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Journal of Behavioral and Experimental Finance最新文献

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Salience theory, investor sentiment, and commonality in sentiment: Evidence from the Chinese stock market 显著性理论、投资者情绪和情绪的共性：来自中国股市的证据
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-04-03 DOI: 10.1016/j.jbef.2024.100934
Zhijun Hu , Ping-Wen Sun
{"title":"Salience theory, investor sentiment, and commonality in sentiment: Evidence from the Chinese stock market","authors":"Zhijun Hu ,&nbsp;Ping-Wen Sun","doi":"10.1016/j.jbef.2024.100934","DOIUrl":"https://doi.org/10.1016/j.jbef.2024.100934","url":null,"abstract":"<div><p>Investors pay more attention to a stock when the absolute return difference between the stock and the market is substantial, and consequently investors overweight this salience attribute when assessing the expected payoff from the stock. We demonstrate that the salience theory measure, which reflects this phenomenon, serves as a reliable proxy for firm-level investor sentiment and that the aggregate salience theory measure effectively represents market investor sentiment in the Chinese stock market. Furthermore, our findings reveal that the quintile portfolio with salient upsides underperforms the one with salient downsides by 1.26% (1.19% after risk adjustment) per month from 2002 to 2021. Moreover, we illustrate that the investor sentiment component of the salience theory measure significantly contributes to the negative salience premium. Finally, we provide evidence that the commonality in sentiment is priced significantly and positively, even after we control for the salience theory measure, firm risk characteristics, and lottery characteristics.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100934"},"PeriodicalIF":6.6,"publicationDate":"2024-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140542328","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
Investor heterogeneity and anchoring-induced momentum 投资者的异质性和锚定引发的动力
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-04-01 DOI: 10.1016/j.jbef.2024.100926
Olena Onishchenko , Jing Zhao , Sampath Kongahawatte , Duminda Kuruppuarachchi
{"title":"Investor heterogeneity and anchoring-induced momentum","authors":"Olena Onishchenko ,&nbsp;Jing Zhao ,&nbsp;Sampath Kongahawatte ,&nbsp;Duminda Kuruppuarachchi","doi":"10.1016/j.jbef.2024.100926","DOIUrl":"https://doi.org/10.1016/j.jbef.2024.100926","url":null,"abstract":"<div><p>This paper investigates how anchoring-induced investors’ trading behavior drives momentum anomaly. The results show that price momentum does not retain its ability to predict future returns after considering the stock’s nearness to its 52-week high. The stock price’s nearness to the 52-week high is a stronger return predictor for stocks with a higher retail trading proportion. This suggests an anchoring-induced momentum pattern, which is affected by investor heterogeneity. Our trading flow analysis reveals that retail investors are subject to anchoring bias. Their trading behavior causes price underreaction to good (bad) information for stocks traded near (far from) their 52-week high.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100926"},"PeriodicalIF":6.6,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635024000418/pdfft?md5=25ecd0a894698c88be76b5e148bbb67b&pid=1-s2.0-S2214635024000418-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140347308","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Home bias and the returns of strategic portfolios: Neither always so good nor so bad 本土偏好与战略投资组合的回报：既不总是好，也不总是坏
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-04-01 DOI: 10.1016/j.jbef.2024.100927
Fernando Vega-Gámez , Pablo J. Alonso-González
{"title":"Home bias and the returns of strategic portfolios: Neither always so good nor so bad","authors":"Fernando Vega-Gámez ,&nbsp;Pablo J. Alonso-González","doi":"10.1016/j.jbef.2024.100927","DOIUrl":"https://doi.org/10.1016/j.jbef.2024.100927","url":null,"abstract":"<div><p>Home Bias is a phenomenon that has been sufficiently addressed from many different perspectives, such as active management or structural investment constraints. However, there is little work about the economic effects of these situations. This work aims to quantify the impact of this effect on the returns of a set of strategic portfolios with the same allocation between fixed income and equity assets. The statistical information includes the daily values of all indices for the 2004–2021 period. Returns have been calculated for investment time horizons of between 5 and 15 years. Quantile regressions have been used to assess changes in returns in response to changes in portfolio composition. The results suggest that over-investment in local assets is not always positive and dependent on the local index selected.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100927"},"PeriodicalIF":6.6,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S221463502400042X/pdfft?md5=34cc3a90706f6eb9f18af6c976486998&pid=1-s2.0-S221463502400042X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140542327","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Herding behaviour and monetary policy: Evidence from the ZAR market 羊群行为与货币政策：来自南非兰特市场的证据
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-03-20 DOI: 10.1016/j.jbef.2024.100920
Xolani Sibande
