Does it payoff to be overconfident? Evidence from an emerging market – a quantile regression approach

Filip-Mihai Toma, Cosmin-Octavian Cepoi and Bogdan Negrea

Finance Research Letters, 2021, vol. 38, issue C

Abstract: •Using an emerging market dataset, we find that overconfidence has a positive influence on individual returns of Romanian investors;.•An overconfidence index is constructed through principal component analysis using three variables: trading frequency, volume and portfolio diversification;.•Overconfidence has a larger positive effect on higher returns for shorter investment horizons;.•Marginal benefits of overconfident behavior diminish as the holding period increases.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319303010

DOI: 10.1016/j.frl.2020.101480

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