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Asymmetry Herding Behavior of Real Estate Investment Trusts: Evidence from Information Demand 房地产投资信托的不对称羊群行为:来自信息需求的证据
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2018-12-11 DOI: 10.21314/jor.2018.398
Wen-Yuan Lin, Ming‐Hung Wu, Ming-chi Chen
{"title":"Asymmetry Herding Behavior of Real Estate Investment Trusts: Evidence from Information Demand","authors":"Wen-Yuan Lin, Ming‐Hung Wu, Ming-chi Chen","doi":"10.21314/jor.2018.398","DOIUrl":"https://doi.org/10.21314/jor.2018.398","url":null,"abstract":"This paper investigates the effect of investor demand on herding behavior in the US real estate investment trusts (REITs) market by measuring investors’ information demand using Google’s search volume index. The results show that investors are able to collect information via the internet before deciding how much to invest in the REITs market. Investors who increase their information demand with regard to the REITs market could improve their level of rational investment, thus highlighting rational interpretations. Using quantile regression, we also verify the asymmetry of herding behavior in different market conditions. Spurious herding behavior is detected in a rising market, while investors are likely to follow market trends in times of extreme severe volatility after a systematic recession.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115876556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Effect of Presidential Elections on the Stock Market 总统选举对股市的影响
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2018-12-07 DOI: 10.2139/ssrn.3459552
Jermaine Coelho
{"title":"Effect of Presidential Elections on the Stock Market","authors":"Jermaine Coelho","doi":"10.2139/ssrn.3459552","DOIUrl":"https://doi.org/10.2139/ssrn.3459552","url":null,"abstract":"This study seeks to determine the effect of presidential elections on the stock market in Kenya. The methodology used is event study methodology and the study looks at the 2017 election period, specifically the August initial elections and the October re-election. The key variables are NSE20 and the stock prices of every listed stock during the specified event windows. The study analyses the market as a whole and further subdivides it into its various sectors in order to analyse how different sectors are affected differently. The study finds that in the chosen event windows, the market as a whole is affected positively by the announcement of the results of the elections. Some sectors such as the commercial & services, energy & petroleum, manufacturing & allied sector and the telecommunication & technology sectors are affected positively by the announcement of the results of the elections. The agricultural sector is the only sector that is affected negatively by the announcement of the election results in both event windows.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128513392","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Causal Influence of Investment Goals on the Disposition Effect 投资目标对处置效应的因果影响
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2018-10-31 DOI: 10.2139/ssrn.3275998
Marc Wierzbitzki, Sebastian Seidens
{"title":"The Causal Influence of Investment Goals on the Disposition Effect","authors":"Marc Wierzbitzki, Sebastian Seidens","doi":"10.2139/ssrn.3275998","DOIUrl":"https://doi.org/10.2139/ssrn.3275998","url":null,"abstract":"The disposition effect describes investors' tendency to realize gains more frequently than losses. While it is one of the most robust findings in finance research and there is an extensive body of literature examining its theoretical foundation, relatively little attention so far has been paid to ways in which the disposition effect could be mitigated. This is surprising considering that the disposition effect entails negative wealth consequences. Therefore, we conduct an experiment that investigates the influence of investment goals on the disposition effect. We find that subjects who are provided with a specific investment goal exhibit a reversed disposition effect. This result stems from the fact that those subjects realize paper gains less frequently. Their behaviour with regards to losses, however, does not change significantly.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115097913","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Stock Price Response to Earnings Announcements: United Kingdom 股票价格对收益公告的反应:英国
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2018-10-21 DOI: 10.2139/ssrn.3270419
Dr. Ahmed Al-Baidhani د. احمد البيضاني
