簡易檢索 / 詳目顯示
| 研究生： |
許雅晴 Hsu, Ya-Ching |
|---|---|
| 論文名稱： |
投資人過度自信與風險承擔 Overconfidence, Trader Types and Risk Taking |
| 指導教授： | 周冠男 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2013 |
| 畢業學年度： | 101 |
| 語文別： | 英文 |
| 論文頁數： | 62 |
| 中文關鍵詞： | 過度自信 、風險承擔 |
| 相關次數： | 點閱：215 下載：30 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
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.
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
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.
