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The role of alternative data in micro-enterprises’ credit risk assessment in China — Empirical evidence based on machine learning 替代数据在中国微型企业信用风险评估中的作用——基于机器学习的经验证据
IF 4.7 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2026-02-04 DOI: 10.1016/j.jbef.2026.101154
Min Jiang , Jichuan Shi , Yukai Zheng , Wei Zhou
{"title":"The role of alternative data in micro-enterprises’ credit risk assessment in China — Empirical evidence based on machine learning","authors":"Min Jiang ,&nbsp;Jichuan Shi ,&nbsp;Yukai Zheng ,&nbsp;Wei Zhou","doi":"10.1016/j.jbef.2026.101154","DOIUrl":"10.1016/j.jbef.2026.101154","url":null,"abstract":"<div><div>Applying alternative data in credit reporting can enhance financial institutions' ability to assess the credit risk of micro-enterprises. This paper uses data from an internet bank serving micro-enterprises and categorizes alternative data into historical credit data (HCD) and behavioral data—the latter including economic transaction data (ETD) and social stability data (SSD). The random forest method is employed to compare these data types in credit risk assessment. The findings reveal that multi-dimensional alternative data holds significant credit value for micro-enterprise risk assessment and can improve the predictive performance and stability of the models. The behavioral data-based models demonstrate superior risk identification capability compared with the HCD-based one. ETD generally outperforms SSD in assessment, though SSD is more stable under external shocks. While external environmental shocks may reduce the model's precision in detecting potential defaults, the model's overall ranking stability remains intact. Notably, the integration of multi-dimensional alternative data can mitigate data volatility through feature complementarity, thereby enhancing model robustness.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"49 ","pages":"Article 101154"},"PeriodicalIF":4.7,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146188867","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
An agent-based model of rumor-induced volatility in financial markets 金融市场谣言引发波动的基于主体模型
IF 4.7 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2026-01-05 DOI: 10.1016/j.jbef.2025.101135
Vijaya B. Marisetty , Wouter van Heeswijk , Archana Narayanan
{"title":"An agent-based model of rumor-induced volatility in financial markets","authors":"Vijaya B. Marisetty ,&nbsp;Wouter van Heeswijk ,&nbsp;Archana Narayanan","doi":"10.1016/j.jbef.2025.101135","DOIUrl":"10.1016/j.jbef.2025.101135","url":null,"abstract":"<div><div>Rumors in financial markets impact investors’ decisions, driving asset prices away from their fundamental valuations. From a regulatory perspective, it is challenging to contain such rumors. We develop an agent-based model to understand the price discovery process in a simulated stock market that allows heterogeneous agents, who differ in financial literacy and cognitive ability to interact for price formation. We show that both financial literacy and cognitive ability are important determinants of rumor spread in stock markets: Higher (lower) cognitive ability and higher (lower) financial literacy reduce (increase) rumor spread. Our results suggest that both the prevalence and intensity of financial literacy play a significant role in reducing rumor induced volatility and promoting market stability.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"49 ","pages":"Article 101135"},"PeriodicalIF":4.7,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145926440","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
Google Trends—Augmented XGBoost for market volatility prediction: A machine learning early warning system 趋势-增强XGBoost市场波动预测：机器学习预警系统
IF 4.7 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2026-02-19 DOI: 10.1016/j.jbef.2026.101159
Gagan Deep , Akash Deep , Svetlozar T. Rachev , Frank J. Fabozzi
{"title":"Google Trends—Augmented XGBoost for market volatility prediction: A machine learning early warning system","authors":"Gagan Deep ,&nbsp;Akash Deep ,&nbsp;Svetlozar T. Rachev ,&nbsp;Frank J. Fabozzi","doi":"10.1016/j.jbef.2026.101159","DOIUrl":"10.1016/j.jbef.2026.101159","url":null,"abstract":"<div><div>We develop GT-XGBoost, a machine learning early warning system that integrates Google search attention signals with traditional volatility indicators for market spike prediction. Using monthly search volume indices for recession, financial crisis, volatility, and stock market crash terms (2004–2024), we construct behavioral features through momentum, acceleration, and composite attention measures. Our optimized model achieves one-month-ahead VIX spike (<span><math><mrow><mo>≥</mo><mn>30</mn></mrow></math></span>) prediction with ROC AUC of 0.745, demonstrating competitive performance among thirteen academic benchmarks including GARCH family models, stochastic volatility approaches, and realized volatility specifications. The system demonstrates 70.6% precision with financial crisis searches providing a one-month leading indicator (correlation: 0.660). Validation through safe-haven gold price analysis confirms systematic 3.32% returns during volatility episodes. Our findings establish that behavioral attention signals, particularly recession-related search patterns, provide dominant predictive information for institutional risk management when integrated with traditional volatility indicators.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"49 ","pages":"Article 101159"},"PeriodicalIF":4.7,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147396466","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
Golden eye — How traders focus on and select information in experimental asset markets 黄金眼——交易者如何在实验性资产市场中关注和选择信息
