Prior consequences and subsequent risk taking / Yu-Jane Liu in Management science, Vol. 56 N° 4 (Avril 2010)  

Public ISBD [article]  inManagement science > Vol. 56 N° 4 (Avril 2010) . - pp. 606-620 Titre : Prior consequences and subsequent risk taking : New field evidence from the taiwan futures exchange Type de document : texte imprimé Auteurs : Yu-Jane Liu, Auteur ; Chih-Ling Tsai, Auteur ; Ming-Chun Wang, Auteur Année de publication : 2010 Article en page(s) : pp. 606-620 Note générale : Management Langues : Anglais (eng) Mots-clés : Dynamic prospect theory Risk taking Market makers Options markets Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We use a data set from market participants in the Taiwan Stock Exchange Capitalization Weighted Stock Index options markets to demonstrate a strong positive relationship between prior trading outcomes and subsequent risk taking. In particular, investors in this market take above-average risks in afternoon trading after morning gains. The phenomenon is prevalent in all three types of market makers' accounts and across different types of market participants. Our findings are consistent with the argument that prior outcomes affect subsequent risk taking through a relationship that is sensitive to the model parameters (i.e., expected return, trading period, and curvature of the value function), because prospect theory can predict both increased and decreased levels of subsequent risk taking. We provide possible explanations behind the phenomenon and discuss reasons for the variety of findings in the existing literature. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/4.toc [article] Prior consequences and subsequent risk taking : New field evidence from the taiwan futures exchange [texte imprimé] / Yu-Jane Liu, Auteur ; Chih-Ling Tsai, Auteur ; Ming-Chun Wang, Auteur . - 2010 . - pp. 606-620. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 4 (Avril 2010) . - pp. 606-620 Mots-clés : Dynamic prospect theory Risk taking Market makers Options markets Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We use a data set from market participants in the Taiwan Stock Exchange Capitalization Weighted Stock Index options markets to demonstrate a strong positive relationship between prior trading outcomes and subsequent risk taking. In particular, investors in this market take above-average risks in afternoon trading after morning gains. The phenomenon is prevalent in all three types of market makers' accounts and across different types of market participants. Our findings are consistent with the argument that prior outcomes affect subsequent risk taking through a relationship that is sensitive to the model parameters (i.e., expected return, trading period, and curvature of the value function), because prospect theory can predict both increased and decreased levels of subsequent risk taking. We provide possible explanations behind the phenomenon and discuss reasons for the variety of findings in the existing literature. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/4.toc

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