{"title":"Stock Price Response to Earnings Announcements: United Kingdom","authors":"Dr. Ahmed Al-Baidhani د. احمد البيضاني","doi":"10.2139/ssrn.3270419","DOIUrl":"https://doi.org/10.2139/ssrn.3270419","url":null,"abstract":"This study aims to evaluate the usefulness and relevance of earnings disclosures, as the key determinant for stock price changes. The main objective is to examine whether earnings response coefficient (ERC) behavior could explain more fully the stock price changes, as to the reason why the stock price change is not equal to the amount of announced earnings. The study is conducted on the United Kingdom as a major developed economy for the period of 2001-2014. Two measures of abnormal returns are regressed against the size of the announced earnings. The first regression uses measures from individual events. The second regression uses a new measure; that is, from portfolios made out of all observations sorted by size of earnings into ten portfolios. The portfolio method used was aimed at controlling possible idiosyncratic-errors-invariables problem using individual event measures. The results using individual-event measures resulted in reasonable ERC sizes with high R2 explanatory power, a little higher than those reported in prior studies on other countries. Importantly, portfolio-based ERC, 0.86, is very close to the magnitude of the earnings which supports the famous value relevance theory in accounting. This finding is new to this literature.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125581453","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Cross-Subsidization in SRI Fund Families SRI基金家族的交叉补贴
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2018-09-02 DOI: 10.2139/ssrn.3243002
F. Adrianto, E. Chen, J. How
{"title":"Cross-Subsidization in SRI Fund Families","authors":"F. Adrianto, E. Chen, J. How","doi":"10.2139/ssrn.3243002","DOIUrl":"https://doi.org/10.2139/ssrn.3243002","url":null,"abstract":"We investigate the existence of strategic cross-fund subsidization in SRI fund families. For a sample of SRI fund families domiciled in the U.S., we find evidence of cross-fund subsidization on performance where winning funds are subsidized by peer losing funds. However, there is no evidence of cross-fund subsidization between high-fee and low-fee funds, and between young and mature funds of the same family. Cross-fund subsidization is attenuated by manager ownership in subsidizing funds, and is more likely to occur between sibling funds with ethical screening than with environmental, social, and combined environmental-social-governance (ESG) screening.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114782966","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Introducere În Finanţele Comportamentale – Partea Întâi (An Introduction to Behavioral Finance – Part 1)
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2018-08-27 DOI: 10.2139/ssrn.3239590
Ramona Dumitriu, R. Stefanescu
{"title":"Introducere În Finanţele Comportamentale – Partea Întâi (An Introduction to Behavioral Finance – Part 1)","authors":"Ramona Dumitriu, R. Stefanescu","doi":"10.2139/ssrn.3239590","DOIUrl":"https://doi.org/10.2139/ssrn.3239590","url":null,"abstract":"<b>Romanian Abstract:</b> Această lucrare aduce în atenţie caracteristicile domeniului finanţelor comportamentale. Vom discuta despre posibilitatea de a utiliza metode ale psihologiei cognitive pentru a înţelege dimensiunea iraţională a deciziilor financiare. Vom aborda, de asemenea, procesele mentale care ar putea explica unele evoluţii iraţionale ale pieţelor financiare, în special cele asociate bulelor şi crahurilor. În final, vom prezenta unele diferenţe între finanţele comportamentale şi cele tradiţionale. <b>English Abstract:</b> This paper explores the characteristics of the behavioral finance field. We discuss the possibility of employing some methods of the cognitive psychology to understand the irrational dimension of the financial decisions. We also approach the mental processes that could explain some irrational evolutions of the financial markets, especially those associated to bubbles and crashes. Finally, we present the main differences between the behavioral finance and the traditional finance.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"272 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131482074","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Governance by Depositors, Bank Runs and Ambiguity Aversion: A Theoretical Approach 存款人治理、银行挤兑与歧义规避:一种理论方法
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2018-08-13 DOI: 10.2139/ssrn.3229954
F. Guillemin
