The conclusions of this simulation are summarized as follows:Result 1.In the biased self-attribution setting of Subsection B, if the
true share value θ=0 and the initial private signal s 1 =1, then with
sufficient attribution bias the average price at first rises and then
gradually declines. This contrasts with a steadily declining price path
if there is no attribution bias. In the biased self-attribution setting,
average self-perceived precision also initially rises and then declines.Result 2.In the biased self-attribution setting of Subsection B, short-
lag autocorrelations (correlating single-period price changes with
single-period price changes) are positive and long-lag autocorrela-
tions are negative.Result 3.In the biased self-attribution setting of Subsection B, short-
term autocorrelations are positive and long-horizon autocorrelations
are negative.Recent research indicates strong and consistent evidence of momentum in
the United States and in European countries, but weak and insignificant evi-
dence of momentum in Japan (see, e.g., Haugen and Baker 1996, and Daniel,
Titman, and Wei 2001). There is corresponding evidence of a difference in
484 DANIEL, HIRSHLEIFER, SUBRAHMANYAM
Figure 13.3. Average price-change autocorrelations. This figure presents the uncon-
ditional average autocorrelations (at lags between 1 period and 119 periods), calcu-
lated using the simulation described in section 3.B.3.