Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/23191 
Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
Working Paper No. 2004-12
Verlag: 
Rutgers University, Department of Economics, New Brunswick, NJ
Zusammenfassung: 
We analyze the trading activity in an Internet chat room with approximately 1,300 participants. Traders make posts in real time about their activities. We find these traders are more skilled than retail investors analyzed in other studies. 55% make profits after transaction costs, and they earn $153 per trade. Traders hold their winners 25% longer than their losers. They have statistically significant alphas of 0.41% per day after controlling for the Fama-French factors and momentum. 38% of profits persist in the next year. Traders improve their skill over time, earning an extra $189 per month for each year of trading experience. They also gain expertise in trading particular stocks. Traders who raise their Herfindahl index by 0.1 raise their profitability by $46 per trade. 42% trade both long and short, with equal success rates, and almost double the profit per trade when short.
Schlagwörter: 
behavioral finance
day trading
familiarity bias
disposition effect
experts
JEL: 
G20
G14
Dokumentart: 
Working Paper

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