We document empirical support for the 'house money' effect proposed by Thaler and Johnson (1990). Market makers for Taiwan' TAIEX index options tend to take above-average risks in afternoon trading after above-average morning gains. The fraction of market makers with better-than-average morning...

We employ a statistical criterion (out-of-sample hit rate) and a financial market measure (portfolio performance) to compare the forecasting accuracy of three model selection approaches: Bayesian information criterion (BIC), model averaging, and model mixing. While the more recent approaches of...

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...