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The impact of anchoring bias on investment decision-making: evidence from Ghana 锚定偏差对投资决策的影响:来自加纳的证据
IF 2 Q2 BUSINESS, FINANCE Pub Date : 2022-06-02 DOI: 10.1108/rbf-09-2020-0223
E. Laryea, Sally Peaches Owusu
PurposeThe objective of this paper is to explore how anchoring affects the dynamics of investor decision-making with regard to mutual funds and how this bias differs amongst gender and level of financial knowledge.Design/methodology/approachAn experimental research design was adopted to uncover the relationship between the variables under study; this involved the use of a questionnaire with an embedded experiment. Data obtained from the study were analysed using Pearson's chi-square test and two-way analysis of variance.FindingsThe findings show that, overall, investors were prone to be significantly influenced by the anchoring bias. The study finds a strong, albeit not significant, association between participants' susceptibility to anchor and both gender and the level of financial knowledge of participants. Females were observed to be more likely to anchor than their male counterparts. Also, a higher level of financial knowledge did not help to reduce the possibility of anchoring; it rather increased it.Research limitations/implicationsThe findings of the study cannot be interpreted as suggesting causality as the study only tests for association between variables and not causality. Additionally, external validity cannot be fully established as a result of the quasi-experiment approach used.Practical implicationsThe study adds to the body of knowledge on the influences of behavioural biases in the sub-region to make investors aware of their biases in order to minimise the influence of these biases on their investment decisions.Originality/valueThis study differs from earlier studies in that it analyses the presence of anchoring as influenced by a completely different set of variables (expertise and gender) and also does it within the context of an African country where there remains a paucity of research on behavioural finance.
本文的目的是探讨锚定如何影响共同基金投资者决策的动态,以及这种偏见在性别和金融知识水平之间的差异。设计/方法/方法采用实验研究设计来揭示被研究变量之间的关系;这包括使用问卷和嵌入式实验。本研究数据采用Pearson卡方检验和双向方差分析进行分析。研究结果表明,总体而言,投资者容易受到锚定偏差的显著影响。研究发现,参与者对锚的敏感性与性别和参与者的金融知识水平之间存在很强的关联,尽管不是很显著。女性被观察到比男性更容易锚定。此外,较高的金融知识水平无助于降低锚定的可能性;反而增加了它。研究局限性/启示研究结果不能被解释为表明因果关系,因为研究只测试变量之间的关联,而不是因果关系。此外,由于采用准实验方法,外部效度不能完全建立。实际意义本研究增加了关于该次区域行为偏差影响的知识体系,使投资者意识到他们的偏差,以尽量减少这些偏差对其投资决策的影响。原创性/价值本研究与早期研究的不同之处在于,它分析了锚定的存在受到一组完全不同的变量(专业知识和性别)的影响,并且是在一个非洲国家的背景下进行的,该国家对行为金融学的研究仍然缺乏。
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引用次数: 1
Feedback trading in global stock markets under uncertainty of COVID-19 新冠肺炎不确定性下全球股市反馈交易
IF 2 Q2 BUSINESS, FINANCE Pub Date : 2022-06-01 DOI: 10.1108/rbf-08-2021-0154
E. Coşkun
PurposeAlthough some research has been carried out on feedback trading in different asset classes, there have been few empirical investigations that consider both major and emerging stock markets (Koutmos, 1997; Antoniou et al., 2005; Kim, 2009) stock index futures (Salm and Schuppli, 2010). In this study, the author examines positive/negative feedback trading in both developed-emerging-frontier-standalone (51) stock markets for 2010–2020 and sub-periods including COVID-19 period.Design/methodology/approachThe hypothesis “feedback trading behaviour led the price boom/bust in the stock markets during the first quarter of COVID-19 pandemic” is tested by employing the Sentana and Wadhwani (1992) framework and using asymmetrical GARCH models (GJRGARCH, EGARCH) in accordance with the empirical literature.FindingsThe following conclusions can be drawn from the