Sophistication, sentiment, and misreaction

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/105000

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/105000

Title:	Sophistication, sentiment, and misreaction
Authors:	張傳章;Chang, Chuang-Chang;Hsieh, Pei-Fang;Wang, Yaw-Huei
Contributors:	管理學院財務金融學系
Keywords:	2002-2008;Descriptive statistics;Errors;Financial instruments;Investors;Market prices;Markets;Options markets;Price volatility;Prices;Quantitative analysis;Sophistication;Statistical variance;Stock prices;Transactions
Date:	2015-09-28
Issue Date:	2026-04-23 12:03:30 (UTC+8)
Publisher:	Cambridge University Press;New York, USA: Cambridge University Press
Abstract:	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
Appears in Collections:	[Department of Finance] journal & Dissertation

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