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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/66019


    Title: Cognitive Limitation and Investment Performance: Evidence from Limit Order Clustering
    Authors: 郭維裕
    Wei-Yu;Lin, Tse-Chun;Zhao, Jing
    Contributors: 國貿系
    Keywords: cognitive limitation;cognitive abilities;limit order clustering;investment performance;individual investors;investor learning
    Date: 2014.02
    Issue Date: 2014-05-13 17:38:52 (UTC+8)
    Abstract: We hypothesize that cognitive limitation may be manifested in a disproportionately large volume of limit orders submitted at round-number prices if investors use these numbers as cognitive shortcuts. Using detailed limit order data in the Taiwan Futures Exchange, we find that investors with lower cognitive abilities, defined as higher limit order submission ratios at round numbers, suffer greater losses in their round-numbered and non-round-numbered limit orders, market orders, and round-trip trades. The positive correlation between cognitive ability and investment performance is monotonic and robust across futures and options markets. In addition, past trading experience helps to mitigate the cognitive limitation.
    Relation: Review of Financial Studies,February 17, 2014
    Data Type: article
    DOI link: http://dx.doi.org/10.1093/rfs/hhu044
    DOI: 10.1093/rfs/hhu044
    Appears in Collections:[Department of International Business] Periodical Articles

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