Sophistication, sentiment, and misreaction

NCU Institutional Repository > 管理學院 > 財務金融學系 > 期刊論文 > Item 987654321/105000

請使用永久網址來引用或連結此文件: https://ir.lib.ncu.edu.tw/handle/987654321/105000

題名:	Sophistication, sentiment, and misreaction
作者:	張傳章;Chang, Chuang-Chang;Hsieh, Pei-Fang;Wang, Yaw-Huei
貢獻者:	管理學院財務金融學系
關鍵詞:	2002-2008;Descriptive statistics;Errors;Financial instruments;Investors;Market prices;Markets;Options markets;Price volatility;Prices;Quantitative analysis;Sophistication;Statistical variance;Stock prices;Transactions
日期:	2015-09-28
上傳時間:	2026-04-23 12:03:30 (UTC+8)
出版者:	Cambridge University Press;New York, USA: Cambridge University Press
摘要:	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. 其他題名： J. Financ. Quant. Anal 出版者： New York, USA: Cambridge University Press 出版日期： 2015-08-01 出處： Journal of financial and quantitative analysis, 2015-08, Vol.50 (4), p.903-928 資源來源： EBSCOhost Business Source Premier 版權： Copyright © Michael G. Foster School of Business, University of Washington 2015 版權： Copyright 2015 Michael G. Foster School of Business, University of Washington 識別號： ISSN: 0022-1090 識別號： ISSN: 1756-6916 識別號： EISSN: 1756-6916 識別號： DOI: 10.1017/S0022109015000290
顯示於類別:	[財務金融學系] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
index.html		0Kb	HTML	21	檢視/開啟

在NCUIR中所有的資料項目都受到原著作權保護.

社群 sharing

資料載入中.....