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Journal of Behavioral and Experimental Finance最新文献

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Beyond averages: Quantile connectedness between G7 equity markets and derivative tokens
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-03-02 DOI: 10.1016/j.jbef.2025.101030
Shoaib Ali , Jinxin Cui
{"title":"Beyond averages: Quantile connectedness between G7 equity markets and derivative tokens","authors":"Shoaib Ali ,&nbsp;Jinxin Cui","doi":"10.1016/j.jbef.2025.101030","DOIUrl":"10.1016/j.jbef.2025.101030","url":null,"abstract":"<div><div>Using the novel Quantile VAR connectedness approach, this paper investigates the connectedness between G7 equity markets and derivative tokens across various quantiles. Empirical results demonstrate that the spillovers at the higher and lower quantiles are significantly higher than at the mean and median quantiles. Except for Japan, other G7 equity markets are net transmitters, while the derivative tokens are net recipients. The dynamic connectedness indices vary with time and quantiles and they are more volatile at the extreme quantiles. The optimal hedging strategy offers higher risk reduction effectiveness, especially the US equity-token pairs. Our findings offer implications for various stakeholders.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"46 ","pages":"Article 101030"},"PeriodicalIF":4.3,"publicationDate":"2025-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143548469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Assessing linkages between supply chain tokens and other assets: Evidence from a time-frequency quantile connectedness approach
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-03-01 DOI: 10.1016/j.jbef.2025.101029
Marouene Mbarek , Badreddine Msolli
{"title":"Assessing linkages between supply chain tokens and other assets: Evidence from a time-frequency quantile connectedness approach","authors":"Marouene Mbarek ,&nbsp;Badreddine Msolli","doi":"10.1016/j.jbef.2025.101029","DOIUrl":"10.1016/j.jbef.2025.101029","url":null,"abstract":"<div><div>This study assesses return spillovers and hedging dynamics between supply chain tokens and traditional assets, including equities, currencies, bonds, gold, oil, and Bitcoin, using a time-frequency quantile connectedness approach. Findings reveal that while supply chain tokens exhibit weak connectedness with traditional assets during stable periods, heightened market volatility, such as during the COVID-19 pandemic, significantly increases return spillovers, particularly from equities and Bitcoin. Supply chain tokens offer some diversification potential, especially when paired with oil (WTI), but their effectiveness as hedging instruments varies by time horizon and market conditions. Optimal portfolio weights and hedge ratios suggest that investors should dynamically adjust allocations to mitigate risks effectively, particularly during market instability. These insights emphasize the need for adaptable portfolio strategies when integrating supply chain tokens with traditional assets.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"46 ","pages":"Article 101029"},"PeriodicalIF":4.3,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143548470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corporate integrity culture and dividend policy
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-02-15 DOI: 10.1016/j.jbef.2025.101028
Rajesh Kumar Sinha , Harshali Damle
{"title":"Corporate integrity culture and dividend policy","authors":"Rajesh Kumar Sinha ,&nbsp;Harshali Damle","doi":"10.1016/j.jbef.2025.101028","DOIUrl":"10.1016/j.jbef.2025.101028","url":null,"abstract":"<div><div>We examine whether and how the corporate integrity culture affects a firm's dividend policy. Using a validated time-variant measure of firm-level integrity culture, we find that integrity culture increases firms' dividend payout: a one standard deviation increase in integrity culture is associated with an increase of 9.89 % of the mean dividend yield. We also find that integrity culture positively influences dividends through financial constraint and firm risk channels. Our study is robust to endogeneity tests, including an instrumental variable approach using state-level corruption convictions and organ donation as instrumental variables and difference-in-difference methods employing the global financial crisis and the COVID pandemic as an exogenous shock.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"46 ","pages":"Article 101028"},"PeriodicalIF":4.3,"publicationDate":"2025-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143488497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pricing anomalies in a general equilibrium model with biased learning
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-02-08 DOI: 10.1016/j.jbef.2025.101027
Andrea Antico, Giulio Bottazzi, Daniele Giachini
{"title":"Pricing anomalies in a general equilibrium model with biased learning","authors":"Andrea Antico,&nbsp;Giulio Bottazzi,&nbsp;Daniele Giachini","doi":"10.1016/j.jbef.2025.101027","DOIUrl":"10.1016/j.jbef.2025.101027","url":null,"abstract":"<div><div>We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets and cognitively biased agents. General equilibrium and market completeness avoid spurious effects due to portfolio composition or price stickiness. Taking inspiration from and merging different strands of empirical literature, we try to identify anomalies in the most general way, studying return autocorrelation patterns, price gaps following sequences of specific events, and relative performances of suitably defined portfolios. We show that these three characterizations are not equivalent. They capture different aspects of mispricing and relate differently to the behavioral characteristics of the agents. Often, similar anomalous patterns struggle to coexist under seemingly related biases. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that subsequently revert.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"45 ","pages":"Article 101027"},"PeriodicalIF":4.3,"publicationDate":"2025-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143422471","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