present study; (1) There is no evidence to support a significant distinction between developed, emerging, frontier or standalone markets or high/upper middle, lower middle income economies in the case of feedback trading. It is more likely to be a general phenomenon reflecting the outcomes of general human psychology (2) in the long term (2010–2020) based on the feedback trading results Asian stock markets appear to be far from efficiency.Research limitations/implicationsStock markets are selected based on data availability.Practical implicationsSeveral inferences can be drawn about overall results. First, investors and portfolio managers should beware of their investment decisions during bearish market conditions where volatility is on the rise and also when there is a strong reaction to bad news/negative shocks in the market. Moreover, investing in Asia stock markets may require more attention since those markets are reputed to be more “idiosyncratic”, less reliant on economic and corporate fundamentals in their pricing. Moreover, the impact of foreign investors on stock market volatility and returns and weaker implementation of regulations also affect the efficiency of the markets (Lipinsky and Ong, 2014).Originality/valueTo the best of the author’s knowledge, most studies in the field of feedback trading in stock markets have only focused on a small sample of countries and second, the effect of COVID-19 uncertainty on the stock markets have not been addressed in the literature with respect to feedback trading. This paper fills these literature gaps. This study is expected to provide useful insights for understanding the instabilities in stock markets particularly under conditions of high uncertainty and to fill the gap in the literature by comparing the results for a large sample of countries both in the long term and in the pandemic.Highlights for reviewThis study has shown that feedback trading is more prevalent in Asian stock markets in the long run in Europe, America or Middle East for the period 2010–2020.Positive feedback traders generally dominated most of the stock markets during the
虽然对不同资产类别的反馈交易进行了一些研究,但很少有实证调查同时考虑主要和新兴股票市场(Koutmos, 1997;Antoniou等人,2005;股指期货(Salm and Schuppli, 2010)。在本研究中,作者考察了2010-2020年发达-新兴-前沿独立(51)股票市场和包括COVID-19在内的子时期的正/负反馈交易。设计/方法/方法采用Sentana和Wadhwani(1992)框架,并根据实证文献使用不对称GARCH模型(GJRGARCH, EGARCH),对“反馈交易行为导致COVID-19大流行第一季度股票市场价格暴涨/暴跌”这一假设进行了检验。从本研究中可以得出以下结论:(1)在反馈交易的情况下,没有证据支持发达市场、新兴市场、前沿市场或独立市场或高/中上收入经济体、中低收入经济体之间存在显著区别。从反馈交易结果来看,这更可能是一种反映长期(2010-2020)人类普遍心理(2)结果的普遍现象。研究的局限性/意义股票市场的选择是基于数据的可用性。实际意义总的结果可以得出几个推论。首先,投资者和投资组合经理应该注意他们在市场波动率上升的熊市条件下的投资决策,以及当市场对坏消息/负面冲击有强烈反应时。此外,投资亚洲股市可能需要更多关注,因为这些市场被认为更为“特殊”,在定价方面较少依赖于经济和企业基本面。此外,外国投资者对股票市场波动和回报的影响以及监管执行不力也影响了市场的效率(Lipinsky和Ong, 2014)。原创性/价值据作者所知,股票市场反馈交易领域的大多数研究仅关注于国家的小样本,其次,关于反馈交易的文献中尚未解决COVID-19不确定性对股票市场的影响。本文填补了这些文献空白。预计这项研究将为理解股票市场的不稳定性,特别是在高度不确定性条件下的不稳定性提供有用的见解,并通过比较大量国家样本在长期和大流行期间的结果来填补文献中的空白。本研究表明,从长远来看,反馈交易在2010-2020年期间在欧洲、美国或中东的亚洲股票市场更为普遍。在COVID-19大流行初期,正反馈交易者普遍主导了大多数股票市场。另一个重要发现是,马来西亚、日本、菲律宾、爱沙尼亚、葡萄牙和乌克兰的股票市场由负面反馈交易者主导,这可能被解释为“处置效应”,即他们出售“过去的赢家”。在印度尼西亚、新西兰、中国、奥地利、希腊、英国、芬兰、西班牙、冰岛、挪威、瑞士、波兰、土耳其、智利和阿根廷,即使在不确定的条件下,也不存在正反馈和负反馈交易。
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引用次数: 2
Ramadan effect in the cryptocurrency markets 加密货币市场的斋月效应
IF 2 Q2 BUSINESS, FINANCE Pub Date : 2022-05-27 DOI: 10.1108/rbf-09-2021-0173
Carmen López-Martín
PurposeThis paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.Design/methodology/approachThe closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.FindingsAlthough no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.Originality/valueFirst, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.
