Investor Overconfidence Bias at the Russian Market

Student: Novikova Anna

Educational Programme: Strategic Corporate Finance (Master)

Year of Graduation: 2016

The research in this work tests the existence of the overconfidence bias in the Russian market. The overconfidence bias is considered to be overreaction of stock price to non-financial news that are more subjective and underreaction to financial news as more objective. The data set includes 5 362 news during 2010-2014 of the 11 largest non-financial companies from MICEX index that are quoted at the Moscow Stock Exchange. The financial and non-financial news were sorted to three types of reaction they give to stock prices: overreaction, underreaction and reversal. The results received show that the stock price reaction to financial and non-financial information during the studied period is absolutely the same (with underreaction prevalence) for the companies in the range and, consequently, the overconfidence bias hypothesis is rejected.

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