https://scholars.lib.ntu.edu.tw/handle/123456789/631842
標題: | Disposition, Confidence, and Profits and Losses: Evidence from the Taiwan Warrant Markets | 作者: | Chang, Matthew C. Hung, Jui Cheng CHUNG-FERN WU |
關鍵字: | Confidence | Disposition | Investor Types | Profits and Losses | Warrant Characteristics | Warrant Markets | 公開日期: | 三月-2023 | 出版社: | Tamkang University | 卷: | 34 | 期: | 1 | 起(迄)頁: | 23-50 | 來源出版物: | International Journal of Information and Management Sciences | 摘要: | In this paper, we first examine the extent that a warrant’s characteristics, i.e., size of the underlying stock, effective leverage, time value, and implied volatility, affect behavioral measures, i.e., coefficients of disposition and coefficients of confidence, of two types of investors, i.e., individual investors and dealers, in the Taiwan warrant markets. Second, we explore the impacts of coefficients of disposition and coefficients of confidence on profits and losses (PL) by sepa-rate groups of investors. Finally, we find that cross-market spillover effects on levels of disposition coefficients and levels of confidence of individual investors from spot markets are especially important to contribute to PL of individual investors and dealers. Accordingly, our novel discoveries shed some light on better understanding of investors’ behavioral biases. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/631842 | ISSN: | 10171819 | DOI: | 10.6186/IJIMS.202303_34(1).0002 |
顯示於: | 會計學系 |
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