Investor overconfidence and trading volume

Review of Financial Studies

Volumn 19, Issue 4, 2006, Pages 1531-1565

  Statman, Meir ^a   Thorley, Steven ^b,c   Vorkink, Keith ^b  

^a SANTA CLARA UNIVERSITY   (United States)

^b BRIGHAM YOUNG UNIVERSITY   (United States)

^c BRIGHAM YOUNG UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33750492555     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhj032     Document Type: Review

References (44)

1. Atkins, A., and E. Dyl, 1997, "Market Structure and Reported Trading Volume: NASDAQ Versus NYSE," Journal of Financial Research, 20, 291-304.
2. Banz, R., 1981, "The Relation Between Return and Market Value of Common Stocks," Journal of Financial Economics, 9, 3-18.
3. Bessembinder, H., K. Chan, and P. Seguin, 1996, "An Empirical Examination of Information, Differences of Opinion, and Trading Activity," Journal of Financial Economics, 40, 105-134.
4. Bessembinder, H., and P. Seguin, 1993, "Price Volatility, Trading Volume, and Market Depth: Evidence from the Futures Markets," Journal of Financial and Quantitative Analysis, 28, 21-39.
5. Black, F., 1986, "Noise," The Journal of Finance, 41, 529-543.
6. Campbell, J., M. Lettau, B. Malkiel, and Y. Xu, 2001, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, 56, 1-43.
7. Chordia, T., R. Roll, and A. Subrahmanyam, 2000, "Market Liquidity and Trading Activity," Journal of Finance, 56, 501-530.
8. Chordia, T., and B. Swaminathan, 2000, "Trading Volume and Cross-Autocorrelation in Stock Returns," The Journal of Finance, 55, 913-935.
9. Cooper, M., 1999, "Filter Rules Based on Price and Volume in Individual Security Overreaction," The Review of Financial Studies, 12, 901-935.
10. Daniel, K., D. Hirshleifer, and A. Subrahmanyam, 1998, "Investor Psychology and Security Market Under- and Over-Reaction," The Journal of Finance, 53, 1839-1885.
11. Dhar, R., and N. Zhu, 2005, "Up Close and Personal: An Individual Level Analysis of the Disposition Effect," forthcoming in Management Science.
12. Ferris, S., R. Haugen, and A. Makhija, 1988, "Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect," The Journal of Finance, 43, 677-697.
13. Fama, E., and K. French, 1993, "Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics, 33, 3-56.
14. French, K., G. Schwert, and R. Stambaugh, 1987, "Expected Stock Returns and Volatility," Journal of Financial Economics, 17, 5-26.
15. Gallant, R., P. Rossi, and G. Tauchen, 1992, "Stock Prices and Volume," The Review of Financial Studies, 5, 199-242.
16. Gervais, S., R. Kaniel, and D. Mingelgrin, 2001, "The High-Volume Return Premium," The Journal of Finance, 56, 877-919.
17. Gervais, S., and T. Odean, 2001, "Learning to be Overconfident," The Review of Financial Studies, 14, 1-27.
18. Glaser, M., and M. Weber, 2004, "Overconfidence and Trading Volume," Center for Economic Policy, working paper at the University of Mannheim.
19. Goetzmann, W., and M. Massimo, 2003, "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale ICF Working Paper No. 03-01, Yale University.
20. Gompers, P., and A. Metrick, 2001, "Institutional Investors and Equity Prices," The Quarterly Journal of Economics, 116, 229-259.
21. Grinblatt, M., and B. Han, 2005, "Prospect Theory, Mental Accounting, and Momentum," forthcoming in Journal of Financial Economics.
22. Hamilton, J., 1994, Time Series Analysis, Princeton University Press, Princeton, NJ.
23. Harris, M., and A. Raviv, 1993, "Differences of Opinion make a Horse Race," The Review of Financial Studies, 6, 473-506.
24. Heath, C., S. Huddart, and M. Lang, 1999, "Psychological Factors and Stock Option Exercise," Quarterly Journal of Economics, 114, 601-627.
25. Hodrick, R. J., and E. C. Prescott, 1997, "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit, and Banking, 29, 1-16.
26. Jegadeesh, N., and S. Titman, 1993, "Returns to Buying Winner and Selling Losers; Implications for Stock Market Efficiency," The Journal of Finance, 48, 65-91.
27. Kahneman, D., and A. Tversky, 1979, "Prospect Theory: An Analysis of Decision Under Risk," Econometrica, 47, 263-291.
28. Karpoff, J., 1987, "The Relation Between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, 22, 109-126.
29. Lakonishok, J., and S. Smidt, 1986, "Volume for Winners and Losers: Taxation and Other Motives for Trading," The Journal of Finance, 41, 951-974.
30. Lee, C., and C. Swaminathan, 2000, "Price Momentum and Trading Volume," The Journal of Finance, 55, 2017-2069.
31. Llorente, G., R. Michaely, G. Saar, and J. Wang, 2002, "Dynamic Volume-Return Relation of Individual Stocks," The Review of Financial Studies, 15, 1005-1047.
32. Lo, A., and J. Wang, 2000, "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," The Review of Financial Studies, 13, 257-300.
33. Lutkepohl, H., 1991, Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin.
34. Odean, T., 1998a, "Volume, Volatility, Price, and Profit when all Traders are Above Average," Journal of Finance, 53, 1887-1934.
35. Odean, T., 1998b, "Are Investors Reluctant to Realize Losses?," Journal of Finance, 53, 1775-1798.
36. Odean, T., 1999, "Do Investors Trade Too Much?," American Economic Review, 89, 1279-1298.
37. Phillips, P. C. B., and P. Perron, 1988, "Testing for a Unit Root in Time Series Regression," Biometrika, 75, 335-346.
38. Ranguelova, E., 2001, "Disposition Effect and Firm Size: New Evidence on Individual Trading Activity," working paper, Harvard University.
39. Runkle, D., 1987, "Vector Autoregressions and Reality," Journal of Business and Economic Statistics, 5, 437-442.
40. Reinganum, M., 1983, "The Anomalous Stock Market Behavior of Small Firms in January: Empirical Tests for Tax-Loss Effects," Journal of Financial Economics, 12, 80-104.
41. Smidt, S., 1990, "Long-Run Trends in Equity Turnover," The Journal of Portfolio Management, Fall, 66-73.
42. Shalen, C., 1993, "Volume, Volatility, and the Dispersion of Beliefs," Review of Financial Studies, 6, 405-434.
43. Shefrin, H., and M. Statman, 1985, "The Disposition to Sell Winners too Early and Ride Losers too Long: Theory and Evidence," Journal of Finance, 40, 777-791.
44. Stoll, H., and R. Whaley, 1987, "Program Trading and Expiration Day Effects," Financial Analysts Journal, 43, 16-28.