本文研究了斋月对加密货币市场回报和条件波动的影响。六种加密货币的收盘价已经被考虑。该研究采用了不同的经典测试来检验在斋月庆祝日和非斋月期间的效率行为是否相似。此外,本文还应用了虚拟变量回归技术来评估这种收益和波动的异常。虽然没有发现对莱特币的回报和波动性有显著影响,但研究结果为加密货币市场存在斋月效应提供了证据。平均方程的结果表明,在所有考虑的模型中,以太坊、Ripple、Stellar和BinanceCoin都存在斋月效应。通过阶为1的自回归模型发现对比特币收益的显著影响。条件波动率的结果表明,斋月效应对波动率没有影响。原创性/价值首先,对加密货币分析的初步研究的新贡献。其次,对近期发表的关于斋月对传统资产影响的实证文章进行了全面梳理。第三,与大多数专注于比特币研究的论文不同,这项研究已经扩展到六种加密货币。斋月效应在加密货币市场尚未得到分析。这项研究填补了这一空白,并分析了斋月效应,这是以前记录的传统资产,特别是穆斯林国家的股票指数,但尚未在加密货币市场进行分析。
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引用次数: 2
Predatory trading: ethics judgments, legality judgments and investment intentions 掠夺性交易:伦理判断、合法性判断和投资意图
IF 2 Q2 BUSINESS, FINANCE Pub Date : 2022-05-13 DOI: 10.1108/rbf-09-2021-0184
Daphne Sobolev, J. Clunie
PurposePredatory trading is a stock market trading technique in which certain market participants exploit information about other market participants' need to trade. Predatory trading often harms others. Hence, this paper examines the determinants and effects of financial practitioners' and lay people's judgments of predatory trading. Specifically, it investigates how the public availability and reliability of the exploited information affect their ethics and legality judgments and how the latter influence their behavioral intentions and regulation support.Design/methodology/approachThe authors conducted two scenario judgment studies. In the first study, participants were financial practitioners, and in the second – lay people.FindingsPractitioners often judge predatory trading to be ethical. Practitioners and lay people incorporate in their ethics and legality judgments the public availability of the exploited information but tend to discount the legal reliability criterion. Lay people justify their ethics judgments using harm, legal or profit maximization principles. Practitioners' intentions to engage in predatory trading and lay people's intentions to let predatory fund managers invest their money depend on their judgments, which influence their regulation support.Originality/valueThis paper is the first to explore people's judgments of predatory trading. It highlights that despite the harm that predatory trading involves, practitioners often judge it to be ethical. Although law tends to lag behind financial innovation, people base their judgments and hence also behavioral intentions on their interpretation of the regulation. Hence, it reveals a dark aspect of the relationship between ethics and legality judgments.
掠夺性交易是一种股票市场交易技术,其中某些市场参与者利用有关其他市场参与者交易需求的信息。掠夺性交易往往会伤害他人。因此,本文考察了金融从业者和非专业人士对掠夺性交易判断的决定因素和影响。具体而言,研究了被利用信息的公开可得性和可靠性如何影响他们的伦理和合法性判断,以及后者如何影响他们的行为意图和监管支持。设计/方法/方法作者进行了两项情景判断研究。在第一项研究中,参与者是金融从业人员,而在第二项研究中,参与者是非专业人士。从业者通常认为掠夺性交易是合乎道德的。从业人员和非专业人员在他们的道德和合法性判断中纳入了被利用信息的公共可得性,但往往忽视了法律可靠性标准。非专业人士用伤害最大化、法律最大化或利润最大化原则来为他们的道德判断辩护。从业人员从事掠夺性交易的意图和非专业人员让掠夺性基金经理投资的意图取决于他们的判断,这影响了他们的监管支持。原创性/价值本文首次探讨了人们对掠夺性交易的判断。它强调,尽管掠夺性交易涉及伤害,但从业者往往认为它是道德的。虽然法律往往落后于金融创新,但人们的判断以及行为意图都建立在对法规的解释之上。因此,它揭示了伦理与合法性判断关系的阴暗面。
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引用次数: 1
Judgments of ethically questionable financial practices: a new perspective 道德上有问题的金融行为的判断:一个新的视角
IF 2 Q2 BUSINESS, FINANCE Pub Date : 2022-05-13 DOI: 10.1108/rbf-09-2021-0185
Daphne Sobolev, J. Clunie
