英文摘要 |
This paper investigates the forecasts made by securities firms for stock index in rising, falling, and oscillating situations separately and integrally to directly measure overconfidence with the Brier score, which is widely utilized in psychology but first employed in behavioral finance. The purposes of this paper are to examine: 1) Whether securities firms are overconfident and, if so, the characteristics of overconfidence; 2) the relationship between overconfidence and the short-term trading volumes of their dealer departments. Our findings are as follows : 1) Overall, the sample firms are overconfident in forecasting index short-term trends; 2) overconfidence shows a cyclically undulating phenomenon while the medium sessions of rising and falling periods exhibit the highest overconfidence for firms and are, therefore, the most difficult ones to predict; 3)overconfident firms do not raise their trading volumes; instead, they buy less while forecasting a rising index, buy more while anticipating a declining index, and sell more while predicting oscillation. These results are inconsistent with our expectations. The notion of previous research that trading volumes would increase when investors are overconfident may be simplified. We suppose that rapid modulation in trading strategies had been adopted, which results from specialization and more information that securities firms possess. Therefore, the best strategy for investors that want to use securities firms’ prediction information would be to adjust investing strategies as price drifts are inconsistent with those predictions. This may help to avoid opposite trading to dealers and to decrease risks. |