管理者过度自信对现金持有量的影响——来自我国上市公司的经验证据

本文选取2006—2010年沪深两市的公司为样本,实证分析了高管人员过度自信与现金持有决策的关系。结果发现,管理者的自信程度与现金持有显著正相关,证明管理者的过度自信是影响企业现金持有行为的一个重要因素,丰富和拓展了企业现金持有影响因素的研究。     

Endogenous overconfidence in managerial forecasts

We examine whether attribution bias leads managers who have experienced short-term forecasting success to become overconfident in their ability to forecast future earnings. Importantly, this form of overconfidence is endogenous and dynamic. We also examine the effect of this cognitive bias on the managerial credibility. Consistent with the existence of dynamic overconfidence, managers who have predicted earnings accurately in the previous four quarters are less accurate in their subsequent earnings predictions. These managers also display greater divergence from the analyst consensus and are more precise. Lastly, investors and analysts react less strongly to forecasts issued by overconfident managers.     

Why inexperienced investors do not learn: They do not know their past portfolio performance

Recently, researchers have gone a step further from just documenting biases of individual investors. More and more studies analyze how experience affects decisions and whether biases are eliminated by trading experience and learning. A necessary condition to learn is that investors actually know what happened in the past and that the views of the past are not biased. We contribute to the above mentioned literature by showing why learning and experience go hand in hand. Inexperienced investors are not able to give a reasonable self-assessment of their own past realized stock portfolio performance which impedes investors' learning ability. Based on the answers of 215 online broker investors to an Internet questionnaire, we analyze whether investors are able to correctly estimate their own realized stock portfolio performance. We show that investors are hardly able to give a correct estimate of their own past realized stock portfolio performance and that experienced investors are better able to do so. In general, we can conclude that we find evidence that investor experience lessens the simple mathematical error of estimating portfolio returns, but seems not to influence their “behavioral” mistakes pertaining to how good (in absolute sense or relative to other investors) they are.     

过度自信、后悔厌恶与收益率分布非正态特征

过度自信与后悔厌恶是投资者普遍存在的两种心理偏差.通过过度自信与后悔厌恶对证券市场收益率分布的影响的定性分析可知:这两种心理偏差会造成证券市场收益率分布左偏,而且与正态分布相比较存在失峰厚尾现象;特别是随着时间单位的增大,收益率分布的尖峰厚尾呈递减的趋势.利用深圳成分指数和上海综合指数进行的实证研究发现,中国股票市场的收益率分布存在上述现象.     

管理者过度自信与盈余管理的实证研究

从行为经济学的视角对我国上市公司高管人员过度自信的现实表现及与管理者盈余管理行为的关系进行了理论分析和实证检验.研究表明:在实施股权激励的上市公司中,相对短期过度自信而言,管理者更多地表现为长期过度自信;短期过度自信的管理者倾向于正向盈余管理,而长期过度自信的管理者则更倾向于负向盈余管理.     

Overconfidence and Market Efficiency with Heterogeneous Agents

We study financial markets in which both rational and overconfident agents coexist and make endogenous information acquisition decisions. We demonstrate the following irrelevance result when a positive fraction of rational agents (endogenously) decides to become informed in equilibrium, prices are set as if all investors were rational, and as a consequence the overconfidence bias does not affect informational efficiency, price volatility, rational traders’ expected profits or their welfare. Intuitively, as overconfidence goes up, so does price informativeness, which makes rational agents cut their information acquisition activities, effectively undoing the standard effect of more aggressive trading by the overconfident. The main intuition of the paper, if not the irrelevance result, is shown to be robust to different model specifications.We would like to thank Alberto Bisin, Xavier Freixas, Ken French, Moshe Kim, Jose Marín, and Terrance Odean for comments on an early draft, as well as an anonymous referee and seminar participants at HEC Geneva, the 2004 EFA meetings, the 2004 European Econometric Society meetings and the 2005 SAET conference. Diego García and Branko Urošević gratefully acknowledge financial support by SECCF (Belgrade).     

基于过度自信理论的公司购并行为分析

基于过度自信理论，通过一简单模型对高管人员的过度自信如何影响公司购并行为和购并效率进行分析表明，高管人员的过度自信可部分地解释中国上市公司购并事件的频发以及购并效率的低下之原因。     

机构投资者与个人投资者过度自信行为比较研究

本文首先基于我国A股市场机构股票持有数据,构建了不同的投资组合来区分机构投资者与个人投资者的投资行为。然后运用Granger因果检验与SUR估计,探讨了我国证券市场机构投资者与个人投资者是否具有过度自信行为,结果表明无论是机构投资者还是个人投资者在不同市场状态下都存在交易过多的过度自信认知偏差。并且我国证券市场上个人投资者与机构投资者的过度自信程度在不同的市场状态下并无明显差异。最后提出了相关政策建议。     

Self-attribution of overconfident CEOs and asymmetric investment-cash flow sensitivity

In this paper, we examine whether overconfidence coupled with a self-attribution bias affects the investment decisions of top corporate managers. First, overconfidence of chief executive officers appears to lead to the downward rigidity of investment-cash flow sensitivity. Additionally, overconfidence intensified by managerial self-attribution exacerbates the stickiness of investment-cash flow sensitivity. These results hold in both financially unconstrained and constrained firms with stronger results in the former. Overall, our findings are in line with the literature that lends support to the excessive investment commitment of overconfident managers.     

网络能力、知识整合与商业模式创新：创业者过度自信的调节作用

网络能力是商业模式创新的重要驱动力。然而，既有研究多聚焦于商业模式创新过程和效果，对其前因探讨不足。基于动态能力理论、社会网络理论与社会认知理论，构建网络能力影响商业模式创新的核心理论框架，探讨知识整合中介效应以及创业者过度自信的调节效应。运用259家创业企业调查数据进行分析，研究发现：内外部网络能力均对商业模式创新具有显著正向影响；知识整合在内外部网络能力与商业模式创新间均起部分中介作用；过度自信在内外部网络能力与知识整合间均起负向调节作用。研究结论可为创业者认知管理和企业商业模式创新路径选择提供理论支撑和实践启示。