Investor Trading Behavior and Returns: Evidence from Taiwan Stock Index Options

摘要：

Using a complete trading record of Taiwan stock index options, we conduct a more detailed study of investors option trading behavior than previously possible. We are also the first to examine investors realized returns from trading options. Individual investors consistently lose money and foreign institutions consistently make profits. The returns differences are not fully explained by differences in investors trading strategies or their abilities to forecast stock market movements. Individual investors that are more speculative and more prone to the disposition effect have worse returns. Individual investors trading performance improves with experience and sophistication. Our findings have important policy implications and are relevant for studies on option pricing as well as for why investors trade so much in options.

作者: Bing Han Yi-Tsung Lee Yu-Jane Liu

作者单位: McCombs School of Business,University of Texas at Austin Department of Accounting,National Chengchi University Taipei,Taiwan Department of Finance,Guanghua School,Peking university

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-42

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）