{"title":"Herding behaviour and monetary policy: Evidence from the ZAR market","authors":"Xolani Sibande","doi":"10.1016/j.jbef.2024.100920","DOIUrl":"https://doi.org/10.1016/j.jbef.2024.100920","url":null,"abstract":"<div><p>We investigated the presence of herding and its interactions with monetary policy in the ZAR market. We achieved this using both the standard herding tests and Sim and Zhou’s (2015) quantile-on-quantiles regressions. Similar to previous results in other markets, we found that extreme market events mainly drove herding behaviour in the ZAR market. This result was also significant in the presence of monetary policy announcements. However, herding in the ZAR markets was not related to market fads. It, therefore, was, in the main, a rational response to public information, indicating central bank credibility. This credibility gives scope to the central bank to improve communication in periods of market crisis to dampen potential volatility. Further studies on the herding of specific ZAR market participants can be invaluable.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100920"},"PeriodicalIF":6.6,"publicationDate":"2024-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635024000352/pdfft?md5=8d4fac72633f094a19988333afdad57e&pid=1-s2.0-S2214635024000352-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140181138","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Nonspeculative bubbles revisited 非投机性泡沫重温
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-03-19 DOI: 10.1016/j.jbef.2024.100925
Steven Tucker , Yilong Xu
{"title":"Nonspeculative bubbles revisited","authors":"Steven Tucker ,&nbsp;Yilong Xu","doi":"10.1016/j.jbef.2024.100925","DOIUrl":"https://doi.org/10.1016/j.jbef.2024.100925","url":null,"abstract":"<div><p>In an important contribution, Lei et al. (2001, Econometrica) argue that speculation is not the driver of bubbles in the absence of common knowledge of rationality, suggesting a focus on mistakes and confusion. We revisit Lei et al.’s (2001) design, confirming the existence of bubbles. However, we argue that, although their design removes the ability to speculate, it introduces several unintended design artifacts. We discuss four possible behavioral implications of the design that may put upward pressure on transaction prices. The first is extreme initial asymmetric endowments. Second, cash to asset ratio increases with each transaction. Third, the combination of a high cash to asset ratio and removal of cash and assets from the market with each transaction impact perceived scarcity of assets more than cash. Lastly, actual scarcity of assets is present in these markets. We argue that these factors individually or in combination lead to the observed bubbles despite prohibiting speculative behavior.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100925"},"PeriodicalIF":6.6,"publicationDate":"2024-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635024000406/pdfft?md5=0ecf3e4098e4969ccb590a923f0ce537&pid=1-s2.0-S2214635024000406-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140188296","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Skill, effort, luck: Determinants of rank-based endowments and risk-taking in a social setting 技能、努力、运气：社会环境中基于等级的禀赋和冒险行为的决定因素
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-03-16 DOI: 10.1016/j.jbef.2024.100924
Sebastian Krull , Matthias Pelster , Petra Steinorth
{"title":"Skill, effort, luck: Determinants of rank-based endowments and risk-taking in a social setting","authors":"Sebastian Krull ,&nbsp;Matthias Pelster ,&nbsp;Petra Steinorth","doi":"10.1016/j.jbef.2024.100924","DOIUrl":"https://doi.org/10.1016/j.jbef.2024.100924","url":null,"abstract":"<div><p>Social comparisons and rank-based endowments impact risk-taking decisions. We provide experimental evidence indicating that rank-based endowments have differential impacts on risk-taking decisions based on the aspect used to rank individuals. We observe the largest rank-based differences when such endowments are determined based on individuals’ effort or skill. Compared to individuals who rank first, individuals who rank last in these settings increase their risk-taking by, on average, 17.55 percentage points (pp). In the case of luck-based endowments, the effect size is significantly smaller (11.34 pp). We conduct an additional treatment where rank and endowment are independent and find that differences in risk-taking are driven mainly by participants’ endowments rather than by the ranking itself.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100924"},"PeriodicalIF":6.6,"publicationDate":"2024-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S221463502400039X/pdfft?md5=975acb520d76d771f654a763c796a298&pid=1-s2.0-S221463502400039X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140181137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stock market reactions under the shadow of the COVID-19 pandemic: Evidence from China COVID-19大流行阴影下的股市反应：来自中国的证据
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-03-15 DOI: 10.1016/j.jbef.2024.100923
Wenyu Zhou , Yujun Zhou , Adam Zaremba , Huaigang Long
{"title":"Stock market reactions under the shadow of the COVID-19 pandemic: Evidence from China","authors":"Wenyu Zhou ,&nbsp;Yujun Zhou ,&nbsp;Adam Zaremba ,&nbsp;Huaigang Long","doi":"10.1016/j.jbef.2024.100923","DOIUrl":"https://doi.org/10.1016/j.jbef.2024.100923","url":null,"abstract":"<div><p>This paper studies how the Chinese stock market reacts to new COVID-19 infections under the zero-COVID policy. Consistent with the literature, we find that a COVID-19 outbreak within a city adversely affects the performance of local firms, but further unveils the effect’s nonlinearity. More importantly, we document an unexpected pattern of spatial spillover of the COVID-19 shock, which is likely to be caused by the policy itself. In addition, firms with significant retail exposure are most vulnerable, while firms with low pandemic exposure, larger size, state-owned enterprise (SOE) status, and robust finances demonstrate greater resilience to the COVID-19 shock. Mechanism analysis indicates that the COVID-19 effects are realized through both cash flow and discount rate channels. Supplementary back-of-the-envelope calculations illustrate the substantial economic consequences of these phenomena, which shed light on the debate on the optimal policy in response to a future pandemic.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100923"},"PeriodicalIF":6.6,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140163217","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
