Review of Behavioral Finance最新文献

{"title":"Editorial on Professor Robert Hudson leaving the journal","authors":"R. Hudson, G. Muradoglu","doi":"10.1108/rbf-11-2022-305","DOIUrl":"https://doi.org/10.1108/rbf-11-2022-305","url":null,"abstract":"","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"2 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83380497","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":"A market sentiment indicator, behaviourally grounded, for the analysis and forecast of volatility and bubbles","authors":"C. Ciaschini, M. C. Recchioni","doi":"10.1108/rbf-07-2021-0128","DOIUrl":"https://doi.org/10.1108/rbf-07-2021-0128","url":null,"abstract":"PurposeThis work aims at designing an indicator for detecting and forecasting price volatility and speculative bubbles in three markets dealing with agricultural and soft commodities, i.e. Intercontinental Exchange Futures market Europe, (IFEU), Intercontinental Exchange Futures market United States (IFUS) and Chicago Board of Trade (CBOT). This indicator, designed as a demand/supply odds ratio, intends to overcome the subjectivity limits embedded in sentiment indexes as the Bull and Bears ratio by the Bank of America Merrill Lynch.Design/methodology/approachData evidence allows for the parameter estimation of a Jacobi diffusion process that models the demand share and leads the forecast of speculative bubbles and realised volatility. Validation of outcomes is obtained through the dynamic regression with autoregressive integrated moving average (ARIMA) error. Results are discussed in comparison with those from the traditional generalized autoregressive conditional heteroskedasticity (GARCH) models. The database is retrieved from Thomson Reuters DataStream (nearby futures daily frequency).FindingsThe empirical analysis shows that the indicator succeeds in capturing the trend of the observed volatility in the future at medium and long-time horizons. A comparison of simulations results with those obtained with the traditional GARCH models, usually adopted in forecasting the volatility trend, confirms that the indicator is able to replicate the trend also providing turning points, i.e. additional information completely neglected by the GARCH analysis.Originality/valueThe authors' commodity demand as discrete-time process is capable of replicating the observed trend in a continuous-time framework, as well as turning points. This process is suited for estimating behavioural parameters of the agents, i.e. long-term mean, speed of mean reversion and herding behaviour. These parameters are used in the forecast of speculative bubbles and realised volatility.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"49 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86549300","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":"Tone complexity and the cost of debt retrospective data from the USA","authors":"F. Bendriouch, Imad Jabbouri, Harit Satt, Zineb Jariri, M. M’hamdi","doi":"10.1108/rbf-02-2022-0064","DOIUrl":"https://doi.org/10.1108/rbf-02-2022-0064","url":null,"abstract":"PurposeThis paper explores the impact of tone complexity on the cost of debt in the USA.Design/methodology/approachA sampling from 692 publicly nonfinancial-traded companies in the USA is employed over the period between 2010 and 2018. Generalized methods of moments (GMM) model is implemented to examine the impact of tone complexity on the cost of debt and its implications upon creditors and users.FindingsThe findings show that high-tone complexity is associated with a greater cost of debt. The use of a more complex tone in a company's annual reports has been shown to influence creditors' perceptions of risk.Originality/valueThis research pursues innovation by examining how creditors can use the tone complexity of annual report to assess the level of information asymmetry and estimate the required rate of return accordingly.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"28 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82180615","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":"Democracy and access to finance in developing countries","authors":"Omar Farooq, Khondker Aktaruzzaman","doi":"10.1108/rbf-07-2022-0168","DOIUrl":"https://doi.org/10.1108/rbf-07-2022-0168","url":null,"abstract":"PurposeThe aim of this paper is to document the effect of democracy on the financing constraints faced by private firms.Design/methodology/approachThis paper uses the data from the World Bank's Enterprise Surveys to test the arguments presented in this paper in a large sample of private firms from 92 developing countries.FindingsThe results show that firms headquartered in more democratic countries have better access to finance than firms headquartered in less democratic countries. The findings are robust to the comprehensive inclusion of relevant controls and to a number of sensitivity tests. The authors' findings highlight an important channel through which democracy can affect the business environment of a country.Originality/valueThe authors believe that this paper is an initial attempt to document the effect of democracy on the financing constraints faced by private firms.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"90 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76575798","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":"Empirical evidence of attribute framing: the case of unsophisticated IPO investors","authors":"Albert Rapp","doi":"10.1108/rbf-01-2022-0008","DOIUrl":"https://doi.org/10.1108/rbf-01-2022-0008","url":null,"abstract":"PurposeThe purpose of this paper is to investigate the empirical relevance of attribute framing in the financial marketplace.Design/methodology/approachIncorporating a sample of German initial public offerings (IPOs) from 2010 to 2019, the author uses quantitative methods, including regression models and tests for the equality of means, to analyze whether unsophisticated investors are susceptible to attribute framing and whether this susceptibility reflects irrational behavior.FindingsUnsophisticated investors, who are typically retail investors, are susceptible to attribute framing. They are likely to subscribe to IPOs whose attribute “market valuation” is framed in a positive way, that is, IPOs with low offer prices. As low-priced IPOs are overvalued and underperform in the secondary market relative to high-priced IPOs, the susceptibility to attribute framing reflects irrational behavior. The findings are robust to controlling for sentiment.Research limitations/implicationsSince this paper includes a relatively small sample from a single stock market, future research might employ alternative approaches.Social implicationsWhen issuers and underwriters are able to exploit retail investors through attribute framing, the participation of these investors in the financial marketplace may finally decrease. Therefore, the financial literacy of retail investors needs to be improved.Originality/valueThis paper is the first to provide empirical evidence of attribute framing in a financial markets context. While most previous research on IPO offer prices focuses on US stocks, this paper is the first to incorporate German stocks.