Behavioral & Experimental Finance eJournal最新文献

{"title":"Investigating the Sources of Day and Night Returns","authors":"Austin Hill-Kleespie","doi":"10.2139/ssrn.3728858","DOIUrl":"https://doi.org/10.2139/ssrn.3728858","url":null,"abstract":"Recent research has shown that the premiums of many popular factors are earned at different times of the day. I examine how time of day affects the performance of the Fama and French (1996) and Fama and French (2015) factor models. I find that factor models composed of nighttime returns perform significantly better in explaining average portfolio returns but models using exclusively daytime returns better explain total portfolio variance. In investigating this further I find that daytime returns are sensitive to changes in investor sentiment whereas overnight returns are dependent on macroeconomic conditions largely consistent with Daniel, Hirshleifer, and Subrahmanyam (2001). Additionally, as predicted by the theoretical literature, I find that an increase in personal consumption substantially decreases returns occurring during the daytime when investors are most active.","PeriodicalId":8731,"journal":{"name":"Behavioral & Experimental Finance eJournal","volume":"24 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82436634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Economic Uncertainty: Mispricing and Ambiguity Premium","authors":"Semih Kerestecioğlu, Xi Fu, Charlie X. Cai","doi":"10.2139/ssrn.3655670","DOIUrl":"https://doi.org/10.2139/ssrn.3655670","url":null,"abstract":"We study the effect of economic uncertainty exposure (EUE) on cross-sectional return differentiating the mispricing from ambiguity-premium effects. Conditional on a common mispricing index, we find that EUE induces disagreement which amplifies mispricing. The highest EUE quintile produces an annualized mispricing alpha of 9%, more than double the unconditional mispricing effect. An ambiguity premium of 4.2% alpha is documented in the “non-mispricing” quintile. The EUE induced mispricing effect is different from existing limits of arbitrage explanations, such as idiosyncratic risk. The ambiguity premium is a new source of the risk premium that is robust to the latest risk models.","PeriodicalId":8731,"journal":{"name":"Behavioral & Experimental Finance eJournal","volume":"103 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73477508","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Who Influences Whom? Behavior Contagion among Investors","authors":"Hasan Fallahgoul, Xin Lin","doi":"10.2139/ssrn.3764238","DOIUrl":"https://doi.org/10.2139/ssrn.3764238","url":null,"abstract":"Social interaction and information transmission are essential components of pricing and trading in financial markets. To investigate the behavior contagion and information cascades among investors and sectors, we deploy a jump-diffusion process on investor sentiment -- a novel dataset from StockTwits. Calibrating the process, we find that fundamental, professional, and swing traders are the most influential investors and leading in information cascades within investment approach, experience, and holding period categories, respectively, while momentum, novice, and position traders are the least. Furthermore, the COVID-19 Pandemic period systematically has a high impact on the occurrence of dispersing.","PeriodicalId":8731,"journal":{"name":"Behavioral & Experimental Finance eJournal","volume":"69 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81426604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Joint-Elicitation of Elasticity of Intertemporal Substitution, Risk and Time Preferences","authors":"Luciano I. de Castro, A. Galvao, Gabriel Montes-Rojas, Jose Olmo","doi":"10.2139/ssrn.3722557","DOIUrl":"https://doi.org/10.2139/ssrn.3722557","url":null,"abstract":"The elicitation of the elasticity of intertemporal substitution (EIS), discount factor and risk attitude parameters in dynamic models is of central importance to economics, finance and public policy. This paper suggests an alternative method to jointly elicit and estimate these three parameters using experimental data. We employ a new model based on dynamic quantile preferences, where individuals maximize the stream of future ‐quantile utilities, for . These preferences are simple, dynamically consistent and monotonic. In the quantile model, the risk attitude is captured by the quantile of the payoff distribution, while the EIS and the discount factor are related to the utility function describing individual's intertemporal behaviour, hence allowing for complete separability between risk, EIS and discount factor. The estimation of the parameters of interest uses a structural maximum likelihood method. Individual's risk aversion is estimated below the median. The discount factor is marginally smaller than estimates reported in the literature, and the EIS is slightly larger than one, which suggests that utility over time is concave. The estimates for the elasticity contrast with those reported by the existing studies using observational disaggregated data, which in general find an elasticity smaller than one.","PeriodicalId":8731,"journal":{"name":"Behavioral & Experimental Finance eJournal","volume":"54 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74999741","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Present-Bias and the Value of Sophistication","authors":"Subash