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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/58931


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    题名: 先前損失與後續交易行為: 以臺灣期貨市場為例
    Prior Losses and subsequent trading behavior of different types of traders: Evidence from the Taiwan Futures Exchange
    作者: 李家齊
    贡献者: 周冠男
    李家齊
    关键词: hedonic editing
    日期: 2012
    上传时间: 2013-07-22 11:12:53 (UTC+8)
    摘要: Using a dataset from TAIFEX, Taiwan Futures Exchange, we conduct an account-level analysis of the relation between prior loss consequences and subsequent trading behaviors. We apply two proxy variables of trading activities into our analysis, which are trade size and number of trades. We find that the degree of prior losses has a great effect upon trade size and trading number on the next trading day. This finding proves to the evidence that hedonic editing hypothesis sometimes fails and there are some limitations for it. We further examine for different trader types and the empirical results show that individual investors exhibit the strongest bias while other trader types do uncertainly. We also find the behavioral bias is a persistent phenomenon for individual investors. Overall, our study suggests that prior loss degree has a significant influence on investors’ following trading behaviors.
    參考文獻: 1. Barber, B. M., and Odean, T., 2000. Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance 55, 773-806.
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    3. Barber, B. M., Lee, Y. T., Liu, Y. J., and Odean, T., 2008. Just how much do individual investors lose by trading. Review of Financial Studies 22, 609-632.
    4. Chou, R. K., Wang, Y. Y., and Yan, X, 2013. Trader types and consequences of the disposition effect. Working paper, National Chengchi University.
    5. Kahneman, D., and Tversky, A., 1979. Prospect theory: An analysis of decision under risk. Econometrica 47, 263-291.
    6. Linville, P. W., and Fischer, G. W., 1991. Preferences for separating or combining events. Journal of Personality and Social Psychology 60(1), 5-23.
    7. Locke, P. R., and Mann, S. C., 2005. Professional trader discipline and trade disposition. Journal of Financial Economics 76, 401-444.
    8. Lim, S. S., 2006. Do investors integrate losses and segregate gains? Mental accounting and investor trading decisions. Journal of Business 79, 2539-2574.
    9. Lehenkari, M., 2009. The hedonic editing hypothesis: evidence from the Finnish stock market. The Journal of Behavioral Finance 10, 9-18.
    10. Liu, Y. J., Tsai, C. L., Wang, M. C., and Zhu, N., 2010. Prior consequences and subsequent risk taking: New field evidence from the Taiwan Futures Exchange. Management Science 56, 606-620.
    11. Read, D., Loewenstein, G., and Rabin, M., 1999. Choice Bracketing. Journal of Risk and Uncertainty 19, 171-197.
    12. Shiller, R. J., 2003. From efficient markets theory to behavioral finance. Journal of Economic Perspectives 17, 83-104.
    13. Thaler, R. H., 1985. Mental accounting and consumer choice. Marketing Science 4, 199-214.
    14. Thaler, R. H., and Johnson E. J., 1990. Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice. Management Science 36, 643-660.
    15. Thaler, R. H., 1999. Mental accounting matters. Journal of Behavioral Decision Making 12, 183-206.
    描述: 碩士
    國立政治大學
    財務管理研究所
    100357028
    101
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0100357028
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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