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Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly
16 references·4 citing·31 second hopsampled
Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly (2020)Beta herding through overconfidence: A be…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …The impact of institutional trading on stock prices (1992)The impact of institutional t…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A model of investor sentiment /A model of investor sentiment…Intentional and spurious herding behavior: A sentiment driven analysis (2023)Intentional and spurious herd…U.S. banks’ lending, financial stability, and text-based sentiment analysis (2022)U.S. banks’ lending, financia…Herding and market volatility (2021)Herding and market volatilityCOVID-19 and Herding in Global Equity Markets (2021)COVID-19 and Herding in Globa…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Pricing of Options and Corporate Liabilities (1973)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Prospect Theory: An Analysis of Decision under Risk (1979)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Are Investors Reluctant to Realize Their Losses? (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Common risk factors in the returns on stocks and bonds (1993)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Asset Pricing (2001)Noise Trader Risk in Financial Markets (1990)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

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2,419 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • Cited by

    • 2022U.S. banks’ lending, financial stability, and text-based sentiment analysis36 cited
    • 2021COVID-19 and Herding in Global Equity Markets27 cited
    • 2021Herding and market volatility26 cited
    • 2023Intentional and spurious herding behavior: A sentiment driven analysis26 cited