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高等研究所セミナーシリーズ【政治・経済・法の計量分析】
Waseda Organizational and Financial Economics Seminar
Naive Learning, Investor Sophistication and Repurchase Decisions

講演者 Peiran Jiao氏
(Post-Doctoral Research Fellow, Department of Economics and the Nuffield College, University of Oxford, U.K.)
講演者のプロフィールはこちら PDFファイルを開きます
日 時 2015年9月28日(月) 13:00~14:30
会 場 早稲田大学 早稲田キャンパス11号館11階 1111号室 PDFファイルを開きます
主 旨 Empirical evidence suggests that individual investors disproportionately repurchase more stocks previously sold at gain than those sold at loss, as if following some naïve learning rule that hurts their performance. This paper investigates the heterogeneity of this bias across individuals and whether investor sophistication/experience attenuates or eliminates this bias. Using individual accounts data from a large US discount brokerage firm, I find that more sophisticated investors exhibit considerably smaller bias, whereas accumulation of experience through executing trades has a similar effect. However, as the tendency of avoiding previously sold losers is almost completely eliminated by sophistication/experience, the tendency of repurchasing prior winners, though diminished, still persists. An examination of the performance of the stocks repurchased reveals that sophisticated investors are more careful in selecting prior losers to repurchase, but the prior winners they repurchased significantly underperform. Additional evidence suggests that attention constraint and counterfactual learning are more salient problems for less sophisticated investors when they repurchase.
プログラム
13:00
開会の挨拶(宮島英昭)
13:05
講演
14:05
質疑応答
14:25
閉会の挨拶(宮島英昭)
対 象 学部生・大学院生・研究者・教職員 等
主 催 早稲田大学産業経営研究所
早稲田大学高等研究所
申込み 事前申し込み不要です。直接会場にお越しください。

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