1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 投資人過度自信與風險承擔
Overconfidence, Trader Types and Risk Taking
作者 許雅晴
Hsu, Ya-Ching
貢獻者 周冠男
許雅晴
Hsu, Ya-Ching
關鍵詞 過度自信
風險承擔
Overconfidence
Risk Taking
Trader Types
日期 2012
上傳時間 1-Feb-2013 16:50:21 (UTC+8)
摘要 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.
參考文獻 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.
描述 碩士
國立政治大學
財務管理研究所
99357034
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099357034
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (Authors) 許雅晴zh_TW
dc.contributor.author (Authors) Hsu, Ya-Chingen_US
dc.creator (作者) 許雅晴zh_TW
dc.creator (作者) Hsu, Ya-Chingen_US
dc.date (日期) 2012en_US
dc.date.accessioned 1-Feb-2013 16:50:21 (UTC+8)-
dc.date.available 1-Feb-2013 16:50:21 (UTC+8)-
dc.date.issued (上傳時間) 1-Feb-2013 16:50:21 (UTC+8)-
dc.identifier (Other Identifiers) G0099357034en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/56829-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 99357034zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 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.zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents List of Tables ii
Abstract iv
1. Introduction 1
2. Literature Review 3
3. Data Description and Research Methodology 8
3.1 The trading mechanism of the Taiwan Futures Exchange 8
3.2 Data Description 10
3.3 Hypotheses 11
4. Methodology 12
5. Empirical Results 14
5.1 Descriptive Statistics of Samples 14
5.2 Empirical Result of the Variation of Risk Taking 16
5.2.1 The Variation of Risk Taking for Overconfident Investors 16
5.2.2 The Variation of Risk Taking for Non-overconfidence Investors 17
5.2.3 The Variation of Risk Taking Difference between Overconfident and Non-overconfident Investors 18
6. Conclusion 20
References 56		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357034en_US
dc.subject (關鍵詞) 過度自信zh_TW
dc.subject (關鍵詞) 風險承擔zh_TW
dc.subject (關鍵詞) Overconfidenceen_US
dc.subject (關鍵詞) Risk Takingen_US
dc.subject (關鍵詞) Trader Typesen_US
dc.title (題名) 投資人過度自信與風險承擔zh_TW
dc.title (題名) Overconfidence, Trader Types and Risk Takingen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 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.		zh_TW