Purpose Research has suggested that ethics judgments should be made from an impartial perspective. However, people are often partial about their money. This study aims to investigate the extent to which perspectives – the perspective of those who can gain from the use of a financial practice and the perspective of those who can incur losses due to it – affect lay people’s ethics and legality judgments of the practice. In addition, it asks which factors influence their investment intentions.Design/methodology/approach The study uses a between-participant scenario experiment, in which participants are presented with cases of predatory trading and front running. Each participant is asked to take either a gain or loss perspective through the formulation of the presented cases. Subsequently, all participants make ethics, legality and investment intention judgments.Findings The authors establish that perspectives significantly affect people’s ethics judgments and, to a lesser extent, their legality judgments. People’s investment intentions depend on their perspectives, too, as well as on their financial considerations, ethics judgments, legality judgments and trust.Originality/value Research has focused on relatively stable determinants of people’s ethics judgments of financial practices. This paper shows that the situational prospect of profit can sway lay people’s judgments. When people take the gain perspective, they judge financial practices to be more ethical than when they take the loss perspective. Furthermore, people’s perspectives can distort their legality judgments and influence their investment intentions.
研究表明,伦理判断应该从公正的角度进行。然而,人们往往对他们的钱有偏见。本研究的目的是调查在何种程度上的观点-那些可以从使用金融实践中获益的人的观点和那些可能因此而蒙受损失的人的观点-影响非专业人士对该实践的道德和合法性判断。此外,它还询问了哪些因素影响了他们的投资意愿。设计/方法/方法本研究采用了参与者之间的场景实验,向参与者展示掠夺性交易和抢先交易的案例。每个参与者都被要求采取一个获得或损失的角度通过提出的情况的制定。随后,所有参与者进行道德、合法性和投资意向判断。研究发现,观点显著影响人们的伦理判断,并在较小程度上影响人们的合法性判断。人们的投资意向也取决于他们的观点,以及他们的财务考虑、道德判断、合法性判断和信任。独创性/价值研究关注的是人们对金融实践伦理判断的相对稳定的决定因素。本文表明,盈利的情景前景会影响外行人的判断。当人们从收益的角度出发时,他们会认为财务行为比从损失的角度出发时更合乎道德。此外,人们的观点会扭曲他们的合法性判断,影响他们的投资意愿。
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引用次数: 0
Do economic crises cause trading in Bitcoin? 经济危机会导致比特币交易吗?
IF 2 Q2 BUSINESS, FINANCE Pub Date : 2022-04-05 DOI: 10.1108/rbf-02-2022-0048
Jinsha Zhao
PurposeThe paper provides new evidence for Bitcoin’s safe-haven property by examining the relationship between currency price, return and Bitcoin trading volume.Design/methodology/approachA unique dataset from a person-to-person (p2p) exchange is used to investigate association between Bitcoin trading volume and currency prices. Currency returns are used to identify local economic crises, the 8 crisis affected currencies are Venezuela Bolivar (VES), Iranian Rial (IRR), Ukrainian Hryvnia (UAH), Argentine Peso (ARS), Egyptian Pound (EGP), Nigerian Naira (NGN), Turkish Lira (TRY) and Kazakhstani Tenge (KZT).FindingsThe paper demonstrates that local economic crises are positively associated with increased Bitcoin trading. There is a negative association between trading volume and currency value (and return), suggesting low currency price and currency depreciation are accompanied with increased Bitcoin trading. The results not only hold for the crisis affected currencies but also currencies of advanced economies. Granger causality test also reinforces the negative association results.Originality/valueThe finding indicates some forms of flight-to-safety have occurred during local market crises when capital flight from domestic markets to Bitcoin, strengthening Bitcoin’s hedging asset status. However, total global trading volume declines after the start of the COVID pandemic, suggesting that Bitcoin is still regarded as a speculative asset. Overall, the findings show that Bitcoin is a hedging asset to protect against local currency depreciation, but not a safe-haven asset for the global crisis.
