https://scholars.lib.ntu.edu.tw/handle/123456789/414901
標題: | Sophistication, sentiment, and misreaction | 作者: | Chang C.-C. Hsieh P.-F. Wang Y.-H. |
公開日期: | 2015 | 卷: | 50 | 期: | 4 | 起(迄)頁: | 903-928 | 來源出版物: | Journal of Financial and Quantitative Analysis | 摘要: | This study investigates whether the existence or strength of any misreaction in the options market is affected by investor sophistication and investor sentiment. Based on a unique data set of the complete history of all transactions in the Taiwan options market, we find that individual investors exhibit significant misreaction to information and that this misreaction becomes stronger during periods of high investor sentiment. In addition, more active or aggressive individual investors always exhibit misreaction and do not learn from their past mistakes. Our empirical results are robust to alternative measures of investor sentiment and definitions of long- and short-term horizons. ? Michael G. Foster School of Business, University of Washington 2015. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414901 | ISSN: | 00221090 | DOI: | 10.1017/S0022109015000290 |
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。