Acharya, David Jimenez Gomez, D. Rachinskii, A. Rivera","doi":"10.2139/ssrn.3722608","DOIUrl":"https://doi.org/10.2139/ssrn.3722608","url":null,"abstract":"This paper develops a dynamic wealth management model for risk-averse investors displaying present-bias in the form of hyperbolic discounting. The investor chooses an optimal consumption policy and allocates her funds between a risk-free asset, a traded liquid asset, and a non-traded illiquid asset. We characterize these policies for both sophisticated and naive present-biased investors. There are three results. First, sophisticated investors over-consume more than their naive counterparts if and only if their coefficient of relative risk-aversion is smaller than one. As a result, sophistication is welfare reducing (increasing) when risk-aversion is low (high). Second, increasing asset illiquidity always benefits the sophisticated investor more than the naive investor. Thus, the welfare gap between sophisticated and naive investors is increasing in the proxy for asset illiquidity. Finally, present-biased investors accumulate a larger share of their wealth in the non-traded illiquid asset than in the traded risky stock compared to the neoclassical exponential discounter investor. As a consequence, from the perspective of present-biased investors, the equity premium puzzle (1985) and the private equity puzzle (2002) are two sides of the same coin.","PeriodicalId":8731,"journal":{"name":"Behavioral & Experimental Finance eJournal","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86858520","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Board Cognitive Diversity and Firm Performance Nexus: Evidence From Nigeria","authors":"Hope Osayantin Aifuwa, Saidu Musa, Nusirat Ojuolape Gold, Muhammed Kamaldeen Usman","doi":"10.18510/IJMIER.2020.629","DOIUrl":"https://doi.org/10.18510/IJMIER.2020.629","url":null,"abstract":"Purpose of the study: This study examined the influence of board cognitive diversity on firm performance in Nigeria. The researchers investigated consumer goods firms listed in the Nigeria Stock Exchange from 2013 to 2018.<br><br>Methodology: This research is hinged on the positivist research philosophy; and the deductive research approach. The study adopted the multi-method quantitative research design. Data was hand-collected from the annual financial statements and firms’ websites of consumer goods firms. The researchers measured board cognitive diversity by educational level diversity, education background diversity, and professional member diversity; while performance was measured via financial performance (ROA) and market performance (Tobin's Q). Panel least squares were used to estimate the model of the study.<br><br>Main Findings: Results from the panel least squares regression revealed mixed findings on the nexus between the proxies of board cognitive diversity and firm performance in Nigeria. Specifically, we found that education level diversity and professional member diversity of board members positively and significantly affects market performance.In contrast, the educational background diversity of the board negatively and significantly affects the market performance of consumer goods firms in Nigeria. Furthermore, we found no evidence on the nexus between educational level diversity; educational background diversity; professional membership diversity of board members, and financial performance of firms investigated.<br><br>Implications/Applications: The researchers concluded that board cognitive diversity partially influences firm performance in Nigeria.The study recommended that firms in Nigeria, specifically consumer goods firms, should encourage more representation of board directors with a postgraduate degree. This is because they have advanced knowledge and expertise to improve the firm's performance.Novelty/Originality of this study: This is pioneer research to investigate the influence of board cognitive diversity on firm performance in Nigeria.","PeriodicalId":8731,"journal":{"name":"Behavioral & Experimental Finance eJournal","volume":"213 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89088494","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Value Effects of Digital Expertise on Corporate Boards","authors":"S. Mathew, Premkanth Puwanenthiren, Sheeja Sivaprasad","doi":"10.2139/ssrn.3716771","DOIUrl":"https://doi.org/10.2139/ssrn.3716771","url":null,"abstract":"We examine the impact of board level digital expertise on firm performance for a sample of FTSE 350 firms over the period 2013 to 2018. We find that the presence of digital experts on the boards is significantly and positively related to firm performance. We conduct several additional tests to establish the robustness of the causal relation between digital experts on board and firm performance. Using propensity score matching (PSM) analysis, we document that firms which have digital experts on board have a significant increase in their firm performance relative to a matched sample of firms without digital experts on board. Our findings underscore the significance of digital experts on board in improving firm growth, liquidity and reducing business risk, thereby enabling such firms to increase performance. Additional tests show that the presence of digital experts on board has a strong influence on information asymmetry and corporate governance mechanisms.","PeriodicalId":8731,"journal":{"name":"Behavioral & Experimental Finance eJournal","volume":"40 ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91447045","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Financial Decisions and Financial Regulation: Three Concepts of Performance Based Regulation","authors":"U. Dulleck","doi":"10.4324/9781351107372-6","DOIUrl":"https://doi.org/10.4324/9781351107372-6","url":null,"abstract":"This chapter discusses the basis for and concepts of implementing performance based measures in financial regulation. Drawing on empirical methods and insights generated in the field of behavioural economics theoretical considerations and alternative measurements of services and disclosure performance are presented. The behavioural economics inspired approaches rely on control and treatment group comparisons and come in three shapes: concepts analysing existing administrative and financial data counting the number of dominated choices; data from laboratory experiments simulating consumer decisions given provided services counting the frequency of dominated choices and products and data from randomized controlled trials/field experiments in the form of mystery shopper experiments, again counting dominated choices. Each of these are discussed in detail. These concepts differ from alternative, more traditional, approaches that would include economic analysis of incentives and or direct measures of confusion created by information provided, such as computational linguistics, to capture financial service performance.","PeriodicalId":8731,"journal":{"name":"Behavioral & Experimental Finance eJournal","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78883930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Influence of endogenous reference points on the selling decisions of retail investors","authors":"Avijit Bansal, Joshy Jacob, A. Pandey","doi":"10.2139/ssrn.3714668","DOIUrl":"https://doi.org/10.2139/ssrn.3714668","url":null,"abstract":"We examine the influence of the endogenous reference points on the selling decisions of investors in financial markets. The realized outcome and the counterfactual maximum are known to shape the reference formation of the decision-makers. Therefore, we investigate whether endogenous stock-specific reference points, ‘realized-return’, and ‘peak-return’ of the previous round of investment in a stock significantly influence the selling propensity when they repurchase the same stock, using trader-level data of stock investments. We find that the selling propensity rises significantly when the return in the repurchase round is close to the ‘realized-return’ and the ‘peak-return’ of the previous round. The results imply that the past stock-specific experience significantly influences reference formation. Furthermore, the influence of the reference points is greater for traders with a relatively short holding period. The influence of endogenous reference points also declines with the time between the consecutive rounds of investment in the same stock. Since traders are known to exhibit the recency effect, the findings suggest that traders attach lower decision weights to the stock-specific endogenous reference points with time. The stock-specific reference points have a greater impact on the decisions of traders holding concentrated portfolios than diversified portfolios, likely due to the lower division of attention when traders hold fewer stocks. The findings suggest that endogenous reference points shaped by context-specific memory have a significant influence on the trading decisions of market participants.","PeriodicalId":8731,"journal":{"name":"Behavioral & Experimental Finance eJournal","volume":"117 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86188275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Death, Destruction, and Manipulation","authors":"M. Akter, Douglas J. Cumming, Shan Ji","doi":"10.2139/ssrn.3714192","DOIUrl":"https://doi.org/10.2139/ssrn.3714192","url":null,"abstract":"We propose during periods of natural disasters, there is greater scope for the frequency and severity of market manipulation due to distraction and investor misestimations. For the population of U.S. stocks from 2007-2018, we merge intra-day manipulation data from SMARTS / NASD with National Oceanic and Atmospheric Administration's National Weather Service data. Disasters are measured by the dollar value of property damage and crop damage, and the number of injuries and deaths. Damages to property and crops are further scaled by county-level GDP. The data indicate that market manipulation is more common, and the trading value surrounding the manipulation is more pronounced, among firms that are headquartered in disaster zones. We further examine industry-specific effects, which shows more pronounced effects in intuitive ways; for example, crop and property damages enhance manipulation in agricultural sectors, while injuries enhance manipulation in the manufacturing sectors. These findings are robust to controls for firm idiosyncratic and systematic risk, as well as various methods that include but are not limited to using an alternative proxy of manipulation and difference in difference (DiD) analysis.","PeriodicalId":8731,"journal":{"name":"Behavioral & Experimental Finance eJournal","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89417112","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}