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"8 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80514561","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":"The association between financial literacy confidence and financial satisfaction","authors":"Blain Pearson, Thomas Korankye","doi":"10.1108/rbf-03-2022-0090","DOIUrl":"https://doi.org/10.1108/rbf-03-2022-0090","url":null,"abstract":"PurposeThis study examines the association between financial literacy confidence and financial satisfaction. The authors posit that overconfident poor performers will experience greater levels of financial satisfaction and underconfident high performers will experience lower levels of financial satisfaction.Design/methodology/approachBased on the results of an objective financial literacy assessment and a subjective financial literacy assessment, variables measuring study participants' financial literacy overconfidence and financial literacy underconfidence are constructed. The variables are analyzed for their associations with financial satisfaction.FindingsThe results from the multivariate analysis suggest that financial literacy overconfidence (underconfidence) is associated positively (negatively) with higher levels of financial satisfaction and is associated negatively (positively) with lower levels of financial satisfaction.Practical implicationsThe discussion first highlights that to increase objective financial literacy, the disconnect between subjective financial literacy assessment and objective financial literacy must be recognized. Secondly, the discussion encourages financial literacy and education programs to incorporate behavioral education, which can provide learners with an awareness of the role of financial literacy confidence when making financial decisions.Originality/valueFinancial literacy overconfidence can result in an inability to recognize the realities of one's financial situation. Individuals who are overconfident in their level of financial literacy preformed lower on an objective assessment of their financial literacy, yet also tended to have a greater sense of financial satisfaction. This finding not only suggests that financial literacy overconfidence results in financial ineptitude, but also suggest that financial literacy overconfidence can result in specious conclusions regarding one's financial situation. The financial literacy underconfidence finding suggests that those who are financial literate, and who are also underconfident in their financial literacy, are less likely to have high financial satisfaction.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"3 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88561059","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":"Can downside-risk measures help to explain the reluctance of households to invest in XTFs? An empirical study using the SHS-base","authors":"Hans Philipp Wanger, A. Oehler","doi":"10.1108/rbf-08-2021-0158","DOIUrl":"https://doi.org/10.1108/rbf-08-2021-0158","url":null,"abstract":"PurposeThe purpose of this paper is to investigate whether downside-risk measures help to explain why households largely refrain from investing in Exchange Traded Funds that replicate broad and internationally diversified market indices, so-called XTFs, although studies frequently recommend to do so.Design/methodology/approachThe paper analyzes whether evaluating risk in terms of downside-risk measures which reflect households' interpretation of risk closer than the standard deviation (SD) of returns, yields less risk-return-enhancements, and thus, fewer incentives for households to invest in XTFs. Household portfolios are compiled by combining stylized portfolio compositions that involve multiple asset classes and German households' security holdings. The data set covers the period from January 2014 to December 2016 and includes 47,388 securities.FindingsThe results indicate that none of the downside-risk measures can help to explain the reluctance of households to invest in XTFs. On the flip side, the results show that all stylized household portfolios can enhance the risk-return position from employing XTFs, regardless of the underlying risk measure. This supports the advice to invest in XTFs and extends it upon households that evaluate risk in terms of downside-risk.Originality/valueTo the best of the authors' knowledge, this study is the first to investigate risk-return-enhancements from XTFs while simultaneously considering various downside-risk measures and multiple asset classes of household portfolios.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"293 ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72544136","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":"CIO equity compensation and IT investment: the moderating role of board monitoring and evidence of managerial myopia","authors":"Serdar Turedi, Asligul Erkan-Barlow","doi":"10.1108/rbf-04-2022-0118","DOIUrl":"https://doi.org/10.1108/rbf-04-2022-0118","url":null,"abstract":"PurposeThe purpose of this paper is to examine the effects of managerial myopia on information technology (IT) investment. Specifically, it aims to investigate the influence of chief information officer (CIO) compensation on IT investment and the moderating role of the board monitoring strength on this relationship.Design/methodology/approachThe study examines a sample of 194 firms listed on US stock exchanges with a CIO position in 2019. The authors employ hierarchical regression analysis to test the hypothesis.FindingsThe results show that CIO compensation negatively influences IT investment. Further, even though vigilant board monitoring does not necessarily reduce such opportunistic behaviors, weak board monitoring creates an environment for such actions.Research limitations/implicationsFirst, the cross-sectional data can limit the results' generalizability. Second, the sampling frame is not perfectly random as it consists of firms that have CIO compensation information in the ExecuComp for 2019. Third, we include only two measures of board monitoring strength.Practical implicationsBoard of directors should wisely select compensation packages' components since equity incentives potentially exacerbate managerial myopia. Moreover, firms may regulate CIOs' investment behaviors through board-level IT governance.Originality/valueThis study is one of the few studies that utilize CIO sensitivity to measure CIO compensation. Moreover, by examining the factors affecting IT investment behavior, this study sheds light on CIO incentives' impact on IT investment behaviors. Finally, to the best of the authors' knowledge, this is the first study to investigate board monitoring's role in the relationship between CIO sensitivity and IT investment intensity.