Sophistication, Sentiment and Misreaction

ASIAIR > College of Management > Department of Finance > Journal Article > Item 310904400/81309

Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/81309

Title:	Sophistication, Sentiment and Misreaction
Authors:	張傳章;Chang, Chung-Chang;P.F.Hsieh;P.F.Hsieh;Wang, Jeffrey;Wang, Jeffrey
Contributors:	財務金融學系
Keywords:	Options;Misreaction;Model-free implied volatility;Investor sophistication;Investor sentiment.
Date:	2014
Issue Date:	2014-10-08 06:00:21 (UTC+0)
Abstract:	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.
Relation:	JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
Appears in Collections:	[Department of Finance] Journal Article

Files in This Item:

File	Size	Format
index.html	0Kb	HTML	323	View/Open