In 1994, West Ham United were playing against Oxford United, when one of their players got injured. Their manager, Harry Redknapp, having used all his substitutes, turned to a West Ham fan in the crowd named Steve Davies, who’d spent most of the first half criticizing striker Lee Chapman. “Do you play as good as you talk?” Redknapp asked. “I’m better than that Chapman,” Davies replied, and so on to the pitch he went.

Davies was likely indulging in what’s known as the “superiority illusion,” a trait whereby we believe we’re above average at whatever we happen to set our mind to. Psychologist David Dunning has studied the effect for years, and argues that the majority of people succumb to the illusion in some form. The statistics bear it out: 65% of Americans believe t...