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Overconfidence, Information Diffusion, and Mispricing Persistence
| Content Provider | Scilit |
|---|---|
| Author | Daniel, Kent D. Klos, Alexander Rottke, Simon |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal We propose a dynamic heterogeneous agents model which generates testable hypotheses about the formation, timing and bursting of asset price bubbles in the presence of short-sale constraints, given a calibration that is consistent with momentum and reversal effects for unconstrained assets. Consistent with the model, all short-sale constrained stocks earn strong negative risk-adjusted returns in the first year after portfolio formation. However, the calibrated model predicts strong differences in the mispricing persistence of past-winners and losers. After one year, the alpha of past-losers is approximately zero (0.23 %/mo, t=0.85), while the alpha for past-winners is -0.75 %/mo (t=-5.82) over the following four years. |
| Related Links | https://pure.uva.nl/ws/files/43104154/SSRN_id3294053.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3294053 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3294053 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-12-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Information Diffusion Short-sale Constraints |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
