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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/63741

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63741

    Title: Investor Sentiment and Misreaction across Categories of Option Investors
    Authors: Chuang-Chang Chang, Pei-Fang Hsieh and Yaw-Huei Wang
    Contributors: National Central University, National Tsing Hua University,National Taiwan University
    Keywords: Options;Misreaction;Model-free;Investor sophistication;Investor sentiment.
    Date: 2013
    Issue Date: 2013-08-07 09:32:19 (UTC+8)
    Publisher: National Central University, National Tsing Hua University,National Taiwan University
    Abstract: We set out in this study to investigate whether the existence or strength of any misreaction is affected by investor sentiment within the options market in Taiwan. Based upon a unique dataset providing the complete history of all transactions in the Taiwan options market, we explore the issue not only from the marketwise observations, but also from the transactions across investor categories. We find that individual investors exhibit significant misreaction to information, with such misreaction becoming stronger during periods of high investor sentiment. Moreover, more active individual investors always exhibit misreaction and have never learned from their past mistakes. Our empirical results are robust to alternative measures of investor sentiment and definitions of long- and short-term horizons.
    Relation: 2013中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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