Voluntary insurance vs. stabilization funds: An experimental analysis on bank runs 自愿保险与稳定基金：银行挤兑实验分析
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-03-12 DOI: 10.1016/j.jbef.2024.100909
Iván Barreda-Tarrazona , Gianluca Grimalda , Andrea Teglio
{"title":"Voluntary insurance vs. stabilization funds: An experimental analysis on bank runs","authors":"Iván Barreda-Tarrazona ,&nbsp;Gianluca Grimalda ,&nbsp;Andrea Teglio","doi":"10.1016/j.jbef.2024.100909","DOIUrl":"10.1016/j.jbef.2024.100909","url":null,"abstract":"<div><p>Banking crises have recurrently emphasized the crucial need for establishing effective mechanisms to prevent bank runs, and different organizations are exploring a range of potential measures. With the aim of contributing to this debate, we run a laboratory experiment to study the effectiveness of two untested devices: Stability funds that automatically limit depositors’ possibility of withdrawing their assets, and voluntary individual insurance against the risk of default. Depositors start the interaction with a monetary endowment deposited in a bank. They can then withdraw money before and after the bank suffers a liquidity loss. Such a loss can be either permanent or temporary, but its nature will only be discovered at the end of the interaction. The bank defaults if the desired withdrawals exceed its available liquidity. Our results show that the only effective mechanism in reducing bank defaults, compared to the baseline, is the stability fund with high coverage. When groups have a high share of female depositors, there is a significant reduction in the likelihood of bank runs, which can be explained by women’s higher propensity to buy insurance. When a critical liquidity signal is issued, indicating a dangerous situation, women’s lower propensity to withdraw disappears, bringing it to levels similar to that of men.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100909"},"PeriodicalIF":6.6,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635024000248/pdfft?md5=ff96ed3e12756abbb2d893c765a4773e&pid=1-s2.0-S2214635024000248-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140126996","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Resource allocation, computational complexity, and market design 资源分配、计算复杂性和市场设计
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-03-11 DOI: 10.1016/j.jbef.2024.100906
Peter Bossaerts , Elizabeth Bowman , Felix Fattinger , Harvey Huang , Michelle Lee , Carsten Murawski , Anirudh Suthakar , Shireen Tang , Nitin Yadav
{"title":"Resource allocation, computational complexity, and market design","authors":"Peter Bossaerts ,&nbsp;Elizabeth Bowman ,&nbsp;Felix Fattinger ,&nbsp;Harvey Huang ,&nbsp;Michelle Lee ,&nbsp;Carsten Murawski ,&nbsp;Anirudh Suthakar ,&nbsp;Shireen Tang ,&nbsp;Nitin Yadav","doi":"10.1016/j.jbef.2024.100906","DOIUrl":"https://doi.org/10.1016/j.jbef.2024.100906","url":null,"abstract":"<div><p>With three experiments, we study the design of financial markets to help spread knowledge about solutions to the 0-1 Knapsack Problem (KP), a combinatorial resource allocation problem. To solve the KP, substantial cognitive effort is required; random sampling is ineffective and humans rarely resort to it. The theory of computational complexity motivates our experiment designs. Complete markets generate noisy prices and knowledge spreads poorly. Instead, one carefully chosen security per problem instance causes accurate pricing and effective knowledge dissemination. This contrasts with information aggregation experiments. There, values depend on solutions to probabilistic problems, which can be solved by random drawing.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100906"},"PeriodicalIF":6.6,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635024000212/pdfft?md5=1ba78719b59bb416f7b4570373c8fd83&pid=1-s2.0-S2214635024000212-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140113045","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Investment motives and performance expectations of impact investors 社会企业投资者的投资动机和绩效预期
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-03-11 DOI: 10.1016/j.jbef.2024.100911
Kremena Bachmann , Julia Meyer , Annette Krauss
{"title":"Investment motives and performance expectations of impact investors","authors":"Kremena Bachmann ,&nbsp;Julia Meyer ,&nbsp;Annette Krauss","doi":"10.1016/j.jbef.2024.100911","DOIUrl":"10.1016/j.jbef.2024.100911","url":null,"abstract":"<div><p>Using a unique sample of retail impact investors, this study evaluates how investors deal with the challenge of aligning their financial and their nonfinancial goals. We find that investors with stronger nonfinancial motives are more likely to expect the overperformance of an impact investment and the underperformance of traditional equity and bond investments than investors with weaker nonfinancial motives. This cross-asset relationship between nonfinancial motives and expected performance indicates that investors form expectations that fit with the investment decisions that their nonfinancial motives are likely to motivate. We also find that after experiencing losses, investors with stronger nonfinancial motives are less likely to revise their expectation that the impact investment will underperform and more likely to expect that the impact investment will overperform than other investors. Our findings provide further evidence that preferences can affect expectations, and challenge conclusions drawn from observed behavior regarding investors’ willingness to pay for impact.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100911"},"PeriodicalIF":6.6,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635024000261/pdfft?md5=9a1ae9a76a434fda90fd8b6e71413608&pid=1-s2.0-S2214635024000261-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140127002","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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