Skip Navigation


RFS Advance Access originally published online on March 2, 2006
Review of Financial Studies 2006 19(4):1531-1565; doi:10.1093/rfs/hhj032
This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
19/4/1531    most recent
hhj032v1
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (12)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Statman, M.
Right arrow Articles by Vorkink, K.
Right arrow Search for Related Content
Related Collections
Right arrow G11 - Portfolio Choice; Investment Decisions
Right arrow G12 - Asset Pricing; Trading volume; Bond Interest Rates
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© The Author 2006. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please email: journals.permissions@oxfordjournals.org.

Investor Overconfidence and Trading Volume

Meir Statman
Leavey School of Business, Santa Clara University

Steven Thorley
Marriott School of Management, Brigham Young University

Keith Vorkink
Marriott School of Management, Brigham Young University

Address correspondence to Steven Thorley, 632 TNRB, BYU, Provo, UT 84602-3133, or email: steven.thorley{at}byu.edu.

The proposition that investors are overconfident about their valuation and trading skills can explain high observed trading volume. With biased self-attribution, the level of investor overconfidence and thus trading volume varies with past returns. We test the trading volume predictions of formal overconfidence models and find that share turnover is positively related to lagged returns for many months. The relationship holds for both market-wide and individual security turnover, which we interpret as evidence of investor overconfidence and the disposition effect, respectively. Security volume is more responsive to market return shocks than to security return shocks, and both relationships are more pronounced in small-cap stocks and in earlier periods where individual investors hold a greater proportion of shares. (JEL G11, G12)


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 Review of FinanceHome page
R. Deaves, E. Luders, and G. Y. Luo
An Experimental Test of the Impact of Overconfidence and Gender on Trading Activity
Review of Finance, July 1, 2009; 13(3): 555 - 575.
[Abstract] [Full Text] [PDF]

Home page
 Review of FinanceHome page
M. Glaser, T. Langer, J. Reynders, and M. Weber
Framing Effects in Stock Market Forecasts: The Difference Between Asking for Prices and Asking for Returns
Review of Finance, April 23, 2007; (2007) rfm008v2.
[Abstract] [Full Text] [PDF]


Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.