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Investor sentiment and cross-section of cryptocurrency returns 投资者情绪和加密货币回报的横截面
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-03-21 DOI: 10.1016/j.jbef.2025.101043
SeungOh Han
{"title":"Investor sentiment and cross-section of cryptocurrency returns","authors":"SeungOh Han","doi":"10.1016/j.jbef.2025.101043","DOIUrl":"10.1016/j.jbef.2025.101043","url":null,"abstract":"<div><div>This study investigates the cross-sectional pricing of sentiment risk in cryptocurrencies, defined as price sensitivity to changes in the Crypto Fear and Greed Index, from November 2018 to July 2024. Controlling for market, size, reversal, and liquidity factors, cryptocurrencies with intermediate sentiment risk yield a risk-adjusted weekly return 3.57% higher than those with low or high risk, revealing a negative sentiment risk premium in cryptocurrencies with high positive sentiment beta. This negative risk premium is partially attributed to overpayment for lottery-like cryptocurrencies. These findings remain robust across cross-sectional regressions, various quantile portfolios, alternative risk factors, and diverse illiquidity measures.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"46 ","pages":"Article 101043"},"PeriodicalIF":4.3,"publicationDate":"2025-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680702","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
Images and investment: Experimental evidence on the effects of visual stimuli on financial decisions 图像与投资：视觉刺激对财务决策影响的实验证据
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-03-19 DOI: 10.1016/j.jbef.2025.101041
Koen van Boxel , Philipp Decke , Sven Nolte , Judith C. Schneider
{"title":"Images and investment: Experimental evidence on the effects of visual stimuli on financial decisions","authors":"Koen van Boxel ,&nbsp;Philipp Decke ,&nbsp;Sven Nolte ,&nbsp;Judith C. Schneider","doi":"10.1016/j.jbef.2025.101041","DOIUrl":"10.1016/j.jbef.2025.101041","url":null,"abstract":"<div><div>We investigate the effect of emotional images on financial decision-making in an incentivized and pre-registered experiment. Utilizing a set of images rated on the emotional dimensions of valence and arousal from the Open Affective Standardized Image Set (OASIS) (Kurdi et al., 2017), we develop an experimental framework that can be easily applied to other contexts such as the use of images in corporate reporting. Further, we introduce a set of nature-related images which are pervasive in the advertisement of sustainable investment products. We show that negative images cause lower investments in risky mutual funds compared to neutral images, while positive images do not exhibit the opposite effect. Nature-related images do not cause investors to invest more than comparable non-nature images. Our results offer insights for financial regulators who are concerned with the impact of selective company disclosure and providers of financial products about the influence on emotional images on financial decisions.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"46 ","pages":"Article 101041"},"PeriodicalIF":4.3,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143714723","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
Savings goals matter–Cognitive constraints, retirement planning, and downstream economic behaviors 储蓄目标很重要——认知约束、退休计划和下游经济行为
IF 4.3 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2025-03-16 DOI: 10.1016/j.jbef.2025.101042
Zihan Ye , Thomas Post , Xiaopeng Zou , Shenglan Chen
{"title":"Savings goals matter–Cognitive constraints, retirement planning, and downstream economic behaviors","authors":"Zihan Ye ,&nbsp;Thomas Post ,&nbsp;Xiaopeng Zou ,&nbsp;Shenglan Chen","doi":"10.1016/j.jbef.2025.101042","DOIUrl":"10.1016/j.jbef.2025.101042","url":null,"abstract":"<div><div>We study how cognitive constraints relate to each distinct step of the planning and execution process for retirement, that is, individuals’ propensity to plan, savings goals set, and economic outcomes (wealth accumulation and portfolio choice). We find that different cognitive constraints play distinct roles: Higher advanced financial literacy (and quantitative reasoning ability) predicts a greater propensity to plan, while higher basic financial literacy and verbal cognition predict setting higher savings goals. Math-related abilities are not associated with savings goals in a systematic way. Furthermore, our evidence shows that the economic consequences of retirement planning depend on the earlier set savings goals. In comparison to non-planners, only planners with a higher savings goal (above the median) accumulate more wealth and are more likely to hold risky assets and private annuities. Our findings suggest that when crafting public policy to develop individuals’ retirement readiness, next to improving financial literacy, other targets could be to enhance cognitive skills and to support setting concrete savings goals by, for example, providing better access to planning relevant information and tools.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"46 ","pages":"Article 101042"},"PeriodicalIF":4.3,"publicationDate":"2025-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680698","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
Beyond averages: Quantile connectedness between G7 equity markets and derivative tokens 超越平均值：G7股票市场与衍生代币之间的分位数连通性
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 评估供应链代币与其他资产之间的联系：来自时频分位数连通性方法的证据
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 企业诚信文化与股利政策
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 带偏差学习的一般均衡模型中的定价异常
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 全球金融危机中CEO和CFO的责任心与营运资金管理
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 投资效率如何影响财务困境风险？来自中国的证据
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 董事会性别多元化改革与企业社会责任：国际证据
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
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