Journal of Behavioral and Experimental Finance最新文献

{"title":"Take the aTrain. Introducing an interface for the Accessible Transcription of Interviews","authors":"Armin Haberl ,&nbsp;Jürgen Fleiß ,&nbsp;Dominik Kowald ,&nbsp;Stefan Thalmann","doi":"10.1016/j.jbef.2024.100891","DOIUrl":"10.1016/j.jbef.2024.100891","url":null,"abstract":"<div><p>Research in behavioral and experimental finance becomes more multifaceted and the analysis of data from speech interactions more important. This raises the need for technical support for researchers using qualitative data generated from speech interactions. aTrain serves this need and is an open-source, offline transcription tool with a graphical interface for audio data in multiple languages. It requires no programming skills, runs on most computers, operates without internet, and ensures data is not uploaded to external servers. aTrain combines OpenAI’s Whisper transcription models with speaker recognition and provides output that integrates with MAXQDA and ATLAS.ti. Available on the Microsoft Store for easy installation, its source code is also accessible on GitHub. aTrain, designed for speed on local computers, transcribes audio files at 2-3 times the audio duration on mobile CPUs using the highest-accuracy Whisper transcription models. With an entry-level graphics card, this speed improves to 30% of the audio duration.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100891"},"PeriodicalIF":6.6,"publicationDate":"2024-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635024000066/pdfft?md5=1a8354da5a2ed4647540891039552423&pid=1-s2.0-S2214635024000066-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518455","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}

{"title":"Managerial myopia and corporate social responsibility：Evidence from the textual analysis of chinese earnings communication conferences","authors":"Hui Ding,&nbsp;Fuwei Jiang,&nbsp;Shan Zhang,&nbsp;Zhining Zhang","doi":"10.1016/j.jbef.2024.100886","DOIUrl":"10.1016/j.jbef.2024.100886","url":null,"abstract":"<div><p>Corporate social responsibility (CSR) plays an important role in developing countries achieving sustainable goals. Using the textual analysis of Chinese earnings communication conferences, we investigate whether the managers' time horizons influence CSR performance. We find that the level of managerial myopia is negatively related to CSR scores. This deleterious impact manifests asymmetrically under diverse expectations. Furthermore, guided by the CSR pyramid theory, our findings suggest that managerial myopia undermines both financial and legal responsibilities, subsequently exerting an influence on the commitment to social responsibility. Compensation incentives can effectively mitigate the deleterious impacts associated with myopia. Nevertheless, heightened external pressures originating from capital and product markets may impose constraints on managers' time horizons, thereby amplifying the adverse repercussions of myopia.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100886"},"PeriodicalIF":6.6,"publicationDate":"2024-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139638704","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}

{"title":"Sustainable risk preferences on asset allocation: a higher order optimal portfolio study","authors":"Antonio Díaz,&nbsp;Ana Escribano,&nbsp;Carlos Esparcia","doi":"10.1016/j.jbef.2024.100887","DOIUrl":"10.1016/j.jbef.2024.100887","url":null,"abstract":"<div><p>This paper empirically investigates the financial performance of asset allocation strategies under “sustainable” risk preferences and conventional risk preferences. We assume that traditional investors and ESG investors behave differently in their investment decisions. The optimal portfolio choice is developed including dynamic higher order conditional co-moments and time-varying risk aversion. From an out-of-sample empirical experiment, we observe that this optimization technique provides much more stable optimal weights for the sustainable portfolio than for the traditional one. Based on both classical and downside-risk performance measures, active management in both portfolios outperforms the global market index. In this context, the non-inclusion of skewness and kurtosis leads to an underestimation of actual risk exposure. Finally, we provide empirical evidence that the sustainable portfolio largely outperformances the traditional investment.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100887"},"PeriodicalIF":6.6,"publicationDate":"2024-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635024000029/pdfft?md5=726f6e8695846a4ea82fbbb947be53bf&pid=1-s2.0-S2214635024000029-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139470526","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}