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"7 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85175581","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":"Household stock market participation in South Africa: the role of financial literacy and social interactions","authors":"Kingstone Nyakurukwa, Yudhvir Seetharam","doi":"10.1108/rbf-03-2022-0083","DOIUrl":"https://doi.org/10.1108/rbf-03-2022-0083","url":null,"abstract":"PurposeOne of the most important phenomena that have been confronted in the field of household finance is the stock market participation puzzle. The puzzle describes the anomaly that the majority of households do not have ownership of stock market products, though empirically stocks give higher expected returns than risk-free assets. The stock market participation rate plays an important role as it has a direct bearing on the equity premium. In this study, the authors aim to investigate how financial literacy and various proxies of social interaction are associated with stock market participation in South Africa.Design/methodology/approachThe study uses probit regression and ordinary least squares using the South African National Income Dynamics survey Wave 5 of 2017 to investigate whether financial literacy and social interaction are significantly associated with stock market participation. The financial literacy index is computed using factor analysis on the responses to the financial literacy questions used in the survey. The authors use three proxies for social interaction, namely membership in a Stokvel, membership in a men's association and membership in a women's association.FindingsThe results reveal that an increase in financial literacy increases the odds of respondents participating in the stock market. Among the control variables, age, race and level of education are significantly associated with stock market participation. When it comes to social interaction, it is belonging to a men's association that is significantly associated with stock market participation. The other proxies for social interaction are insignificantly associated with stock market participation.Originality/valueThe study contributes to the extant literature by using a set of proxies for social interaction that have the potential to influence stock market participation which have not been used in a South African context.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"29 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88436543","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":"The impact sporting and financial performance of football clubs on their stock price: an analytical study of European clubs sample listed in the financial market","authors":"Nazar Habeeb Abbas","doi":"10.1108/rbf-11-2021-0242","DOIUrl":"https://doi.org/10.1108/rbf-11-2021-0242","url":null,"abstract":"PurposeThe purpose of this research is to determine the nature of the relationship between sporting, financial performance and a stock price of football clubs by adopting the quarterly financial statements of the European clubs that represent the research sample: Juventus, Borussia Dortmund and Olympique Lyonnais, which helps clubs’ managers in evaluating the sporting and financial performance effect on the share price at the quarterly level.Design/methodology/approachThe research is performed using the panel data technique, for Juventus, Borussia Dortmund and Olympique Lyonnais (2007–2016). The sporting performance is represented by the quarterly rate of the number of goals scored by the club to the number of goals scored against it; the quarterly rate of the number of wins to the total number of matches played by the club in local and international competitions. At the same time, financial performance is represented by the quarterly rate of current ratio, the quarterly rate of the leverage ratio, and the quarterly rate of earnings per share (EPS).FindingsThe analysis of the results was distributed at two levels: macro and micro. The analysis at the macro-level dealt with the correlation and influence between the sports performance indicators and the financial performance indicators of the three clubs combined on the share prices of those clubs. The micro-level performance is analyzed separately from the macro analysis. The results indicated that there was an effect on macro analysis. As for the microanalysis, the results showed no effect of the sporting performance of the three clubs on their share price.Research limitations/implicationsThe main implications of this research reveal the weakness of the correlation between the clubs' share price in the financial market, possibly due to the quarterly rate of the data. But there is a slight change for Juventus. There is a moderate correlation between the quarterly sporting performance indicators of this club and the quarterly average of its share price in the market.Practical implicationsThe main implications of this research reveal the weakness of the correlation between the clubs' share price in the financial market, possibly due to the quarterly rate of the data. But there is a slight change for Juventus. There is a moderate correlation between the quarterly sporting performance indicators of this club and the quarterly average of its share price in the market.Social implicationsThe social implications of the current research are clear by dealing with the relationship between the sports and Financial performance of football clubs and its relationship to the price of its shares in the financial market. The success of football clubs in achieving sporting victory attracts more fans. This leads to an increase in the club's profits and consequently to an increase in the price of its shares in the financial markets. Therefore, the societal benefit will be achieved by increasing the enjoyment of the au","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":"18 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81807976","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}