Behavioral Biases and the Asset Growth Anomaly

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE

Journal of Behavioral Finance Pub Date : 2022-03-16 DOI:10.1080/15427560.2022.2047684

Qingzhong Ma, David A. Whidbee, Wei Athena Zhang

引用次数: 0

Abstract

Abstract We find evidence that the asset growth anomaly is due, in part, to investors’ behavioral biases. Two-way sorts based on asset growth and proxies for known behavioral biases (anchoring, recency, nominal price illusion, and lottery-seeking) indicate that the asset growth anomaly is stronger in stocks that investors affected by behavioral biases tend to buy and non-existent or negative in stocks they tend to sell. These results are not explained by limits of arbitrage or investor sentiment and hold in both portfolio analyses and regressions. The evidence suggests that behavioral investors’ attraction to certain stocks drives the asset growth anomaly.

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行为偏差与资产增长异常

摘要本文发现资产增长异常的部分原因是投资者的行为偏差。基于资产增长和已知行为偏差(锚定、近因、名义价格错觉和寻求彩票)的代理的双向排序表明，受行为偏差影响的投资者倾向于买入的股票的资产增长异常更强，而不存在或负面的股票则倾向于卖出。这些结果不能用套利或投资者情绪的限制来解释，在投资组合分析和回归中都是成立的。证据表明，行为投资者对某些股票的吸引力驱动了资产增长异常。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.