IF 4.7 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2025-12-23 DOI: 10.1016/j.jbef.2025.101138
Matthias Herrmann-Romero , Simon Liegl , Martin Angerer , Thomas Stöckl
{"title":"Golden eye — How traders focus on and select information in experimental asset markets","authors":"Matthias Herrmann-Romero ,&nbsp;Simon Liegl ,&nbsp;Martin Angerer ,&nbsp;Thomas Stöckl","doi":"10.1016/j.jbef.2025.101138","DOIUrl":"10.1016/j.jbef.2025.101138","url":null,"abstract":"<div><div>In this study, we examine the subjective importance that traders attribute to specific information elements in experimental asset markets in two ways. First, using eye-tracking technology, we determine which given elements garner the most visual focus among traders. Second, we let traders actively choose a limited set of the given elements to determine which ones they deem important to have while trading. Our results indicate that the order book is the most important to traders, while the price chart is of low importance. There is only a conditional alignment between the elements that receive the most visual focus and those that traders select. Additionally, cognitive abilities play a non-trivial role in determining which information elements traders focus on. Finally, we find mixed evidence of a potential link between visual focus and trading performance.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"49 ","pages":"Article 101138"},"PeriodicalIF":4.7,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145884739","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
Time-varying risk aversion and the equity term structure 时变风险厌恶与股权期限结构
IF 4.7 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2026-01-14 DOI: 10.1016/j.jbef.2026.101141
Martijn A. de Vries
{"title":"Time-varying risk aversion and the equity term structure","authors":"Martijn A. de Vries","doi":"10.1016/j.jbef.2026.101141","DOIUrl":"10.1016/j.jbef.2026.101141","url":null,"abstract":"<div><div>I show that time-varying risk aversion over wealth can generate a term structure of equity risk premia that is upward sloping in bad times and downward sloping in good times. I thereby provide a mechanism behind recent reduced-form models that successfully match the counter-cyclicality of the equity term structure assuming exogenous stochastic discount factors. The parsimonious model that I propose jointly matches the empirical findings on the conditional equity term structures, cross sectional variation of the equity term structure, return predictability and the idiosyncratic volatility puzzle. I also discuss several new predictions. More broadly, I illustrate the importance of key experimental findings of risk preferences, like being domain-specific, time-varying and allowing risk seekingness, for understanding asset prices.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"49 ","pages":"Article 101141"},"PeriodicalIF":4.7,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146188863","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
Procrastination in personal finance: Implications for estate planning and retirement satisfaction 个人理财中的拖延：对遗产规划和退休满意度的影响
IF 4.7 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2025-12-26 DOI: 10.1016/j.jbef.2025.101137
Rohan Shah, Anita Mukherjee
{"title":"Procrastination in personal finance: Implications for estate planning and retirement satisfaction","authors":"Rohan Shah,&nbsp;Anita Mukherjee","doi":"10.1016/j.jbef.2025.101137","DOIUrl":"10.1016/j.jbef.2025.101137","url":null,"abstract":"<div><div>Despite concerns that many older adults delay essential financial decisions, there is limited population-level evidence linking measured procrastination to late-life behavior. Using the first nationwide procrastination module in the Health and Retirement Study, we show that individuals with higher procrastination scores are significantly less likely to engage in core estate-planning tasks. Procrastinators are about nine percentage points less likely to have a will or trust and report lower retirement satisfaction, controlling for demographics, income, and region. We validate the behavioral measure by showing that procrastinators report worse health and exhibit some riskier behaviors, consistent with theoretical predictions. Together, these results highlight procrastination as a meaningful behavioral constraint that shapes financial and health outcomes at older ages.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"49 ","pages":"Article 101137"},"PeriodicalIF":4.7,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146188865","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
Bonus structures and bubble formation in experimental asset markets 实验性资产市场中的奖金结构与泡沫形成
IF 4.7 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2026-01-26 DOI: 10.1016/j.jbef.2026.101147
Xiaohui Wang , Yukihiko Funaki
{"title":"Bonus structures and bubble formation in experimental asset markets","authors":"Xiaohui Wang ,&nbsp;Yukihiko Funaki","doi":"10.1016/j.jbef.2026.101147","DOIUrl":"10.1016/j.jbef.2026.101147","url":null,"abstract":"<div><div>In this study, we examine how different tournament-style bonus structures influence asset bubbles in experimental markets. We compare two structures: one that rewards a broad group of traders (“Bonus for Most”) and another that rewards only a few top performers (“Bonus for Few”). The findings indicate that the Bonus for Most structure is more likely to exacerbate bubble formation when traders gain experience. Under this structure, traders are more inclined to buy overpriced assets, not to improve long-term performance, but to boost short-term portfolio values and increase their chances of earning a bonus. This behavior, referred to as strategic asset accumulation, is less common under Bonus for Few, which offers lower opportunities for such manipulation-driven rewards. These findings demonstrate how short-term tournament incentives can unintentionally amplify price distortions, underscoring the importance of thoughtful incentive design in supporting market efficiency and stability.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"49 ","pages":"Article 101147"},"PeriodicalIF":4.7,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146077932","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
