How value-glamour investors use financial information: UK evidence of investors' confirmation bias

摘要

This paper investigates how investors in value and glamour stocks use financial information. The empirical evidence presented is in line with a model of investors' asymmetric reaction to good and bad news due to confirmation bias. Pessimistic value investors typically under-react to good financial information, while they process bad information rationally or over-confidently. On the contrary, glamour investors are often too optimistic to timely update prices following bad financial information, while they are likely to fairly price or even over-react when receiving good information.