题目: House Money Effect: Evidence from Market Makers at Taiwan Futures Exchange
演讲者：Prof. Yu-Jane Liu， National Chengchi University, Taiwan
时间: 2007年3月30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
报告论文摘要:
We document empirical support for the ‘house money’ effect proposed by Thaler and Johnson (1990). Market makers for Taiwan’ TAIEX index options take above-average risks in afternoon trading after morning gains, in their order accounts where they trade exclusively for profits. The fraction of market makers with morning gains influences market-level liquidity and volatility in the afternoon trading. Our findings confirm that prior outcomes influence subsequent risk-taking and emphasize that the way in which investors frame previous outcomes alters their subsequent attitude toward risks. Consistent with Coval and Shumway (2005), behavioral biases by market participants affect asset price formation.
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论文作者简介：
After receiving her Ph. D. of Business Administration from National Sun Yat-sen University, Prof. Liu once served as professor and chairperson at the finance department in National Chung Cheng University and now serves as a chairperson at the department of finance in National Chengchi University. Interested in Behavioural Finance, Securities Markets, Iand investments, she attended numbers of important finance conferences (AFA, EFMA, FMA), published a lot of papers in domestic and international journals (Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Decision Support System, Journal of Business Finance and Accounting, Research in Experimental Economics, Review of Quantitative Finance and Accounting, Pacific Basin Finance Journal), and also served in the editorial boards for academic journals and conferences.
Furthermore, she is currently a member of board of directors of the Taiwan OTC market, a committee member of the Taiwan Future Exchange, a mediation Committee of the Securities and Futures Investors Protection Center. She has participated in lots of projects for many institutions (the Securities and Futures Commission, Taiwan Stock Exchange, Taiwan OTC market, Taiwan Future Exchange, Securities and Futures Institute, Chinese Securities Association) and led the establishment of the securities trading regulations in securities related institutions. She served as a consultant for the Taiwan Securities Association, visiting scholar of the SEC, public finance committee member of the Taipei City Government. Meanwhile, she conducted several projects on privatization, worked as the reviewer and committee member of a number of privatization of public enterprises, including the BOT of Taichung MRT, privatization of Kaoshiung Sulfate Company, privatization of Taipei Bank and privatization of China Telecom. In addition, she wrote four books in finance related fields, including『Corporate Finance』、『Stock’s EQ』、『Theories and Practices of Securities Market』、and 『Securities Market』.