Aggressiveness and survival of overconfident traders

Journal of Financial Markets

Volumn 1, Issue 3-4, 1998, Pages 353-383

  Benos, Alexandros V ^a  

^a HEC PARIS   (France)

Author keywords

D82; D84; G14; Overconfidence; Precommitment; Strategic substitutes

Indexed keywords

EID: 0012798622     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(97)00010-4     Document Type: Article

References (35)

1. Admati A.R., Pfleiderer P. A theory of intraday patterns. volume and price variability Review of Financial Studies. 1:1988;3-40.
2. Alpert M., Raiffa H. A progress report on the training of probability assessors. Kahneman D., Slovic P., Tversky A. Judgment Under Uncertainty. Heuristics and Biases:1982;Cambridge University Press, Cambridge.
3. Benos, A.V., 1993. Overconfidence and limited rationality in financial markets. Ph.D. Thesis, Graduate School of Business, Stanford University.
4. Black F. Noise. Journal of Finance. 41:1986;529-543.
5. Blume L., Easley D. Evolution and market behavior. Journal of Economic Theory. 58:1992;9-40.
6. Blume L., Easley D., O'Hara M. Market statistics and technical analysis. The role of volume Journal of Finance. 49:1994;153-181.
7. Brock, W.A., 1988. Nonlinearity and complex dynamics in economics and finance. In: Anderson, P.W., Arrow, K.J., Pines, D., (Eds.), The Economy as an Evolving Complex System, vol. V. Addison-Wesley, Redwood City, CA, pp. 77-79.
8. Brown D.P., Jennings R.H. On technical analysis. Review of Financial Studies. 2:1989;527-551.
9. Caballé, J., Sákovics, J., 1994. Overconfident speculation with imperfect competition. Mimeo, Institut d'Análisi Económica, Barcelona.
10. Canning, D., 1988. Rationality and game theory when players are Turing machines. Research paper TE/88/183, London School of Economics.
11. DeLong J.B., Schleifer A., Summers L.H., Waldmann R.J. Noise trader risk in financial markets. Journal of Political Economy. 98:1990;703-738.
12. DeLong J.B., Schleifer A., Summers L.H., Waldmann R.J. The survival of noise traders. Journal of Business. 64:1991;1-19.
13. Dixit A. A model of duopoly suggesting a theory of entry barriers. Bell Journal of Economics. 10:1979;20-32.
14. Figlewski S. Market 'efficiency' in a market with heterogeneous information. Journal of Political Economy. 86:1978;581-597.
15. Fishman M.J., Hagerty K.M. The incentive to sell financial market information. Journal of Financial Intermediation. 4:1995;95-115.
16. Gilboa I., Schmeidler D. Updating ambiguous beliefs. Journal of Economic Theory. 59:1993;33-49.
17. Griffin D., Tversky A. The weighing of evidence and the determinants of confidence. Cognitive Psychology. 24:1992;411-435.
18. Grossman S.J., Stiglitz J. On the impossibility of informationally efficient markets. American Economic Review. 70:1980;393-408.
19. Grundy B., McNichols M. Trade and the revelation of information through prices and direct disclosure. Review of Financial Studies. 2:1989;495-526.
20. Jaffe J.F., Winkler R.L. Optimal speculation against an efficient market. Journal of Finance. 31:1976;49-61.
21. Keynes J.M. The General Theory of Employment, Interest, and Money. 1964;Harcourt, Brace & World, New York, NY.
22. Kreps D.M. A Course in Microeconomic Theory. 1990;Princeton University Press, Princeton, NJ.
23. Kyle A.S. Continuous auctions and insider trading. Econometrica. 53:1985;1315-1335.
24. Kyle A.S. Informed speculation with imperfect competition. Review of Economic Studies. 56:1989;317-356.
25. Kyle, A.S., Wang, F.A., 1997. Speculation duopoly with agreement to disagree, Journal of Finance, forthcoming.
26. Kurz M. On the structure and diversity of rational beliefs. Economic Theory. 4:1994;877-900.
27. Lichtenstein, S., Fischhoff B., Phillips, L., 1982. Calibration of probabilities: The state of art to 1980. In: Kahneman, D., Slovic P., Tversky, A. (Eds.), Judgment Under Uncertainty: Heuristics and Biases. Cambridge University Press, Cambridge, UK.
28. March J., Shapira Z. Managerial perspectives on risk and risk taking. Management Science. 33:1987;1404-1418.
29. Odean T. Volume, volatility, price and profit when all traders are above average. 1996;Mimeo, Haas School of Business, UC Berkeley.
30. Palomino, F., 1996. Noise trading in small markets. Journal of Finance, 1537-1550.
31. Rubinstein A. Finite automata play the repeated prisoners' dilemma. Journal of Economic Theory. 39:1986;83-96.
32. Schaffer M. Are profit maximisers the best survivors? The Journal of Economic Behaviour and Organization. 12:1989;29-45.
33. Subrahmanyam A. Risk aversion, market liquidity and price efficiency. Review of Financial Studies. 4:1991;417-441.
34. Tversky A., Kahneman D. Judgment under uncertainty. heuristics and biases Science. 185:1974;1124-1131.
35. Vickers J. Delegation and the theory of the firm. The Economic Journal. 95:1985;138-147.