https://scholars.lib.ntu.edu.tw/handle/123456789/608005
標題: | Market timing skill and trading activity in Taiwan’s retail-dominated futures market | 作者: | SHEAN-BII CHIU Hsu J Lai H.-K Wool P. |
關鍵字: | Derivatives;Emerging markets;Futures and forward contracts;Manager selection;Performance measurement | 公開日期: | 2021 | 卷: | 47 | 期: | 7 | 來源出版物: | Journal of Portfolio Management | 摘要: | There has been substantial research on performance persistence among professional and retail investors. These studies typically employ infrequently sampled data on portfolio holdings and returns, making it difficult to distinguish skill from luck, let alone differentiate between superior security selection and market timing ability. Based on 10 years of comprehensive account-level data comprising 61 million trades made by investors in Taiwan’s retail-dominated futures market, the authors confirm that institutions consistently earn alpha at the expense of behaviorally biased individual traders. The authors introduce an approach for separating overconfident traders from skilled market timers. This novel skill measure interacts prior performance with past trading volume. Investors identified as highly skilled subsequently earn a net-of-cost average annual return of 115%. The authors’ results contribute in two ways: (1) introducing a new measure for assessing high-frequency trading skill and (2) validating the intuition that significant alpha can be harvested by active investors in retail-dominated markets. ? 2021 Parlar Scientific Publications. All rights reserved. |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85110259290&doi=10.3905%2fJPM.2021.1.249&partnerID=40&md5=dc9ddccd0f62cf619ff86c3c4c0fecbf https://scholars.lib.ntu.edu.tw/handle/123456789/608005 |
ISSN: | 00954918 | DOI: | 10.3905/JPM.2021.1.249 |
顯示於: | 財務金融學系 |
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