{"title":"Governance by Depositors, Bank Runs and Ambiguity Aversion: A Theoretical Approach","authors":"F. Guillemin","doi":"10.2139/ssrn.3229954","DOIUrl":"https://doi.org/10.2139/ssrn.3229954","url":null,"abstract":"We investigate the theoretical relationship between ambiguity aversion and the decision to withdraw early from a deposit contract. We first document and define the concepts to illustrate our results. Then we extend the theoretical framework of Gorton (1985) to implement a model of maxmin expected utility to match the ambiguity aversion hypothesis. We observe that the most ambiguous depositors are more likely to mistakenly withdraw their deposits, reducing bank stability and leading to inefficient bank runs. We also show higher ambiguity levels negatively impact bank equity levels.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121967504","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Physiology, Psychology, and Stock Market Performance: Evidence from Sleeplessness and Distraction in the World Cup 生理学、心理学和股票市场表现:来自世界杯期间失眠和分心的证据
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2018-07-31 DOI: 10.2139/ssrn.3222727
Jinghan Cai, Manyi Fan, Chiu Yu Ko, Marco Richione, N. Russo
{"title":"Physiology, Psychology, and Stock Market Performance: Evidence from Sleeplessness and Distraction in the World Cup","authors":"Jinghan Cai, Manyi Fan, Chiu Yu Ko, Marco Richione, N. Russo","doi":"10.2139/ssrn.3222727","DOIUrl":"https://doi.org/10.2139/ssrn.3222727","url":null,"abstract":"We study the stock market impact of one physiological factor, sleeplessness due to watching World Cup games overnight, and two psychological factors, distraction from games during trading hours and mood changes due to wins and losses of the games. We uncover significantly negative effects of sleeplessness and distraction on stock returns, and the effects are stronger for countries with better soccer game records. While we find a market decline after soccer losses as documented in the existing literature, it is weakened after considering sleeplessness and distraction.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125541727","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Imputation Credits and Trading Around Ex-Dividend Day: New Evidence in Australia 除息日前后的抵扣信用和交易:澳大利亚的新证据
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2018-07-28 DOI: 10.2139/ssrn.3221900
Andrew R. Grant, P. Westerholm, Winston Wu
{"title":"Imputation Credits and Trading Around Ex-Dividend Day: New Evidence in Australia","authors":"Andrew R. Grant, P. Westerholm, Winston Wu","doi":"10.2139/ssrn.3221900","DOIUrl":"https://doi.org/10.2139/ssrn.3221900","url":null,"abstract":"This study examines the ex-day trading behaviour using daily ownership records aggregated by investor class under the novel environment of Australia. Domestic shareholders who have a strong preference for imputation credits capture franking credits by buying fully-franked stocks cum-dividend and selling them ex-dividend; the opposite is true for foreign shareholders. Dividend yield is the determinant factor of the choice of stock for the transfer of franking credits whereas risks and transaction costs are less relevant. We do not attribute our results to ex-day trading, arguing that, due to the 45-day holding period requirement, ownership transfer should take place at a longer horizon. Furthermore, domestic institutions act as liquidity providers to foreign investors and domestic individuals, who tend to initiate trading before the stock goes ex-dividend.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"92 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116856565","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Run on Repo and the Fed&Apos;S Response 回购挤兑和美联储的应对措施
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2018-07-01 DOI: 10.2139/ssrn.3216581
Gary B. Gorton, Toomas Laarits, Andrew Metrick
{"title":"The Run on Repo and the Fed&Apos;S Response","authors":"Gary B. Gorton, Toomas Laarits, Andrew Metrick","doi":"10.2139/ssrn.3216581","DOIUrl":"https://doi.org/10.2139/ssrn.3216581","url":null,"abstract":"The Financial Crisis began and accelerated in short-term money markets. One such market is the multi-trillion dollar sale-and-repurchase (“repo”) market, where prices show strong reactions during the crisis. The academic literature and policy community remain unsettled about the role of repo runs, because detailed data on repo quantities is not available. We provide quantity evidence of the run on repo through an examination of the collateral brought to emergency liquidity facilities of the Federal Reserve. We show that the magnitude of repo discounts (“haircuts”) on specific collateral is related to the likelihood of that collateral being brought to Fed facilities.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127326398","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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