Betting against ESG Sinners: Evidence from short selling around the world 做空ESG罪人：来自全球卖空的证据
IF 4.7 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2026-02-02 DOI: 10.1016/j.jbef.2026.101152
Tsuyoshi Iwata , Tomasz Orpiszewski , Mark Thompson
{"title":"Betting against ESG Sinners: Evidence from short selling around the world","authors":"Tsuyoshi Iwata ,&nbsp;Tomasz Orpiszewski ,&nbsp;Mark Thompson","doi":"10.1016/j.jbef.2026.101152","DOIUrl":"10.1016/j.jbef.2026.101152","url":null,"abstract":"<div><div>This paper examines short-selling around negative environmental, social, and governance (ESG) events. Using FIS Global lending and RepRisk incident data, we apply propensity score matching to analyze abnormal returns, short-selling activity, and borrowing rate changes across equity indices in the United States, Europe, and Japan. We provide the first empirical evidence on stock price behavior and short-selling activity around negative ESG events, and offer backtesting results for ESG short-only and long–short strategies using effective borrowing rates. Results reveal regional patterns. In the U.S., evidence shows pre-event price declines and increases in short-selling activity before ESG incidents are disclosed. In Japan, reactions vary by event type and timing, with some co-movement in lending markets. In the EU, responses are shaped by regulatory guidance, with limited lending market effects. Findings highlight regional contrasts in ESG information incorporation and imply that encouraging ESG shorting may enhance market efficiency and autonomy in ESG integration.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"49 ","pages":"Article 101152"},"PeriodicalIF":4.7,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146188861","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
The price of peace of mind: The credit card debt puzzle, precautionary savings, and financial stress 心灵平静的代价：信用卡债务难题、预防性储蓄和财务压力
IF 4.7 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2026-02-26 DOI: 10.1016/j.jbef.2026.101162
Daphne Sobolev
{"title":"The price of peace of mind: The credit card debt puzzle, precautionary savings, and financial stress","authors":"Daphne Sobolev","doi":"10.1016/j.jbef.2026.101162","DOIUrl":"10.1016/j.jbef.2026.101162","url":null,"abstract":"<div><div>Do individuals who co-hold credit card debts and savings experience higher or lower levels of financial stress than others? Analyzing the results of a survey of U.S. residents, this study shows that when individuals co-hold debts and savings that may be insufficient to handle emergencies, they experience higher stress levels than those, who have neither debts nor savings. However, when individuals have debts and emergency savings, they experience lower stress levels than those who have neither. In particular, co-holding debt and emergency savings is significantly related to reduced appraisals of lack of money and control. Furthermore, reduced stress occurs in financially-resilient individuals, even if they have credit card debt. These results suggest that co-holding could be psychologically maladaptive when precautionary savings are unavailable, but is associated with lowered stress levels when they are on hand.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"49 ","pages":"Article 101162"},"PeriodicalIF":4.7,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147396471","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
Artificial intelligence (AI) and corporate governance: Evidence from board size 人工智能与公司治理：来自董事会规模的证据
IF 4.7 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2026-03-01 Epub Date: 2026-01-14 DOI: 10.1016/j.jbef.2026.101144
Pattanaporn Chatjuthamard , Pornsit Jiraporn , Sang Mook Lee
{"title":"Artificial intelligence (AI) and corporate governance: Evidence from board size","authors":"Pattanaporn Chatjuthamard ,&nbsp;Pornsit Jiraporn ,&nbsp;Sang Mook Lee","doi":"10.1016/j.jbef.2026.101144","DOIUrl":"10.1016/j.jbef.2026.101144","url":null,"abstract":"<div><div>We examine the effect of board size on the adoption of artificial intelligence (AI)-skilled employees, a critical determinant of firms’ ability to leverage AI technologies. Board size, a crucial dimension of board governance, plays a pivotal role in shaping strategic decision-making and a firm’s adaptability to technological change. Using a novel dataset by Babina et al. (2024) that identifies AI-related roles through advanced textual analysis of resumes, we utilize the share of AI workers in firms over time. Our findings reveal that smaller boards significantly enhance the integration of AI-skilled employees. Specifically, a reduction in board size by one standard deviation increases the share of AI workers by 8.4 %. Interaction analyses show that smaller boards are particularly advantageous in R&amp;<span>D</span>-intensive firms and those with substantial cash reserves. Smaller boards also result in greater variability in AI workforce integration, reflecting their capacity to foster flexibility, and adaptive learning in dynamic environments.</div></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"49 ","pages":"Article 101144"},"PeriodicalIF":4.7,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146037909","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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