https://scholars.lib.ntu.edu.tw/handle/123456789/414636
標題: | Who is the more overconfident trader? Individual vs. institutional investors | 作者: | WEN-I CHUANG Susmel, Rauli |
關鍵字: | Bull markets | Market gains | Overconfidence | Risk level | Trading behavior | 公開日期: | 1-七月-2011 | 出版社: | ELSEVIER SCIENCE BV | 卷: | 35 | 期: | 7 | 起(迄)頁: | 1626 | 來源出版物: | Journal of Banking and Finance | 摘要: | Guided by the Gervais and Odean (2001) overconfident trading hypothesis, we comprehensively investigate the trading behavior of individual vs. institutional investors in Taiwan in an attempt to identify who is the more overconfident trader. Conditional on the various states of the market, on market volatility, and on the risk level of the securities they trade, we find that both individual and institutional investors trade more aggressively following market gains in bull markets, in up-market states, in up-momentum market states, and in low-volatility market states and that only individual investors trade more in riskier securities following market gains. More importantly, we find that individual investors trade more aggressively following market gains in the three conditional states of the market and in high-volatility market states than institutional investors. Also, individual investors trade more in relatively riskier securities following gains than institutional investors. These findings provide evidence that individual investors are more overconfident traders than institutional investors. © 2010 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414636 | ISSN: | 03784266 | DOI: | https://api.elsevier.com/content/abstract/scopus_id/79955609643 10.1016/j.jbankfin.2010.11.013 |
顯示於: | 財務金融學系 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。