CEO and CFO conscientiousness and working capital management during global financial crisis
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-02-04 DOI: 10.1016/j.jbef.2025.101026
Shreesh Deshpande, Marko Svetina, Pengcheng Zhu
{"title":"CEO and CFO conscientiousness and working capital management during global financial crisis","authors":"Shreesh Deshpande,&nbsp;Marko Svetina,&nbsp;Pengcheng Zhu","doi":"10.1016/j.jbef.2025.101026","DOIUrl":"10.1016/j.jbef.2025.101026","url":null,"abstract":"<div><div>Behavioral finance research has examined the influence of CEO personality traits on firm policies and performance. Our study focuses on the conscientiousness of CEOs and CFOs during the 2008 financial crisis and its impact on working capital management. We find that firms with highly conscientious executive leadership benefitted from a greater increase in trade credit from suppliers in comparison to trade credit offered to their customers. Additionally, firms led by highly conscientious CFOs tend to keep longer relationships with key customers. As a result of improved efficiency in working capital management, firms led by conscientious top executives performed better during the financial crisis, as evidenced by a higher Tobin’s Q.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"45 ","pages":"Article 101026"},"PeriodicalIF":4.3,"publicationDate":"2025-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143350260","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
How does investment efficiency affect financial distress risk? Evidence from China
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-01-22 DOI: 10.1016/j.jbef.2025.101024
Huixia Geng , Hongbing Zhu , Wei Theng Lau , Normaziah Mohd Nor , Nazrul Hisyam Ab Razak
{"title":"How does investment efficiency affect financial distress risk? Evidence from China","authors":"Huixia Geng ,&nbsp;Hongbing Zhu ,&nbsp;Wei Theng Lau ,&nbsp;Normaziah Mohd Nor ,&nbsp;Nazrul Hisyam Ab Razak","doi":"10.1016/j.jbef.2025.101024","DOIUrl":"10.1016/j.jbef.2025.101024","url":null,"abstract":"<div><div>Motivated by the high financial distress risk (Hereafter, FDR) level and extensively inefficient investment behaviors in China, this paper aims to explore the relationship between firms’ investment efficiency and FDR. Utilizing Chinese A-share market data spanning 2008–2020, we find that over-investment linearly exacerbates FDR, while under-investment has a U-shaped relationship with FDR. Detecting the underlying mechanisms, we find that over-investment exacerbates FDR through linearly declining firms’ cash holding and investing cash flow while increasing firms financing cash flow, and under-investment impacts FDR through the inverted U-shaped relationship with operating cash flow and U-shaped relationship with firms’ financing cash flow. Our findings hold up well after various robustness tests, providing new implications of firm life circle theory and static trade-off theory in the process of investment efficiency influencing FDR.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"45 ","pages":"Article 101024"},"PeriodicalIF":4.3,"publicationDate":"2025-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143161408","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Board gender diversity reforms and corporate social responsibility: International evidence
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-01-21 DOI: 10.1016/j.jbef.2025.101025
Yingying Xin , James Thewissen , Albert Tsang , Shuo Yan
{"title":"Board gender diversity reforms and corporate social responsibility: International evidence","authors":"Yingying Xin ,&nbsp;James Thewissen ,&nbsp;Albert Tsang ,&nbsp;Shuo Yan","doi":"10.1016/j.jbef.2025.101025","DOIUrl":"10.1016/j.jbef.2025.101025","url":null,"abstract":"<div><div>Using the board gender diversity (BGD) reforms implemented in countries worldwide and a staggered difference-in-differences research design, this study highlights a significant positive impact of BGD reform on firms’CSR performance. Furthermore, the results reveal that among countries implementing BGD reforms, the effect of reform on CSR is more pronounced in countries with greater equality between men and women, as well as in nations with greater environmental, social, and governance risk concerns. Conversely, we observe a weaker influence of BGD on CSR in countries with stricter legal environments and greater political stability. Our findings also indicate that the implementation of BGD reform weakens the positive correlation between a firm’s CSR performance and their future financial performance. In summary, these findings support the notion that while BGD reform plays a pivotal role in promoting firms’ CSR investment, improved CSR initiatives in a country after BGD reform implementation may yield less value enhancement.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"45 ","pages":"Article 101025"},"PeriodicalIF":4.3,"publicationDate":"2025-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143161407","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does major depressive disorder affect the perception of financial threat and willingness to change financial behavior?
