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Overconfidence, public disclosure and long-lived information

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  • Zhou, Deqing

Abstract

We analyze a strategic trading model where an overconfident insider is required to publicly disclose his trades after the fact. We find the more confident insider is more concerned about the effect the initial trading has on the future.

Suggested Citation

  • Zhou, Deqing, 2012. "Overconfidence, public disclosure and long-lived information," Economics Letters, Elsevier, vol. 116(3), pages 626-630.
    • Handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:626-630
    DOI: 10.1016/j.econlet.2012.06.022
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    References listed on IDEAS

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    1. Zhou, Deqing, 2011. "Overconfidence on public information," Economics Letters, Elsevier, vol. 112(3), pages 239-242, September.
    2. Markus Glaser & Martin Weber, 2007. "Overconfidence and trading volume," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 32(1), pages 1-36, June.
    3. Zhang, Wei David, 2004. "Risk aversion, public disclosure, and long-lived information," Economics Letters, Elsevier, vol. 85(3), pages 327-334, December.
    4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    5. Huddart, Steven & Hughes, John S & Levine, Carolyn B, 2001. "Public Disclosure and Dissimulation of Insider Trades," Econometrica, Econometric Society, vol. 69(3), pages 665-681, May.
    6. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    7. Albert Wang, F., 1998. "Strategic trading, asymmetric information and heterogeneous prior beliefs," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 321-352, September.
    8. Covrig, Vicentiu & Ng, Lilian, 2004. "Volume autocorrelation, information, and investor trading," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2155-2174, September.
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    Citations

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    Cited by:

    1. Zhou, Deqing, 2013. "Irrational confidence, imperfect and long-lived information," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 383-405.
    2. Lyudmila A. Glik & Oleg L. Kritski, 2014. "Finding informed traders in futures and their inderlying assets in intraday trading," Papers 1402.6583, arXiv.org.
    3. Zhou, Deqing, 2015. "The virtue of overconfidence when you are not perfectly informed," Economic Modelling, Elsevier, vol. 47(C), pages 105-110.
    4. Gong, Fuzhou & Liu, Hong, 2016. "Asymmetric information, heterogeneous prior beliefs, and public information," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 100-120.

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    More about this item

    Keywords

    Insider; Market makers; Overconfidence; Public disclosure;
    All these keywords.

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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