00Thaler_FM i-xxvi.qxd

detail in section 4.E.) On average, the 1,082,106 stocks that these house- holds buy reliably underperform (p<0.001) the 887, ...

E. Boys Will Be Boys While both men and women exhibit overconfidence, men are generally more overconfident than women (Lundeberg ...

feedback is “unequivocal and immediately available, women do not make lower ability estimates than men. However, when such feedb ...

4.The Internet and the Investor The Internet has brought changes to investing that may bolster the over- confidence of online in ...

trading needs of their employees. Neither of these studies can prove that the Internet causes increased trading, but they do pro ...

Both behavioral theories tested in this chapter offer insights into trading volume. The disposition effect says that investors w ...

References Alpert, Marc, and Howard Raiffa, 1982, A progress report on the training of prob- ability assessors, in Daniel Kahnem ...

Choi, James J., David Laibson, and Andrew Metrick, 2002, How does the internet affect trading, Evidence from Investor Behavior i ...

Harris, Lawrence, 1988, Discussion of Predicting contemporary volume with his- toric volume at differential price levels: Eviden ...

Amos Tversky (eds.), Judgment Under Uncertainty: Heuristics and Biases, Cam- bridge University Press. Locke, Peter, and Steven M ...

Statman, Meir, and Steve Thorley, 1999, Investor overconfidence and trading vol- ume, Working Paper, Santa Clara University. Ste ...

Chapter 14 A UNIFIED THEORY OF UNDERREACTION, MOMENTUM TRADING, AND OVERREACTION IN ASSET MARKETS Harrison Hong and Jeremy C. St ...

In order to impose some discipline on the process, it is useful to articulate the criteria that a new theory should be expected ...

In addition to imposing these two constraints on the information- processing abilities of our traders, we make one further assum ...

Thus a crucial insight is that “early” momentum buyers impose a negative externality on “late” momentum buyers.^4 Ideally, one u ...

we consider the limiting case where tgoes to infinity. This simplifies matters by allowing us to focus on steady-state trading s ...

All the newswatchers have constant absolute risk aversion (CARA) utility with the same risk-aversion parameter, and all live unt ...

We should therefore stress that we view the underreaction result embod- ied in Eq. (1) to be nothing more than a point of depart ...

must be absorbed by the newswatchers. We assume that the newswatchers treat the order flow as an uninformative supply shock. Thi ...

C. The Nature of Equilibrium With all of the assumptions in place, we are now ready to solve the model. The only task is to calc ...