Sophistication, Sentiment, and Misreaction

Journal of Financial and Quantitative Analysis - Tập 50 Số 4 - Trang 903-928 - 2015
Chuang-Chang Chang, Pei-Fang Hsieh, Yaw‐Huei Wang

Tóm tắt

AbstractThis study investigates whether the existence or strength of any misreaction in the options market is affected by investor sophistication and investor sentiment. Based on a unique data set of the complete history of all transactions in the Taiwan options market, we find that individual investors exhibit significant misreaction to information and that this misreaction becomes stronger during periods of high investor sentiment. In addition, more active or aggressive individual investors always exhibit misreaction and do not learn from their past mistakes. Our empirical results are robust to alternative measures of investor sentiment and definitions of long- and short-term horizons.

Từ khóa


Tài liệu tham khảo

10.1016/0022-0531(79)90043-7

10.2469/faj.v59.n6.2578

10.1093/rfs/hhm071

10.1111/0022-1082.00228

10.1093/rfs/hhi027

10.1162/003355301556400

10.1093/rfs/hhl023

10.1016/j.jempfin.2007.11.001

10.1111/0022-1082.00226

10.1111/j.1540-6261.2006.01063.x

10.1257/aer.89.5.1279

10.1111/j.1540-6261.1991.tb03746.x

10.1111/j.1540-6261.1985.tb05004.x

10.1093/rfs/14.1.1

10.1111/0022-1082.00077

10.1093/rfs/hhm070

10.1111/j.1540-6261.1989.tb02654.x

10.1016/j.finmar.2013.05.006

10.1016/j.jfineco.2010.10.011

10.1016/j.jfineco.2003.05.008

10.1111/j.1540-6261.1997.tb03806.x

10.1016/j.jbankfin.2013.04.036

10.3905/jod.2007.681813

10.1093/rfs/hhn046

10.1257/jep.21.2.129

10.1111/j.1540-6261.2006.00885.x

10.2469/faj.v55.n6.2313

10.1093/rfs/hhj024

10.1016/j.finmar.2012.09.004

10.1016/j.jempfin.2012.01.002

10.1093/rof/rfs008

10.1111/j.1540-6261.2007.01232.x

10.1111/j.1540-6261.1994.tb04772.x

10.1111/0022-1082.00072

10.1111/j.1540-6261.1990.tb03695.x

10.1111/0022-1082.00348

10.1111/0022-1082.00184

Chao, 2005, “Is Investor Misreaction Economically Significant? Evidence from Short- and Long-Term SandP 500 Index Options.”, Journal of Futures Markets, 25, 717, 10.1002/fut.20170

10.2307/1913610

10.1016/j.jbankfin.2010.02.022

10.1016/j.jbankfin.2009.07.010

10.1093/rfs/hhl025

10.1086/260062

Lemmon M. , and Ni S. X. . “The Effects of Investor Sentiment on Speculative Trading and Prices of Stock and Index Options.” Working Paper, University of Utah (2010).

10.1111/j.1540-6261.1997.tb03807.x

10.1093/0198292279.001.0001

10.1016/j.jbankfin.2008.11.001

10.1016/j.jfineco.2012.09.008

10.1111/j.1540-6261.2004.00647.x

10.1086/427633

10.1016/j.jfineco.2011.12.001

10.1016/0304-4149(81)90026-0

10.1016/j.jempfin.2002.12.001

10.1111/j.1540-6261.2005.00723.x

Shefrin, 2005, A Behavioral Approach to Asset Pricing

10.1111/j.1540-6261.1989.tb02635.x

10.1093/rfs/hhj038

10.1111/0022-1082.00152

10.1093/rfs/hhm079