Prior Consequences and Subsequent Risk Taking: New Field Evidence from the Taiwan Futures Exchange
利用台湾加权股价指数期权市场数据，发现投资者在上午盈利后下午会承担高于平均水平的风险，且该现象普遍存在于各类市场参与者中，支持前景理论对风险承担变化的解释。
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.