ERN: Behavioral Finance (Microeconomics) (Topic)最新文献

{"title":"Herding Behavior in the Indonesian Stock Exchange: The Roles and Contributions of Foreign Investors During the Period 2006 to 2011","authors":"I. Setyawan, Ishak Ramli","doi":"10.2139/ssrn.2313036","DOIUrl":"https://doi.org/10.2139/ssrn.2313036","url":null,"abstract":"ABSTRACT Domestic investors in the Indonesian capital market (IDX) tend to be very dependent on the behavior of foreign investors. It is assumed that most of the domestic investors in the IDX are like this, caused by an axiom that the bargaining position of foreign investors is stronger than that of the domestic investors and those of other emerging markets. This study tries to investigate whether the herding behavior exists and whether the assumption that foreign investors have caused instability is true or just a myth during the period 2006-2011.There are three objectives of the study: 1) To prove whether the conduct of domestic investors’ herding behavior in the IDX exists, 2) To prove whether the trading of foreign investors causes the herding behavior and 3) To prove whether the interaction between foreign and domestic investors affect the stock volatility. Using the data from 2006 to 2011, it is found that herding behavior in the IDX exists; moreover, by using VAR analysis, it also indicates that the occurrence of herding behavior is caused by negative feedback trading from foreign investors. The volatility analysis using Parkinson and Garman-Klass methods found the stock volatilities in the IDX increased, caused by the interaction of foreign and domestic investors. Keywords: Herding behavior; foreign investors; domestic investors; market volatility; IDX (Indonesian Stock Exchange) ABSTRAK Pelabur tempatan dalam pasaran modal Indonesia (IDX) adalah sangat bergantung dengan gelagat pelabur asing. Adalah diandaikan, kebanyakan pelabur tempatan dalam Bursa Saham Indonesia (IDX) bersikap begini disebabkan kepercayaan bahawa kedudukan tawar-menawar pelabur asing adalah lebih kuat berbanding pelabur tempatan terutamanya di pasaran yang sedang membangun. Kajian ini cuba menyiasat sama ada gelagat “herding” wujud dan sama ada andaian bahawa gelagat pelabur asing menimbulkan ketidakstabilan adalah benar atau hanya anggapan dalam tempoh 2006 – 2011. Kajian ini mempunyai tiga objektif: 1) Untuk membuktikan bahawa gelagat “herding” di kalangan pelabur tempatan dalam IDX benar-benar wujud; 2)Untuk membuktikan sama ada urus niaga melibatkan pelabur asing menyebabkan gelagat “herding” dan 3)untuk mengenal pasti sama ada interaksi pelabur tempatan dan pelabur asing menyebabkan volatility pasaran saham. Menggunakan data dari tahun 2001 hingga 2011, adalah didapati gelagat “herding” wujud. Tambahan pula berdasarkan analisis VAR, berlakunya gelagat “herding” ini disebabkan oleh tindak balas negatif terhadap urus niaga pelabur asing. Analisis volatility menggunakan kaedah Parkinson dan Garman-Klass mendapati naik turun nilai saham dalam IDX meningkat disebabkan interaksi di antara pelabur asing dan pelabur tempatan. Kata kunci: Gelagat “herding; pelabur asing; pelabur tempatan; volatiliti pasaran; IDX (Bursa Saham Indonesia)","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131895159","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}

{"title":"Optimal Trade Sizing in a Game with Favourable Odds: The Stock Market","authors":"Victor Haghani, Andrew S. Morton","doi":"10.2139/SSRN.2875682","DOIUrl":"https://doi.org/10.2139/SSRN.2875682","url":null,"abstract":"In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup & French fries, which we hope will make these results easy to recall and apply well after reading this note. We conclude by posing other questions that this simple framework can be used to explore.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121276682","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}

