.type info:eu-repo/semantics/workingPaper