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Journal of Behavioral and Experimental Finance最新文献

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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
Air pollution and online lender behavior: Evidence from Chinese peer-to-peer lending 空气污染与网络借贷行为：中国点对点借贷的证据
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-03-09 DOI: 10.1016/j.jbef.2024.100919
Xiao Chen , Gangxing Guo
{"title":"Air pollution and online lender behavior: Evidence from Chinese peer-to-peer lending","authors":"Xiao Chen ,&nbsp;Gangxing Guo","doi":"10.1016/j.jbef.2024.100919","DOIUrl":"https://doi.org/10.1016/j.jbef.2024.100919","url":null,"abstract":"<div><p>This paper examines the effect of air pollution on individual lenders' decisions. Using unique data from the leading peer-to-peer lending platform, we find evidence that for every 10 units increase in the air quality index (AQI), the lender would lend RMB 5.47 yuan more in one single bid and 6% earlier in the fund-raising period. Moreover, the impacts from PM2.5 and CO pollutants are serious. The older people and people that are not well-educated would significantly suffer from air pollution. We further explore three potential mechanisms: physical channel, physiological channel as well as psychological channel, and show that the first two are valid. Overall, our findings shed light on the influence of environmental factors on online lending participants.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100919"},"PeriodicalIF":6.6,"publicationDate":"2024-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140122382","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
Lottery demand, weather and the cross-section of stock returns 彩票需求、天气和股票收益率横截面
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-03-07 DOI: 10.1016/j.jbef.2024.100910
Reza Bradrania, Ya Gao
{"title":"Lottery demand, weather and the cross-section of stock returns","authors":"Reza Bradrania,&nbsp;Ya Gao","doi":"10.1016/j.jbef.2024.100910","DOIUrl":"10.1016/j.jbef.2024.100910","url":null,"abstract":"<div><p>We investigate the role that weather-induced mood plays in underperformance of lottery stocks. We hypothesize that during pleasant weather conditions, investors are more likely to become risk-taking and optimistic, and invest more in lottery stocks. This results in overpricing and lower expected return for these stocks. We use sky cloud cover as a proxy for the weather condition and show that the MAX effect mainly exists following sunny weather; however, there is less evidence for the MAX anomaly following cloudy weather. Our finding is robust to using alternative constructions of MAX and skewness measures as well as other proxies for weather condition such as rain, wind and temperature.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100910"},"PeriodicalIF":6.6,"publicationDate":"2024-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S221463502400025X/pdfft?md5=da219cc6a8bc6fc93be0d3bf78a32311&pid=1-s2.0-S221463502400025X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140082754","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
Judging a book by its cover: Fund investors’ physical attractiveness stereotypes and investor behavior 以貌取人：基金投资者的外貌吸引力刻板印象与投资者行为
IF 6.6 2区 经济学
Journal of Behavioral and Experimental Finance Pub Date : 2024-03-02 DOI: 10.1016/j.jbef.2024.100908
Guo Feng , Jiayi Zhuo , Fangzhuo Hou , Shuo Yan
{"title":"Judging a book by its cover: Fund investors’ physical attractiveness stereotypes and investor behavior","authors":"Guo Feng ,&nbsp;Jiayi Zhuo ,&nbsp;Fangzhuo Hou ,&nbsp;Shuo Yan","doi":"10.1016/j.jbef.2024.100908","DOIUrl":"10.1016/j.jbef.2024.100908","url":null,"abstract":"<div><p>This paper documents that fund investors’ behavior is biased by the physical attractiveness stereotypes that they hold about fund managers. In an experimental setting, we find that although there is no information about highly attractive fund managers outperform their peers, respondents still perceive highly attractive managers to possess superior management skills and are willing to allocate more money to their managed funds. We further find that provision of information in contrast to the assumptions associated with physical attractiveness stereotypes diminishes the bias in investor behavior. When less attractive managers have historical returns that are 4% higher than more attractive managers, investors’ preference for attractive faces is overridden. Empirical evidence obtained using fund market data is consistent with our experimental results.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"42 ","pages":"Article 100908"},"PeriodicalIF":6.6,"publicationDate":"2024-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140044375","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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