过度自信的做市商在非对称信息市场中的交易策略以及均衡分析 (过度自信专题之一,本人原创).pdfVIP

Overconfidence, Public Disclosure and Long-lived Information Deqing Zhou∗ aDepartment of Business Statistics and Econometrics, Guanghua School of Management, Peking University, 100871, China b Center for Statistical Science, Peking University, China c School of Finance, Central University of Finance and Economics, 100081, China Abstract We analyze a strategic trading model where an overconfident insider is required to pub- licly disclose his trades after the fact. We find the more confident insider is more concerned about the effect the initial trading has on the future. Keywords: Insider; Market makers; Overconfidence; Public disclosure; JEL classification: C72, D82, G14 1. Introduction Using an extension of the two periods frameworks of Kyle (1985) and Huddart et al. (2001), this work characterizes the optimal behavior of an irrationally confident insider who possesses a long-lived noisy private signal concerning the fundamental value of a risky asset under the mandatory disclosure requirement. Kyle (1985) examines the equilibrium strategy of a rational insider with no public disclosure. Huddart et al. (2001) extend Kyle (1985) to allow for public disclosure, but like Kyle (1985), they also assume the insider to be rational. 1 Abundant evidences show, however, that most people most of the time are overconfident ∗Corresponding address: Department of Business Statistics and Econometrics, Guanghua School of Management, Peking University, Beijing 100871, China. Tel.:+86 Email address: zhoude- qing@pku.edu.cn The author is supported by the China’s Postdoctoral Science Foundation (Grant No. 20110490240). 1The Huddart et al. (2001) model has been further extended. For example, Zhang (2004) examines the case when the rational insider is risk averse, and Cao and Ma (2000) consider the case of competition among rational insiders.