In this paper we show that the disposition effect, a well documented pattern in investor behavior, can be a source of investor overconfidence. We identify a biased learning process through which the disposition effect leads to investor overconfidence. Our experimental results show that investors update beliefs about their own investment ability based on realized gains and losses rather than the overall performance of their portfolio. We formalize this learning process in a theoretical model in which the disposition effect leads to overconfidence, excessive trading, and lower investment performance.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.

MEER OVER NETSPAR


Missie en strategie           •           Netwerk           •           Organisatie           •          Magazine
Netspar Brief            •            Werkprogramma 2019-2023           •           Onderzoekagenda

OVER NETSPAR

Onze partners

B20220412_SPIN_logo+naam_2xPMS_2_voettekst
B20160708_universiteit leiden
B20160708_asr
BPL_Pensioen_logo+pay-off - 1610-1225 v1.1_grijswaarden
B20220329_sph huisartsen
Bekijk al onze partners