Irrational Gambling: Evidence from Brokerage Account Data in Chinese Warrants Market

2017-11-30

数学科学学院

Irrational Gambling: Evidence from Brokerage Account Data in Chinese Warrants Market


报告人:杨学伟 南京大学


时间:2017124日(星期一), 10:00-11:00


地点: 数学院第八教室


Abstract: Chinese warrant market experiences undisputed bubble during 2005 to 2011 [Xiong and Yu (2011), The Chinese warrants bubble, American Economic Review 101(6): 2723 -- 2753]. Using brokerage account data, we provide evidences that individual investors are paying for high skewness, while institutions are not. Overall, 56.2% of losses are due to transaction cost, 35.7% are due to intraday trading, and 8.1% are due to interday holding. Examining trading behavior of the out-of-the-money expired warrants reveals that a considerable amount of investors are gambling irrationally: they treat expiring OTM warrants as stocks.


邀请人:江一鸣



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