| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 100 === This study focus on the investor overconfidence related to individual investors and institutional investors under the different information uncertainty levels and puts the self-attribution into the model. Self-attribution is composed of the investor sentiment index and the market return, and the difference of investor sentiment index is on behalf of the expectation of market’s future direction. When investors make the correct prediction on the future market return, investors should be more likely to have a tendency to be overconfident. During the sample period from 1981 to 2010 which was divided into 26 five-year sub-samples. In each five-year sub-sample period, the information uncertainty and institutional holding are the two variables used to divide the sample into 12 portfolios. Finally, to investigate whether there are significant differences in the investor overconfidence in the following situations, we set up five kinds of situations: (1) The prediction towards the market’s future return is correct or not (2) The market is bull-market or not (3) The market return is extremely high or not.
The empirical results show that: (1) when the prediction of market''s future return is correct, most of the portfolios in the weekly data are showing that investor overconfidence is significant; (2) investors in a bull-market are more likely to have a tendency to be overconfident; (3) The investor overconfidence is not significant when the market return is extremely high of its distribution (4) In the different kinds of market circumstances, most of the investors are more likely to have a tendency to be overconfident in the higher information uncertainty portfolio; (5) In the different kinds of market circumstances, there is no conclusion that what kind of portfolio investors are more likely to have a tendency to be overconfident but in most of the circumstances, individual investors are more likely to have a tendency to be overconfident than institutional investors.
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