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    题名: Cognitive Limitation and Investment Performance: Evidence from Limit Order Clustering
    作者: 郭維裕
    Wei-Yu;Lin, Tse-Chun;Zhao, Jing
    贡献者: 國貿系
    关键词: cognitive limitation;cognitive abilities;limit order clustering;investment performance;individual investors;investor learning
    日期: 2014.02
    上传时间: 2014-05-13 17:38:52 (UTC+8)
    摘要: 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.
    關聯: Review of Financial Studies,February 17, 2014
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1093/rfs/hhu044
    DOI: 10.1093/rfs/hhu044
    显示于类别:[國際經營與貿易學系 ] 期刊論文

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