We document economically large cross-sectional differences in the before- and after-fee returns earned by speculative traders by analyzing day traders in Taiwan from 1992 to 2006. We sort day traders based on their returns in year y and analyze their performance in year y+1; the 500 top-ranked...

Hedging the risk of holding undesired inventory is very important for market makers. However, prior studies seldom capture the role of inventory positions in measuring hedging costs. This study measures hedging costs directly using data on inventory positions of market makers in the Taiwan Index...

Individual investor trading results in systematic and economically large losses. Using a complete trading history of all investors in Taiwan, we document that the aggregate portfolio of individuals suffers an annual performance penalty of 3.8 percentage points. Individual investor losses are...