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Do Traders Really Cut Loss Short and Let Profit Run?Evidence from Taiwan Futures Market

来源:湖南大学经济与管理研究中心  日期:2016-04-25 人气:

经济管理研究中心学术研讨会系列第26期


   题:Do Traders Really Cut Loss Short and Let Profit Run?Evidence from Taiwan Futures Market


主讲人:Dr. Xiaojun He

           

   间:10:00-11:30.April.27th (Wed.),2016.

 

   点:The Second Teaching  Building, Room 304 (二教304)

 

  要:An adage in Wall Street, “Cut Losses short, let profit run,” suggests that traders should cut losses in small amount and wait for a big profit, rather than cutting profit short and letting losses run. Using a unique Taiwan Futures Market database, we examine whether there is a “cutting profit short and letting losses run” tendency in any type of traders, and check whether such tendency worsens the wealth of traders. The results show that a “cutting profit short and letting losses run” tendency indeed worsens traders’ average payoff for all types of investors we examined, which is in line with the disposition effect. Results of this study will help the investors make more wise and profitable investment.

  

主讲人介绍:

Xiaojun He got her Ph.D. from Syracuse University, Martin J. Whitman School of Management. Her research interests focus on Empirical Analysis of Asset Pricing, Financial Econometrics and Financial Market Microstructure Theory.


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