{"title":"An Efficient Factor from Basis 'Anomalies'","authors":"Bingzhi Zhao","doi":"10.2139/ssrn.2841496","DOIUrl":"https://doi.org/10.2139/ssrn.2841496","url":null,"abstract":"A look-ahead-bias-free, ex-ante efficient portfolio from Size, B/M and Momentum anomalies has an ex-post Sharpe ratio of 2.3. The one factor drives out 39 “anomalies” from a total of 43, the remaining 4 have high turnover and trading costs. It prices 200 “anomalous” portfolios and significantly out-perform the combined 12 factors: MKT-RF, SMB, HML, MOM, LTR, STR, RMW, CMA, QMJ, ILIQ, BAB, DEV. GRS test cannot reject the factor’s ex-post efficiency. The 12%/year long-short spread from the efficient factor beta cannot be explained by all 12 factors combined, but 1 factor alone. Optimal mixture of new exotic characteristics can be engineered to pass existing testing tools as “unique anomalies”, yet are completely manifested by the efficient factor.A theory where assets are priced recursively w.r.t. the group-specific efficient factor shows that “anomalous” predictabilities are equivalent to 1-factor pricing, regardless of rational/behavioral cause. The Implied Stochastic Discount Factor return deduced from the efficient factor is consistent with economic theory, while the one from the market return is not.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116735734","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}

{"title":"Institutional Herding and Its Price Impact: Evidence from the Corporate Bond Market","authors":"F. Cai, Song Han, Dan Li, Yi Li","doi":"10.2139/ssrn.2693717","DOIUrl":"https://doi.org/10.2139/ssrn.2693717","url":null,"abstract":"Among growing concerns about potential financial stability risks posed by the asset management industry, herding has been considered as an important risk amplification channel. In this paper, we examine the extent to which institutional investors herd in their trading of U.S. corporate bonds and quantify the price impact of such herding behavior. We find that, relative to what is documented for the equity market, the level of institutional herding is much higher in the corporate bond market, particularly among speculative-grade bonds. In addition, mutual funds have become increasingly likely to herd when they sell, a trend not observed among insurance companies and pension funds. We also show that bond investors herd not only within a quarter, but also over adjacent quarters. Such persistence in trading is largely driven by funds imitating the trading behavior of other funds in the previous quarter. Finally, we find that there is an asymmetry in the price impact of herding. While buy herding is associated with a permanent price impact that is consistent with price discovery, sell herding results in transitory yet significant price distortions. The price destabilizing effect of sell herding is particularly strong for high-yield bonds, small bonds, and illiquid bonds and during the recent global financial crisis.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123407073","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}

{"title":"Correlation Neglect in Portfolio Choice: Lab Evidence","authors":"Erik Eyster, Georg Weizsacker","doi":"10.2139/ssrn.2914526","DOIUrl":"https://doi.org/10.2139/ssrn.2914526","url":null,"abstract":"Optimal portfolio theory depends upon a sophisticated understanding of the correlation among financial assets. In this paper, we examine people’s understanding of correlation using portfolio-allocation problems and find it to be strongly imperfect. Our experiment uses pairs of problems having the same span of assets — identical sets of attainable returns — but different correlations between assets. While expected-utility theory makes the same prediction across paired problems, subjects behave very differently within pairs. We find evidence for correlation neglect — treating correlated variables as uncorrelated — as well as for the “1/n heuristic” — investing half of wealth each of the two available assets.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128459936","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}

{"title":"Ex-Day Returns of Stock Distributions: An Anchoring Explanation","authors":"E. C. Chang, Tse-Chun Lin, Yan Luo, Jinjuan Ren","doi":"10.2139/ssrn.2508238","DOIUrl":"https://doi.org/10.2139/ssrn.2508238","url":null,"abstract":"We offer a new anchoring explanation for the ex-day abnormal returns of stock distributions, including stock dividend distributions, splits, and reverse splits. We propose that investors tend to anchor on cum-day prices in valuating ex-distribution stocks, resulting in a positive association between ex-day returns and adjustment factors. We find that this positive return-factor relation exists for all three types of stock distributions and in both the pre- and post-decimalization periods. Furthermore, we find that this positive return-factor relation is more pronounced among events that are more subject to investors’ anchoring propensity, featured by less investor attention, greater arbitrage difficulty, greater valuation uncertainty, less investor sophistication, and higher market sentiment. Last, using brokerage account data, we show that stocks that are traded by investors with more investment experience demonstrate a weaker return-factor relation. The online appendix is available at https://doi.org/10...","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129263834","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}

