Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/56829
|
| Title: | 投資人過度自信與風險承擔
Overconfidence, Trader Types and Risk Taking |
| Authors: | 許雅晴
Hsu, Ya-Ching |
| Contributors: | 周冠男
許雅晴
Hsu, Ya-Ching |
| Keywords: | 過度自信
風險承擔
Overconfidence
Risk Taking
Trader Types |
| Date: | 2012 |
| Issue Date: | 2013-02-01 16:50:21 (UTC+8) |
| Abstract: | sing a dataset record account-level trades and orders from Taiwan Futures Exchange, we examine whether the variations of risk taking follows the overconfidence bias for four types of traders, including individuals, foreign institutions, domestic institutions, and foreign institutional traders. Our findings show that when investors are individuals and domestic institutions, the variations of trading activities for overconfident investors are greater than others. However, the results are not significant for foreign institutions and foreign institutional traders. Therefore, we demonstrate that investors take more risk following overconfidence.
Using a dataset record account-level trades and orders from Taiwan Futures Exchange, we examine whether the variations of risk taking follows the overconfidence bias for four types of traders, including individuals, foreign institutions, domestic institutions, and foreign institutional traders. Our findings show that when investors are individuals and domestic institutions, the variations of trading activities for overconfident investors are greater than others. However, the results are not significant for foreign institutions and foreign institutional traders. Therefore, we demonstrate that investors take more risk following overconfidence. |
| Reference: | 1. Barber, B.M., Odean, T., 2002. Online investors: do the slow die first? Review of Financial Studies 15 (2), 455–487.
2. Barber, B.M., Odean, T., 2001. Boys will be boys: Gender, overconfidence, and common stock investment. Quarterly Journal of Economics 116, 261–292.
3. Barberis, N., Shleifer, A., Vishny, R., 1998. A model of investor sentiment. Journal of Financial Economics 49, 307–343.
4. Barberis, N., W. Xiong, 2009. What Drives the Disposition Effect? An Analysis of Long-Standing Preference-Based Explanation. Journal of Finance 64 (2), 751-784.
5. Campbell, WK., Goodie, AS., Foster, JD., 2004. Narcissism, Confidence, and Risk Attitude. Journal of Behavioral Decision Making 17, 297–311.
6. Chou, R.K., Wang, Y.Y., 2011. A test of the different implications of the overconfidence and disposition hypotheses. Journal of Banking & Finance 35 (8), 2037-2046.
7. Chuang, W.I., Susmel, R., 2010. Who is the more overconfident trader? Individual vs. institutional investors. Journal of Banking & Finance 35 (2011), 1626–1644.
8. Coval, J. D., Shumway T., 2005. Do Behavioral Biases Affect Prices? Journal of Finance 60 (1), 1-34.
9. Daniel, K., Hirshleifer, D., Subrahmanyam, A., 1998. Investor psychology and security market under- and overreactions. Journal of Finance 53, 1839– 1885.
10. De Bondt, W., Thaler, R., 1995. Financial decision making in markets and firms: a behavior perspective. In: Jarrow, R.A., Maksimovic, V., Ziemba, W.T. (Eds.), Handbooks in Operations Research and management Science, Finance, vol. 9. North-Holland, Amsterdam, pp. 383–410.
11. Gervais, S., Odean, T., 2001. Learning to be overconfident. Review of Financial Studies 14 (1), 1–27.
12. Glaser, M., Weber, M., 2009. Which past returns affect trading volume? Journal of Financial Markets 12, 1–31.
13. Griffin, J.M., Nardari, F., Stulz, R.M., 2007. Do investors trade more when stocks have performed well? Evidence from 46 countries. Review of Financial Studies 20, 905–951.
14. Grinblatt, M., Keloharju, M., 2009. Sensation seeking, overconfidence, and trading activity. Journal of Finance 64, 549–578.
15. Kim, K.A., Nofsinger, J.R., 2007. The behavior of individual investors in Japan during bull and bear markets. Journal of Behavioral Finance 8 (3), 138–153.
16. Li, J., Tang, Y., 2010. CEO hubris and firm risk taking in China: the moderating role of managerial discretion. Academy of Management Journal 53, 45-68.
17. Liu, Y.J., Tsai, C.L., Wang, M.C., Zhu, N., 2010. Prior consequence and subsequent risk taking: new field evidence from the Taiwan Futures Exchange. Management Science 56, 606–620.
18. Locke, P.,S. C. Mann, 2005, Professional Trader Discipline and Trade Disposition. Journal of Financial Economics 76 (2), 401-444.
19. Malmendier, U., Tate, G., 2005. CEO Overconfidence and Corporate Investment. Journal of Finance 6, 2661–2700.
20. Menkhoff, L., Schmidt, U., Brozynski, T., 2006. The Impact of Experience on Risk Taking, Overconfidence, and Herding of Fund Managers: Complementary Survey Evidence. European Economic Review 50, 1753-1766.
21. O’Connell, P.G., Teo, M., 2009. Institutional investors, past performance and dynamic loss aversion. Journal of Financial and Quantitative Analysis 44, 155– 188.
22. Odean, T., 1998. Volume, volatility, price and profit when all traders are above average. Journal of Finance 53, 1887–1934.
23. Odean, T., 1999. Do investors trade too much? American Economic Review 89 (5), 1279–1298.
24. Statman, M., Thorley, S., Vorkink, K., 2006. Investor overconfidence and trading volume. Review of Financial Studies 19, 1531–1565. |
| Description: | 碩士
國立政治大學
財務管理研究所
99357034
101 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0099357034 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| 703401.pdf | 701Kb | Adobe PDF2 | 334 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