目的通过考察货币价格、收益与比特币交易量之间的关系,为比特币的避险属性提供新的证据。设计/方法/方法使用来自个人对个人(p2p)交易所的独特数据集来调查比特币交易量和货币价格之间的关系。货币回报用于识别当地经济危机,受危机影响的8种货币分别是委内瑞拉玻利瓦尔(VES)、伊朗里亚尔(IRR)、乌克兰格里夫纳(UAH)、阿根廷比索(ARS)、埃及镑(EGP)、尼日利亚奈拉(NGN)、土耳其里拉(TRY)和哈萨克斯坦滕戈(KZT)。研究结果表明,地方经济危机与比特币交易的增加呈正相关。交易量与货币价值(和回报)呈负相关,表明比特币的交易量增加,货币价格走低,货币贬值。这一结果不仅适用于受危机影响的货币,也适用于发达经济体的货币。格兰杰因果检验也强化了负相关的结果。这一发现表明,在当地市场危机期间,当资本从国内市场流向比特币时,出现了某种形式的避险行为,从而加强了比特币的对冲资产地位。然而,在新冠疫情开始后,全球总交易量有所下降,这表明比特币仍被视为一种投机性资产。总的来说,研究结果表明,比特币是一种对冲资产,可以防止当地货币贬值,但不是全球危机的避险资产。
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引用次数: 3
Firm-specific sentiment and individual option's implied volatility slope 公司特定情绪与个人期权隐含波动率斜率
IF 2 Q2 BUSINESS, FINANCE Pub Date : 2022-03-29 DOI: 10.1108/rbf-10-2021-0216
Bei Chen, Quan Gan
PurposePrevious literature shows that market sentiment and the steepness of index option's implied volatility slope have a negative relation. This paper investigates the relation between firm-specific sentiment and individual option's implied volatility slope both theoretically and empirically.Design/methodology/approachThe authors develop a simple model with option traders' sentiment heterogeneity to show that sentiment and the steepness of individual option's implied volatility slope have a positive relation.FindingsWhen firm-specific sentiment is higher (more bullish), individual option's implied volatility slope becomes steeper. The positive relation is stronger when option traders' beliefs on risk are more dispersed. Empirical results support the theoretical model predictions.Originality/valueAlthough both firm-specific sentiment and individual options implied volatility slope predict future stock returns, there is no research exploring the relation between them. In particular, none of previous studies associates implied volatility slope's stock return predictability to investor behavior such as sentiment. The authors’ findings provide a behavior-based explanation on why steep implied volatility slope negatively predicts cross-sectional stock returns.
目的以往文献表明,市场情绪与指数期权隐含波动率斜率的陡度呈负相关。本文从理论和实证两方面探讨了企业特定情绪与个人期权隐含波动率斜率之间的关系。设计/方法/方法作者建立了一个简单的期权交易者情绪异质性模型,表明情绪与单个期权隐含波动率斜率的陡峭度呈正相关。当企业特定情绪较高(更看涨)时,个人期权的隐含波动率斜率变得更陡。期权交易者的风险信念越分散,二者之间的正相关关系越强。实证结果支持理论模型的预测。独创性/价值虽然公司特定情绪和个人期权隐含波动率斜率都能预测未来股票收益,但没有研究探讨它们之间的关系。特别是,以前的研究都没有将隐含波动率斜率的股票收益可预测性与投资者行为(如情绪)联系起来。作者的研究结果提供了一个基于行为的解释,为什么陡峭的隐含波动率斜率负预测横截面股票收益。
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引用次数: 0
Trading behavior of Swedish retirement investors during the COVID-19 pandemic COVID-19大流行期间瑞典退休投资者的交易行为
IF 2 Q2 BUSINESS, FINANCE Pub Date : 2022-03-28 DOI: 10.1108/rbf-09-2021-0183
Johannes Hagen, Amedeus Malisa, Thomas Post
PurposeHow did investors in the Swedish Premium Pension System (PPS) react to the stock market shock ignited by the COVID-19 pandemic?Design/methodology/approachThe authors use fund-level data from the Swedish Pensions Agency on investment choices in the PPS. For each fund, the authors use monthly information on the number of investors and holdings' market value up to November 2020. The authors also use information on the total number of portfolio changes per day. For analyzing whether PPS investors reacted to the pandemic with claiming their pension, the authors use monthly data on the number of investors of a certain age group who initiate their public pension payment.FindingsTrades more than doubled, and shifted capital from equity funds to low risk interest funds. In economic terms, however, trading stayed at low levels–less than two percent of investors traded in March 2020 and there was no effect on pension withdrawals. The increased trading during the market tumult was disproportionately concentrated among investors in the top of the pension capital distribution.Research