{"title":"Salience and the Disposition Effect: Evidence from the Introduction of 'Cash-Outs' in Betting Markets","authors":"Alasdair Brown, Fuyu Yang","doi":"10.2139/ssrn.2668618","DOIUrl":"https://doi.org/10.2139/ssrn.2668618","url":null,"abstract":"The disposition effect describes the tendency of investors to sell assets that have increased in value since purchase, and hold those that have not. We analyse the introduction of betting market `Cash-Outs', which provide a continual update - and therefore increase the salience - of bettors' paper profits/losses on each bet. We find that the introduction of Cash-Out exacerbated an already large disposition effect in this market, as punters sold their profitable bets with even greater frequency than before. We do not, however, find that the disposition effect has any impact on asset prices, either before or after this intervention.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114885581","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}

{"title":"Analysis of Herding in REITs of an Emerging Market: The Case of Turkey","authors":"O. Akinsomi, Yener Coskun, Rangan Gupta","doi":"10.2139/ssrn.2841192","DOIUrl":"https://doi.org/10.2139/ssrn.2841192","url":null,"abstract":"The study examines herding behavior in Turkish REITs (T-REITs) by using daily closing prices over the period of July 2007 to May 2016. To the best of our knowledge, this paper is the first study to solely examine the herding behavior in T-REITs by utilizing Chang et al. (2000) methodology. For the three sub-periods, our results indicate herding behaviors, the presence of directional asymmetry and linear relation between volatility and herding. The evidences suggest herding is a persistent phenomenon and increases during the period of market stress. Finally, we also find transitivity in volatility periods in both with/without asymmetry term models. The research draws critical implications for portfolio managers and supervisors dealing with emerging markets and T-REITs.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124028580","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}

{"title":"Impediments to Financial Trade: Theory and Applications","authors":"Nicolae Gârleanu, Stavros Panageas, Jianfeng Yu","doi":"10.3386/W22697","DOIUrl":"https://doi.org/10.3386/W22697","url":null,"abstract":"\u0000 We propose a tractable model of an informationally inefficient market featuring nonrevealing prices, general preferences and payoff distributions, but not noise traders. We show the equivalence between our model and a substantially simpler one in which investors face distortionary investment taxes depending on both their identity and the asset class. This equivalence allows us to account for such phenomena as underdiversification. We further employ the model to assess approaches to performance evaluation and find that it provides a theoretical basis for some intuitive practices, such as style analysis, that have been adopted by finance professionals.\u0000 Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"567 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132157264","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}

{"title":"Does Trade Clustering Reduce Trading Costs? Evidence from Periodicity in Algorithmic Trading","authors":"Dmitriy Muravyev, Joerg Picard","doi":"10.2139/ssrn.2496669","DOIUrl":"https://doi.org/10.2139/ssrn.2496669","url":null,"abstract":"We use quasi-exogenous variation in trading activity at the sub-second frequency to show that higher trade and quote intensities cause higher volatility but perhaps surprisingly have no significant effect on stock liquidity. This result has significant implications for the theories of strategic trading. We use the fact that many more trades and quote updates arrive within the first 100 milliseconds than during the rest of a second. These periodicities originate from algorithms that trade predictably by repeating instructions in loops with round start times and time increments. This seemingly irrational behavior serves as a synchronization mechanism for other investors. We also show that HFTs are much less prone to this bias.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132280121","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}