Sophistication, Sentiment and Misreaction

ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 > Item 310904400/81309

請使用永久網址來引用或連結此文件: http://asiair.asia.edu.tw/ir/handle/310904400/81309

題名:	Sophistication, Sentiment and Misreaction
作者:	張傳章;Chang, Chung-Chang;P.F.Hsieh;P.F.Hsieh;Wang, Jeffrey;Wang, Jeffrey
貢獻者:	財務金融學系
關鍵詞:	Options;Misreaction;Model-free implied volatility;Investor sophistication;Investor sentiment.
日期:	2014
上傳時間:	2014-10-08 06:00:21 (UTC+0)
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.
關聯:	JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
顯示於類別:	[財務金融學系] 期刊論文

文件中的檔案:

檔案	大小	格式	瀏覽次數
index.html	0Kb	HTML	324	檢視/開啟

在ASIAIR中所有的資料項目都受到原著作權保護.