{"title":"Societal secrecy and ADR IPOs underpricing","authors":"Axel Grossmann ,&nbsp;Thanh Ngo ,&nbsp;Marc W. Simpson","doi":"10.1016/j.jbef.2024.100888","DOIUrl":"10.1016/j.jbef.2024.100888","url":null,"abstract":"<div><p>This study examines 350 Level III ADR IPOs from 35 countries between 1990 and 2020 to explore the link between societal secrecy and IPO underpricing. Focusing on ADR IPOs, we hypothesize that firms from higher secrecy countries, compared to firms from low secrecy countries, benefit more from public offerings in a low secrecy country. U.S. investors might value these firms relatively more due to the reduction in information asymmetry and higher expected diversification benefits. The results support our hypothesis, showing that ADR IPO underpricing is lower for ADRs from high secrecy countries. These findings hold true across various measures and controls, ensuring robustness.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100888"},"PeriodicalIF":6.6,"publicationDate":"2024-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139461883","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}

{"title":"Does overconfidence affect venture capital firms’ investment?","authors":"Salma Ben Amor ,&nbsp;Maher Kooli","doi":"10.1016/j.jbef.2023.100884","DOIUrl":"10.1016/j.jbef.2023.100884","url":null,"abstract":"<div><p>We examine the effect of overconfidence bias on VC firms’ investment. Using a sample of U.S. venture capital exits by IPOs and M&amp;As between 2000 and 2019, we construct an overconfidence index and find a strong positive relationship between the follow-on funds and the degree of overconfidence. We also find that the higher the VC’s overconfidence, the shorter the time to raise new capital. Further, we show that overconfident VCs are more likely to exit their investments via IPOs rather than M&amp;As and that the degree of overconfidence negatively and significantly affects the time to exit.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100884"},"PeriodicalIF":6.6,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138681912","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}

{"title":"Ambiguity attitudes and demand for weather index insurance with and without a credit bundle: experimental evidence from Kenya","authors":"Francesco Cecchi ,&nbsp;Robert Lensink ,&nbsp;Edwin Slingerland","doi":"10.1016/j.jbef.2023.100885","DOIUrl":"10.1016/j.jbef.2023.100885","url":null,"abstract":"<div><p>We investigate the impact of ambiguity attitudes on the willingness-to-pay (WTP) for index insurance among female smallholders in Kenya. We gauge incentive-compatible measures of ambiguity aversion and insensitivity in the domain of gains and losses, as well as loss aversion. Next, we setup a framed experiment to measure WTP for insurance with basis risk. For a random subsample we introduce an alternative ‘rebate’ insurance, comparable to an insurance purchased through a loan – repaid in good years and deducted from payout in bad ones – that is expectedly more palatable for the loss averse. We find that ambiguity aversion significantly increases WTP for the standalone insurance, while loss aversion reduces it as expected. The former result is seemingly at odds with previous evidence from the field, but is consistent with a setting in which insurance ambiguity engenders relatively less disutility compared to the vagaries of weather. We show that this apparent divergence is not caused by differences in the method used to estimate ambiguity aversion compared to existing field studies. Rather, we exploit exogenous variation in the familiarity with insurance within our sample to show that it is explained away by the role of experience with the novel technology—a previously underestimated mediator. Ambiguity aversion hinders adoption at early stages but increases when the insurance is better understood. The rebate scenario, instead, all but cancels the effect of loss aversion on WTP, but the increased contractual ambiguity results in significantly lower bids by the ambiguity averse. In the lab, the WTP for rebate-type insurance-credit bundles is not different from that of the actuarially equivalent standalone insurance, implying that evidence from the field on greater uptake for the former may be attributable to liquidity constraints and time discounting effects, rather than to behavioural traits.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100885"},"PeriodicalIF":6.6,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635023000990/pdfft?md5=334fc28fdfa5d65857c266727091ae34&pid=1-s2.0-S2214635023000990-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138681917","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}

{"title":"Can a machine learn from behavioral biases? Evidence from stock return predictability of deep learning models","authors":"Suk-Joon Byun ,&nbsp;Sangheum Cho ,&nbsp;Da-Hea Kim","doi":"10.1016/j.jbef.2023.100881","DOIUrl":"10.1016/j.jbef.2023.100881","url":null,"abstract":"<div><p>We examine how the return predictability of deep learning models varies with stocks’ vulnerability to investors’ behavioral biases. Using an extensive list of anomaly variables, we find that the long-short strategy of buying (shorting) stocks with high (low) deep learning signals generates greater returns for stocks more vulnerable to behavioral biases, i.e., small, young, unprofitable, volatile, non-dividend-paying, close-to-default, and lottery-like stocks. This performance of deep learning models for speculative stocks becomes pronounced when investor sentiment is high, and when new information is delivered through earnings announcements. Moreover, our nonlinear deep learning signals are negatively associated with analysts’ earnings forecast error especially for speculative stocks, implying that analysts’ forecasts are too low for speculative stocks with high deep learning signals. These results suggest that deep learning models with nonlinear structures are useful for capturing mispricing induced by behavioral biases.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100881"},"PeriodicalIF":6.6,"publicationDate":"2023-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138681603","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}

