DSpace Repository :: Browsing by Author "蔡蒔銓"

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Asymmetric Nonlinear Mean Reversion in Nine Stock Index Futures Markets.

(2012-11-01) 蔡蒔銓

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Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach.

(2012-05-27) 蔡蒔銓

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Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach.

(2014-12-07) 蔡蒔銓; Sun, David S.; Wei Wang; Shih-Chuan Tsai

In this study, we employ a statistical arbitrage approach to demonstrate that momentum strategies work only in longer formation and holding periods, a result more conclusive than standard parametric tests can offer. Disposition and overconfidence effects are important factors contributing to the phenomenon. The overconfidence effect seems to dominate the disposition effect, especially in an up market. Moreover, the overconfidence investment behavior of institutional investors is the main cause for significant momentum returns observed in an up market. In a down market, the institutional investors tend to adopt a contrarian strategy while the individuals are still maintaining momentum behavior within shorter periods.

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Decisions on Increasing Positions in Futures Market: Skills or Overconfidence?

(2012-10-21) 蔡蒔銓

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Diversifying Risks in Bond Portfolio: A Cross-border Approach.

(2013-10-09) 蔡蒔銓

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Diversifying Risks in Bond Portfolio: A Cross-border Approach.

(2013-07-03) 蔡蒔銓

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Does Trading Remove or Bring Frictions?

(2012-12-01) 蔡蒔銓

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Individuals’ Trading Prior to Earnings Announcements in the Taiwan Stock Market.

(2014-11-01) 蔡蒔銓; Tsai, Shih-Chuan

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Information Content of Investors’ Demand for Volatility.

(2013-10-19) 蔡蒔銓

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The Information Content of the Limit Order Book and the Corresponding Trading Strategy.

(2013-07-13) 蔡蒔銓

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The Information Content of the Limit Order Book and the Corresponding Trading Strategy.

(2013-07-06) 蔡蒔銓

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Institutional Ownership and Corporate Investment Performance.

(2012-12-01) 蔡蒔銓

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Investors’ Herd Behavior: Rational or Irrational

(2013-10-01) 蔡蒔銓; Lin, William T.; Shih-Chuan Tsai; Pei-Yau Lung

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Investors' Information Advantage and Order Choices in an Order-driven Market

(2013-01-01) 蔡蒔銓

We set out in this study to examine advantaged investors' order choices by computing gains and losses from executed orders in a pure order-driven stock market, the Taiwan Stock Exchange. We carry out an event study on the profitability of order categories around annual earnings announcements. We use a unique and extremely comprehensive dataset which can accurately classify executed orders by order size and aggressiveness for each investor group. We find that, as a group, individual investors are less informed about imminent corporate earnings announcements and the related value implications. Domestic institutions with better local connections have access to privileged information, resulting in significant trading profits in the pre-event window. Informed domestic institutions tend to employ large-sized orders to take up all of the available liquidity. Although limited in terms of private information, foreign institutions with superior expertise accrue profits by trading conservatively through the use of small- to medium-sized orders and less aggressive prices. Order flows are more serially correlated in the pre-event period, especially medium-sized orders from foreign institutions. The results are robust after controlling for various market condition variables. They also hold to different lengths of pre-event window and in the absence of price.