Journal of Financial & Quantitative Analysis. Volume 50, Issue 4. August 2015 , pp. 903-928

投资者成熟度、情绪与误判

作者Chuang-Chang Chang ((University of Miami Business School))

Pei-Fang Hsieh (Department of Quantitative Finance, National Tsing Hua University)

Yaw-Huei Wang (Department of Finance, National Taiwan University)

摘要：本文研究了期权市场误判的存在和强度是否受投资者成熟度和投资者情绪的影响。基于台湾期权市场所有历史交易数据，我们发现个人投资者对信息存在明显的误判，并且这种误判在投资者情绪较高的时期更强烈。除此之外，更积极或者好胜心更强的个人投资者一直存在误判并且不会从过去的错误中吸取教训。我们实证检验的结果对于其他投资者情绪度量指标以及不同的长期与短期期限定义基准均是稳健的。

Sophistication, Sentiment, and Misreaction

Chuang-Chang Chang ((University of Miami Business School))

Pei-Fang Hsieh (Department of Quantitative Finance, National Tsing Hua University)

Yaw-Huei Wang (Department of Finance, National Taiwan University)

ABSTRACT

This 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.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/sophistication-sentiment-and-misreaction/59A25EACF9955D2569DDB0223A4A6F62

翻译：汪国颂