{"title":"Wall street watches Washington: Asset pricing implications of policy uncertainty","authors":"Ralph C. Verhoeks ,&nbsp;Willem F.C. Verschoor ,&nbsp;Remco C.J. Zwinkels","doi":"10.1016/j.jbef.2023.100883","DOIUrl":"10.1016/j.jbef.2023.100883","url":null,"abstract":"<div><p>We examine the effect of economic policy uncertainty (EPU) on sell-side analysts’ forecasts, the allocation of attention, and the stock market reaction to earnings news. We find that periods of high EPU are associated with higher analyst disagreement and a decrease in forecast accuracy. Specifically, we show that analysts issue on average more pessimistic forecasts when EPU is high. Second, we show that higher levels of EPU are associated with higher attention to the overall stock market and lower firm-level attention, in line with category learning behavior. Forecast errors also have a larger firm-specific component during periods of high EPU. Finally, we show that the trading volume and price responses to earnings announcements hardly depend on EPU. Hence, investors tend to follow analyst forecasts, thereby failing to incorporate a predictable bias.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100883"},"PeriodicalIF":6.6,"publicationDate":"2023-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635023000977/pdfft?md5=de6b15f02efabc657310ba1012d54b0f&pid=1-s2.0-S2214635023000977-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138681846","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}

{"title":"Which ESG+F dimension matters most to retail investors? An experimental study on financial decisions and future generations","authors":"Matteo Benuzzi ,&nbsp;Klaudijo Klaser ,&nbsp;Karoline Bax","doi":"10.1016/j.jbef.2023.100882","DOIUrl":"10.1016/j.jbef.2023.100882","url":null,"abstract":"<div><p>In this study, we address the ongoing debate about the relative importance of the three dimensions of the ESG framework and whether they are sufficient to capture the full scope of sustainability. We propose a new dimension, the Future Generations pillar (F-pillar), which aims to account for intergenerational equity and sustainability. Our online experiment explores how retail investors make investment decisions when presented with different combinations of financial and ESG information, including the F-pillar. Our findings suggest that retail investors try to balance their financial objectives with sustainability considerations. Moreover, the E-pillar appears to be most relevant when investors adopt a sustainability perspective, while the S-pillar is most relevant when investors consider the financial perspective. Interestingly, our results show that an explicit F-pillar is somewhat redundant, as individuals believe that the three existing ESG pillars already indirectly address the sustainability towards the future generations. This study contributes to the ongoing debate on the relevance of the ESG framework and highlights the need to further explore the interplay between financial and sustainability considerations in retail investment decision-making.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100882"},"PeriodicalIF":6.6,"publicationDate":"2023-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635023000965/pdfft?md5=7897464af9b2d2002fec1d2b9a437e55&pid=1-s2.0-S2214635023000965-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138681602","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}

{"title":"Reconciling sustainability preferences and behavior — The case of mutual fund investments","authors":"Åsa Löfgren ,&nbsp;Katarina Nordblom","doi":"10.1016/j.jbef.2023.100880","DOIUrl":"10.1016/j.jbef.2023.100880","url":null,"abstract":"<div><p>This study analyzes the interaction between sustainability preferences and investment behavior, particularly in the context of mutual fund investments. Based on survey data from a representative sample of Swedish mutual fund investors, we observe that while a majority of respondents express a willingness to sacrifice returns for more sustainable investments, only a minority claim to have actively invested in sustainable funds. This highlights a discrepancy between preferences and behavior, which we show can be understood by (in)attentiveness in the financial decision-making process. We reveal that sustainability-motivated investors are less attentive than those motivated by returns, leading to potential misalignment with their preferences. This finding emphasizes the significance of banks taking (in)attentiveness into account when communicating with customers. Information is effective for return-focused investors, while nudges and boosts may better facilitate decisions for sustainability-focused investors.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100880"},"PeriodicalIF":6.6,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214635023000941/pdfft?md5=eab5c3626f0ad0b122db72c431d068c9&pid=1-s2.0-S2214635023000941-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138518389","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}