Financial Management, Volume 45, Issue 3, pages 609–639, Fall 2016.

动量，反转和基金经理人过度自信

作者：Biljana N. Adebambo (University of San Diego in San Diego-School of Business), Xuemin (Sterling), Yan (University of Missouri in Columbia- Robert J. Trulaske, Sr. College of Business)

摘要：本文检验了投资者过度自信和自我归因偏差在解释动量效应中扮演的角色。我们基于美国股票共同基金经理人特征和交易模式建立了一个的新方法来测度过度自信。相比于被更低程度过度自信的经理人所持有的股票，那些被更高程度过度自信的经理人持有的股票有更大的动量利润和更强的收益反转。动量利润之差既没有被风险弥补，也没有被影响动量的股票特征所解释。我们的结果和Daniel, Hirshleifer, and Subrahmanyam（1998）提出的动量效应源于过度自信和自我归因偏差引发的过度反应延迟相一致。

关键词：动量效应，过度自信，自我归因偏差

Momentum, Reversals, and Fund Manager Overconfidence

Biljana N. Adebambo (University of San Diego in San Diego-School of Business), Xuemin (Sterling), Yan (University of Missouri in Columbia- Robert J. Trulaske, Sr. College of Business)

Abstract: This paper examines the role of investor overconfidence and self-attribution bias in explaining the momentum effect. We develop a novel measure of overconfidence based on characteristics and trading patterns of US equity mutual fund managers. Stocks held by more overconfident managers experience greater momentum profits and stronger return reversals than stocks held by less overconfident managers. The difference in momentum profits is not compensation for risk nor is it attributable to stock characteristics that influence momentum. Our results are consistent with Daniel, Hirshleifer, and Subrahmanyam (1998) who argue that momentum results from delayed overreaction caused by overconfidence and biased self-attribution.

Keywords: momentum effect, overconfidence, self-attribution bias

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/fima.12128/pdf

翻译：成祺炯