Disposition, Confidence, and Profits and Losses: Evidence from the Taiwan Warrant Markets

Matthew C. Chang ； Jui-Cheng Hung ； Rebecca Chung-Fern Wu

《International Journal of Information and Management Sciences》 34卷1期 (2023/03) Pp. 23-50

https://doi.org/10.6186/IJIMS.202303_34(1).0002

摘要

In this paper, we first examine the extent that a warrant's characteristics, i.e., size of the underlying stock, effective leverage, time value, and implied volatility, affect behavioral measures, i.e., coefficients of disposition and coefficients of confidence, of two types of investors, i.e., individual investors and dealers, in the Taiwan warrant markets. Second, we explore the impacts of coefficients of disposition and coefficients of confidence on profits and losses (PL) by separate groups of investors. Finally, we find that cross-market spillover effects on levels of disposition coefficients and levels of confidence of individual investors from spot markets are especially important to contribute to PL of individual investors and dealers. Accordingly, our novel discoveries shed some light on better understanding of investors' behavioral biases.

關鍵字

Warrant Markets ； Warrant Characteristics ； Confidence ； Disposition ； Profits and Losses ； Investor Types

參考文獻

Abreu, M. (2018). How biased is the behavior of the individual investor in warrants? Research in International Business and Finance, Vol.47, 139-149.

Baba, N. (2009). Dynamic spillover of money market turmoil from FX swap to cross-currency swap markets: evidence from the 2007-2008 turmoil, Journal of Fixed Income, Vol.18, 24-38.

Baele, L. (2005). Volatility spillover effects in European equity markets, Journal of Financial and Quantitative Analysis, Vol.40, 373-401.

Barber, B. M., Lee, Y.-T., Liu, Y. J. and Odean, T. (2007). Is the aggregate investor reluctant to realize loss? evidence from Taiwan, European Financial Management, Vol.13, 423-447.

Barber, B. M., Lee, Y.-T., Liu, Y. J. and Odean, T. (2009). Just how much do individual investors lose by trading? Review of Financial Studies, Vol.22, 609-632.