We document economically large cross-sectional differences in the before- and after-fee returns earned by speculative traders. We establish this result by focusing on day traders in Taiwan from 1992 to 2006. We argue that these traders are almost certainly speculative traders given their short...

We analyze Taiwan's IPO auctions to shed light on the diminishing role of auctions in IPO markets. In contrast to Ljungqvist and Wilhelm's (2002) results for bookbuilding IPOs, we find that underpricing increases with institutional allocation in auctions. This implies that issuing firms in...

"We ask whether the typical investor and the aggregate investor exhibit a bias known as the disposition effect, the tendency to sell investments that are held for a profit at a faster rate than investments held for a loss. We analyse all trading activity on the Taiwan Stock Exchange (TSE) for...

Data from the Taiwan Stock Exchange identify the originator of each submitted order. We study order imbalances categorized by trade size and by investor type, (individuals, domestic institutions, foreign institutions.) Aggregate order imbalances for a given stock are positively autocorrelated...