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Overconfidence and US stock market returns

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  • Apergis, Nicholas

Abstract

The paper aims to explore the role of overconfidence of US individuals of the personal versus the public risk against Covid-19 on excess stock returns, over the period May 2020-September 2020. Kernel canonical correlation suggests that this sentiment gap exerts a positive effect on excess returns, with high-income individuals displaying a stronger impact.

Suggested Citation

  • Apergis, Nicholas, 2022. "Overconfidence and US stock market returns," Finance Research Letters, Elsevier, vol. 45(C).
    • Handle: RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002580
    DOI: 10.1016/j.frl.2021.102186
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    Cited by:

    1. Nobanee, Haitham & Azmi, Wajahat & Chakraborty, Dipanwita & Hamill, Philip Anthony & Nghiem, Xuan-Hoa, 2023. "Can we breathe a sigh of relief now? The impact of First Republic Bank takeover by JP Morgan on the US equity markets," Finance Research Letters, Elsevier, vol. 58(PB).
    2. Esra Alp Coşkun & Hakan Kahyaoglu & Chi Keung Marco Lau, 2023. "Which return regime induces overconfidence behavior? Artificial intelligence and a nonlinear approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-34, December.
    3. Abdullah A. Aljughaiman & Kaouther E. Chebbi, 2022. "Do Investor Overconfidence and Loss Aversion Drive Saudi Firm Market Performance? The Moderating Effect of Corporate Governance," Sustainability, MDPI, vol. 14(16), pages 1-15, August.
    4. Boubaker, Sabri & Goodell, John W. & Kumar, Satish & Sureka, Riya, 2023. "COVID-19 and finance scholarship: A systematic and bibliometric analysis," International Review of Financial Analysis, Elsevier, vol. 85(C).
    5. del Río, Cristina & Ferrer, Elena & López-Arceiz, Francisco J., 2024. "Analyst optimism and market sentiment: Evidence from European corporate sustainability reporters," Research in International Business and Finance, Elsevier, vol. 69(C).

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    More about this item

    Keywords

    Overconfidence; Excess stock prices; Kernel canonical correlation;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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