题目: Do Day Traders Make Money?
演讲者：Yu-Jane Liu，professor of Finance，Peking University
时间: 2007年12月21日（星期五）3：00—4：30 PM
地点: 嘉庚二513
参加者: 对财务研究有兴趣的广大师生
主持人： 邬瑜骏老师
论文摘要：
When an investor buys and sells the same stock on the same day, he has made a day trade. We analyze the performance of day traders in Taiwan. Day trading by individual investors is prevalent in Taiwan – accounting for over 20 percent of total volume from 1995 through 1999. Individual investors account for over 97 percent of all day trading activity. Day trading is extremely concentrated. About one percent of individual investors account for half of day trading and one fourth of total trading by individual investors. Heavy day traders earn gross profits, but their profits are not sufficient to cover transaction costs. Moreover, in the typical six month period, more than eight out of ten day traders lose money. Despite these bleak findings, there is strong evidence of persistent ability for a relatively small group of day traders. Traders with strong past performance continue to earn strong returns. The stocks they buy outperform those they sell by 62 basis points per day. This spread is sufficiently large to cover transaction costs.
论文作者简介：
Yu-Jane Liu is a professor of Finance in Peking University. Jane specializes in market microstructure and investor behavior and their effects on asset prices. Prior to joining Peking university, she was a finance professor in National Chengchi university in Taiwan. Jane's research into behavioral finance leads to frequent keynote lectures to business and academic audiences. She has published papers in Review of Financial Studies, Journal of Quantitative and Analysis, Journal of Banking and Finance, Pacific Basin Finance Journal and so on.
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