复旦金融论坛第120期：Investor Inattention and Investment Performance

题目：Investor Inattention and Investment Performance

主讲人：赵静，助理教授，香港理工大学会计与金融学院

主持人：吴弘，助理教授，复旦大学经济学院国际金融系

时间：2019年11月6日 13:30-15:30

地点：复旦大学经济学院201会议室

主办：复旦大学国际金融系

Abstract: This paper investigates the association between limited attention and investment performance. Taking advantage of the order submission, execution, and cancellation records in the Taiwan Futures Exchange (TAIFEX), I infer the investors’ attention from the Time-to-Cancellation of the limit orders that are not successfully executed. If investors actively monitor their limit orders, they could timely cancel their unexecuted orders; otherwise, these orders would become stale after staying in the market for a long period of time (Linnainmaa, 2010). We show that investors pay less attention to monitor their orders on Fridays, especially Friday afternoons, and on days with less extreme market movements. The investor-level attention is related to the investors’ cognitive ability, trading experience, and disposition effect. Moreover, we find that the investor-level inattention is negatively related to investment performance.