Overconfidence, Arbitrage, and Equilibrium Asset Pricing

By Kent D. Daniel, David A. Hirshleifer, Avanidhar Subrahmanyam. 2001

986 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2786b6ce60e40a26cc1802e7370bb312c7f201c0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Quantifying Cognitive Biases in Analyst Earnings Forecasts (2006, positive): “Other papers identify different circumstances under which one would observe either herding or exaggeration (Ehrbeck and Waldmann, 1996; Ottaviani and Sorensen, 2001). Empirical evidence is also mixed. Lamont (1995) and Hong, Kubik and Solomon (2000) find a relationship between job tenure and herding”
Who Gambles in the Stock Market (2009, positive): “Further, higher levels of valuation uncertainty (e.g., higher levels of intangible assets) associated with low priced stocks could induce greater overconfidence (e.g., Daniel, Hirshleifer, and Subrahmanyam (1998, 2001), Hirshleifer (2001), Kumar (2008)).”
Is Size Dead? A Review of the Size Effect in Equity Returns (2011, neutral): “3 Daniel et al. (2005) point out that even in models with risk neutral investors (i.”
A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns (2010, methodology): “In the model of Daniel, Hirshleifer, and Subrahmanyam (2001), a set of identical risk-averse individuals are each endowed with shares of N + K risky securities and a risk-free consumption claim with terminal (date 2) payoff of 1.”
Can Facebook Predict Stock Market Activity (2013, neutral): “…and show that noise trader sentiment can persist in financial markets and influence asset prices (e.g. Lee et al., 1991, Barberis et al., 1998; Daniel et al., 2001; Tetlock, 2007).1 Thus the relevant question is not any longer whether sentiment has an effect on stock prices, but rather how to…”
Style investing, comovement and return predictability. (2013, neutral): “Examples of the latter include Barberis, Shleifer, and Vishny (1998), Hong and Stein (1999), and Daniel, Hirshleifer, and Subrahmanyam (2001) in which momentum arises from the price impact of traders who suffer from a particular behavioral bias (such as overconfidence and representativeness).”
Financial Markets Where Traders Neglect the Informational Content of Prices (2018, neutral): “[9] Daniel, K.”
Who Are the Value and Growth Investors (2017, positive): “The underperformance of growth stocks relative to value stocks may also be evidence that investors are irrationally exuberant about the prospects of innovative glamour companies (Daniel, Hirshleifer, and Subrahmanyam 2001, DeBondt and Thaler 1985, La Porta, Lakonishok, Shleifer, and Vishny 1997).”
Overconfidence in Psychology and Finance - An Interdisciplinary Literature Review (2008, positive): “Daniel et al. (2001) present an asset pricing model with overconfidence causing a mispricing of securities in equilibrium.”