limitations/implicationsWith fund-level data, the authors cannot investigate what in particular made retirement investors stay calm in the midst of a severe market decline. Either, those investors have a long-term investment horizon as they save for their pension or particular features of the system's choice architecture induce inertia and discourage from trading. The sub-group analyses are more consistent with the explanation that PPS-induced inertia is responsible for the relatively small increase in trading activity, but future research could exploit individual level data to explore this in more detail.Practical implicationsThe often-criticized PPS choice architecture provided positive side effects in times of a severe market shock by shielding retail investors from committing trading mistakes when trying to outsmart the market.Originality/valueThe study complements previous evidence on the effects of COVID-19 on investor activity. The small response of PPS investors to COVID-19 is in line with earlier US findings on 401(k) accounts during the 2007 financial crisis (Tang et al., 2012) and industry reports about the COVID-19 period (see, e.g. Mitchell, 2020). The authors find no effects at all on public pension withdrawals in Sweden, while evidence from US 401(k) plans indicates a small share of workers taking COVID-related early withdrawals.
目的:瑞典保费养老金制度(PPS)的投资者如何应对COVID-19大流行引发的股市冲击?设计/方法/方法作者使用了瑞典养老金机构关于养老金投资选择的基金级数据。对于每个基金,作者使用了截至2020年11月的投资者数量和持股市值的月度信息。作者还使用了每天投资组合变化总数的信息。为了分析PPS投资者是否以领取养老金的方式应对疫情,作者使用了每月开始领取公共养老金的特定年龄段投资者人数的数据。投资翻了一倍多,并将资金从股票基金转移到低风险利率基金。然而,从经济角度来看,交易量保持在较低水平——2020年3月,只有不到2%的投资者进行了交易,而且对养老金提取没有影响。市场动荡期间增加的交易不成比例地集中在养老金资本分配顶端的投资者身上。研究局限/启示由于基金层面的数据,作者无法调查究竟是什么让退休投资者在市场严重下跌时保持冷静。要么,这些投资者有长期的投资眼光,因为他们在为养老金存钱,要么,该系统的选择架构的特定特征导致了惰性,阻碍了交易。子组分析更符合pps诱导的惯性导致交易活动相对较小增长的解释,但未来的研究可以利用个人层面的数据来更详细地探索这一点。实际意义经常受到批评的PPS选择架构在严重的市场冲击时期提供了积极的副作用,它保护散户投资者在试图超越市场时不会犯交易错误。该研究补充了之前关于COVID-19对投资者活动影响的证据。PPS投资者对COVID-19的反应不大,这与2007年金融危机期间美国对401(k)账户的调查结果(Tang等人,2012年)以及有关COVID-19期间的行业报告(如Mitchell, 2020年)一致。作者发现,瑞典的公共养老金提取没有任何影响,而美国401(k)计划的证据表明,一小部分工人采取了与新冠病毒相关的提前提取。
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引用次数: 0
An experimental investigation of the “follow own signal” decision rule under increased information uncertainty 增加信息不确定性条件下“跟随自己的信号”决策规则的实验研究
IF 2 Q2 BUSINESS, FINANCE Pub Date : 2022-03-14 DOI: 10.1108/rbf-07-2021-0132
Ming-yan Tsang, Adam W. Stivers
PurposeThis study aims to examine individuals' tendency to strictly follow their own signal while ignoring predecessors' decisions when making decisions under varying degrees of uncertainty.Design/methodology/approachUsing a controlled laboratory experiment, the authors separate the follow-own-signal behavior from other types of behavior such as Bayes consistent or herd-like (i.e. follow-the-majority) behavior.FindingsAs the authors systemically increase the degree of uncertainty in the information environment, participants are increasingly more likely to act only on their own signal. This suggests that financial decisions that are made under highly uncertain market conditions may be more signal revealing, and hence, may lead to better information aggregation than previously thought. The authors also find that as uncertainty increases, participants are more likely to switch in and out of this behavior, suggesting that behavior under highly uncertain conditions may also be more random and complex.Originality/valueThe authors are the first to examine how uncertainty affects the follow-own-signal behavior. The authors also offer potential testable empirical implications, such as an increase in contrarian investing, home bias, and own-company ownership under times of increased uncertainty or in more uncertain markets.