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-01-14 DOI: 10.1016/j.jbef.2025.101023
Çağrı Hamurcu , H. Dilek Hamurcu , Oğuzhan Uğur , Ali Çayköylü
{"title":"Does major depressive disorder affect the perception of financial threat and willingness to change financial behavior?","authors":"Çağrı Hamurcu ,&nbsp;H. Dilek Hamurcu ,&nbsp;Oğuzhan Uğur ,&nbsp;Ali Çayköylü","doi":"10.1016/j.jbef.2025.101023","DOIUrl":"10.1016/j.jbef.2025.101023","url":null,"abstract":"<div><div>This study aimed to compare individuals diagnosed with major depressive disorder (MDD) with a healthy control group in terms of perceived financial threat and willingness to change financial behavior. It also examined whether the severity of depression in people with MDD affects perceived financial threat and willingness to change financial behavior, and how financial threat affects the willingness to change financial behavior. The study included 266 patients diagnosed with MDD and 266 healthy volunteers. The financial threat scale, the willingness to change financial behavior scale, and the Beck Depression Inventory are used. Results showed that individuals with MDD experience a higher perception of financial threat and a lower willingness to change financial behavior compared to healthy individuals. The severity of depression in individuals with MDD positively affects the perception of financial threat. However, this severity does not directly affect willingness to change financial behavior; instead, it creates an indirect effect through perceived financial threat. Moreover, perceived financial threat in MDD patients positively influences their willingness to change financial behavior. This study can make significant contributions to both behavioral finance and psychiatry literature in terms of revealing the effects of mental health on perceptions and behaviors regarding financial issues. The research offers new perspectives to develop practical implications on how mental health problems can be evaluated together with financial decision-making processes, how multifaceted evaluations can be conducted regarding the financial behavior of people with depression, and how predictions can be made by looking at both individuals and financial markets from these aspects.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"45 ","pages":"Article 101023"},"PeriodicalIF":4.3,"publicationDate":"2025-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143161406","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
To compete or cooperate: The application of system dynamics simulation on the choice of Chinese banks
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-01-13 DOI: 10.1016/j.jbef.2025.101022
Wei Yin , Qiulan Hua , Berna Kirkulak-Uludag
{"title":"To compete or cooperate: The application of system dynamics simulation on the choice of Chinese banks","authors":"Wei Yin ,&nbsp;Qiulan Hua ,&nbsp;Berna Kirkulak-Uludag","doi":"10.1016/j.jbef.2025.101022","DOIUrl":"10.1016/j.jbef.2025.101022","url":null,"abstract":"<div><div>This paper uses Evolutionary Game Model and System Dynamics Simulation to explore the impact of interest rate liberalization policy and guanxi on competition among Chinese banks. The results show that the guanxi is a key factor to push both large and small banks to cooperate with each other in the interest rate fully limited period. However, during the partial liberalization period, large banks and small banks display different behaviors, with the former adopting a cooperative approach due to guanxi while the latter choose to compete. In the fully liberalized period, the declining impact of guanxi on business drives large banks to compete in the market with lower interest rates. In general, guanxi is a major factor that hinders competition and results in varying lending rates in the market.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"45 ","pages":"Article 101022"},"PeriodicalIF":4.3,"publicationDate":"2025-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143161402","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Noise trader clusters and market efficiency
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-01-10 DOI: 10.1016/j.jbef.2025.101021
Christos Pantzalis, Jung Chul Park, Pinshuo Wang
{"title":"Noise trader clusters and market efficiency","authors":"Christos Pantzalis,&nbsp;Jung Chul Park,&nbsp;Pinshuo Wang","doi":"10.1016/j.jbef.2025.101021","DOIUrl":"10.1016/j.jbef.2025.101021","url":null,"abstract":"<div><div>We posit that noise trader clusters, retail investor base configurations that are homogeneous and informationally segmented, should be associated with greater market inefficiency because they facilitate the spread of common, “local” narratives and sentiment about the stock over fundamentals and market information. Our tests confirm that noise trader clusters have significant stock pricing implications. Stocks with retail investor clusters are associated with stronger peer effects, greater delay in incorporating market information, and more idiosyncratic risk. Consistent with the notion that they are associated with greater arbitrage risk and mispricing, such stocks earn higher risk-adjusted returns and display stronger long-run reversals.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"45 ","pages":"Article 101021"},"PeriodicalIF":4.3,"publicationDate":"2025-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143161404","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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