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

動量，反轉和基金經理人過度自信

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：本文檢驗了投資者過度自信和自我歸因偏差在解釋動量效應中扮演的角色。我們基于美國股票共同基金經理人特征和交易模式建立了一個的新方法來測度過度自信。相比于被更低程度過度自信的經理人所持有的股票，那些被更高程度過度自信的經理人持有的股票有更大的動量利潤和更強的收益反轉。動量利潤之差既沒有被風險彌補，也沒有被影響動量的股票特征所解釋。我們的結果和Daniel, Hirshleifer, and Subrahmanyam（1998）提出的動量效應源于過度自信和自我歸因偏差引發的過度反應延遲相一緻。

關鍵詞：動量效應，過度自信，自我歸因偏差

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

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/fima.12128/pdf

翻譯：成祺炯