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| Tekijä: | Glaser, M. Weber, M. |
| Otsikko: | September 11 and stock return expectations of individual investors |
| Lehti: | Review of finance
2005 : VOL 9:2, p. 243-279 |
| Asiasana: | Stock markets Crises Investment Germany USA |
| Kieli: | eng |
| Tiivistelmä: | In this study, unique data is gathered and analyzed on how an unprecedented crisis such as the September 11 tragedy (hereafter as: Sept-11) influences expected returns (here as: rets.) and volatility (here as: vol-y.) forecasts (here as: vol-y f-cs.) of individual investors (here as: invs). Data was gathered asking through e-mail a randomly selected group of individual invs. with accounts at a German online broker to answer an Internet questionnaire at the beginning of August 2001. Based on the answers to questions concerning stock market predictions, it is found that return forecasts of the invs. in the study's sample are significantly higher after Sept-11, suggesting a belief in mean reversion. The results show that invs. interpret the large drop in share prices during the 10 day period after Sept-11 mainly as temporary rather than permanent. After the terror attacks, vol-y f-cs. are higher than before Sept-11. In two out of four cases, historical vol-ys. are over-estimated. Therefore, invs. are not generally overconfident in the way that they underestimate the variance of stock returns. |
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