کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5083730 | 1477815 | 2013 | 23 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Irrational confidence, imperfect and long-lived information Irrational confidence, imperfect and long-lived information](/preview/png/5083730.png)
We analyze a dynamic framework where an informed agent overestimates or underestimates the precision of his noisy private signal. We investigate the effect of the insider's belief on equilibrium results such as the price informativeness, the liquidity cost, the trading strategy and the expected trading volume. Interestingly, we find that irrationality can yield contrarian trading in the sense that the two successive order imbalances are negatively correlated. Thus, irrationality, distinguished from dissimulation and manipulation, may underlie insiders' trading decisions.
⺠We model an insider who might be overconfident. ⺠We examine impacts of the confidence degree on equilibrium. ⺠The market efficiency is improved when the insider is overconfident. ⺠A contrarian trading pattern arises due to the insider's irrationality.
Journal: International Review of Economics & Finance - Volume 27, June 2013, Pages 383-405