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- Title
Excesso de Confiança, Turnover e Retorno: Evidência no Mercado Brasileiro.
- Authors
Prates, Wlademir Ribeiro; Santos, André Alves Portela; da Costa Jr., Newton Carneiro Affonso
- Abstract
Finance literature has shown evidence of a positive relationship between trading volume and stock returns. This relationship can be explained by the concept of overconfidence within the behavioral finance literature, which postulates that when positive returns occur, investors tend to trade more often, driven by market overconfidence. This study analyzes how the relationship between return and volume (measured by turnover) based on the methodology of Statman et al. (2006) occurs. All stocks traded at BMFBovespa along the period January 1995 to December 2012 were included in the sample. The main result of this paper emphasizes the existence of a positive relationship between turnover and lagged return only for stocks with small market capitalization. An explanation for this results has been also explored and is related to the presence of institutional investors in small caps, thus corroborating de hypothesis that professional investors tend to be less biased towards overconfidence.
- Publication
Brazilian Review of Finance / Revista Brasileira de Finanças, 2014, Vol 12, Issue 3, p351
- ISSN
1679-0731
- Publication type
Article
- DOI
10.12660/rbfin.v12n3.2014.17829