本研究旨在考察个体在不同程度的不确定性下做出决策时,严格遵循自身信号而忽略前人决策的倾向。设计/方法/方法通过一个受控的实验室实验,作者将跟随自己的信号行为与其他类型的行为(如贝叶斯一致或羊群行为)分开。由于作者系统地增加了信息环境中的不确定性程度,参与者越来越有可能只根据自己的信号行事。这表明,在高度不确定的市场条件下做出的金融决策可能会更多地揭示信号,因此,可能会比以前认为的更好地汇总信息。作者还发现,随着不确定性的增加,参与者更有可能改变这种行为,这表明在高度不确定的条件下,行为也可能更加随机和复杂。原创性/价值两位作者首次研究了不确定性如何影响“追随自己的信号”行为。作者还提供了潜在的可测试的经验意义,例如在不确定性增加或更不确定的市场下,反向投资、本土偏见和自有公司所有权的增加。
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引用次数: 0
Forecasting foreign exchange rates as group experiment: actuality bias and fact-convergence effect within wisdom of crowds 作为群体实验的汇率预测:群体智慧中的现实偏差与事实趋同效应
IF 2 Q2 BUSINESS, FINANCE Pub Date : 2022-03-14 DOI: 10.1108/rbf-09-2021-0176
Haruo H. Horaguchi
PurposeThis article examines the accuracy and bias inherent in the wisdom of crowd effect. The purpose is to clarify what kind of bias crowds have when they make predictions. In the theoretical inquiry, the effect of the accumulated absolute deviation was simulated. In the empirical study, the observed biases were examined using data from forecasting foreign exchange rates.Design/methodology/approachIn the theoretical inquiry, the effect of the accumulated absolute deviation was simulated based on mathematical propositions. In the empirical study, the data from 2004 to 2011 were provided by Nikkei, which holds the “Nikkei Yen Derby” competition. In total, 3,657 groups forecasted the foreign exchange rate, and the first prediction was done in early May to forecast the rate at the end of May. The second round took place in June in a similar manner.FindingsThe average absolute deviation in May was smaller than that in June. The first round of prediction was more accurate than the second round one. Predictors were affected by the observable real exchange rate, such that they modified their forecasts by referring to the actual data in early June. An actuality bias existed when the participants lost their diverse prospects. Since the standard deviations of the June forecasts were smaller than those of May, the fact-convergence effect was supported.Originality/valueThis article reports novel findings that affect the wisdom of crowd effect—referred to as actuality bias and fact-convergence effect. The former refers to a forecasting bias toward the observable rate near the forecasting date. The latter implies that predictors, as a whole, indicate smaller forecast deviations by observing the realized foreign exchange rate.
目的研究群体智慧效应中固有的准确性和偏差。其目的是澄清群体在做出预测时会有什么样的偏见。在理论探讨中,模拟了累积绝对偏差的影响。在实证研究中,使用预测外汇汇率的数据来检验观察到的偏差。设计/方法/途径在理论探究中,基于数学命题模拟了累积绝对偏差的影响。在实证研究中,2004 - 2011年的数据由举办“日经日元德比”大赛的日经提供。预测汇率的团体共有3657个,其中第一次预测是在5月初进行的,目的是预测5月末的汇率。第二轮选举在6月以类似的方式进行。5月份的平均绝对偏差小于6月份。第一轮预测比第二轮预测更准确。预测者受到可观察到的实际汇率的影响,因此他们参照6月初的实际数据修改了自己的预测。当参与者失去了他们多样化的前景时,就存在现实偏见。由于6月份预测的标准差小于5月份,因此支持事实收敛效应。原创性/价值本文报道了影响群体智慧效应的新发现,即现实偏差和事实趋同效应。前者是指在预测日期附近对可观测率的预测偏差。后者意味着预测者,作为一个整体,通过观察已实现的外汇汇率来表明较小的预测偏差。
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Review of Behavioral Finance
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