Journal of Behavioral Finance最新文献

{"title":"Inflation, Salience, and Analyst Forecast","authors":"Rajesh Kumar Sinha","doi":"10.1080/15427560.2023.2274332","DOIUrl":"https://doi.org/10.1080/15427560.2023.2274332","url":null,"abstract":"In this article, I examine whether a behavioral salience bias can explain analysts’ underreaction to inflation. Using a sample of U.S. analysts, I found that analysts incorporate both expected and ...","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"31 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138530942","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Reconciling Self-Assessed with Psychometric Risk Tolerance: A New Framework for Profiling Risk among Investors","authors":"Camilla Mazzoli, Fabrizio Palmucci","doi":"10.1080/15427560.2023.2271108","DOIUrl":"https://doi.org/10.1080/15427560.2023.2271108","url":null,"abstract":"AbstractFinancial advisors need to assess their clients’ risk profile to properly manage their portfolio risk and comply with regulatory provisions. Assessing an investor’s financial risk tolerance (FRT) is a challenge in the advisory process and none of the existing measures can be easily employed on a large scale. Previous literature has revealed a gap between self-assessed and psychometrically assessed measures of FRT (PA_FRT) but has not yet offered a solution to fill this gap. Thus, we propose a model that consistently estimates the PA_FRT by leveraging retail investors’ self-assessment and other information typically submitted in standard bank questionnaires. Our model represents a promising tool for financial advisors looking to improve their customers’ risk profiling.Keywords: Financial risk toleranceInvestment behaviorInvestor’s preferencesPsychometric measuresSelf-assessmentJEL CLASSIFICATION: C81C83D14D81D83G11 Disclosure statementNo potential conflict of interest was reported by the authors.Notes1 Regulators in Europe and the US have introduced provisions in order to protect investors: Since 2004, the European Markets in Financial Instruments Directive (MiFID) have required investment banks offering financial advice to assess the suitability of retail investors’ portfolios; likewise, since 2010, the US FINRA rule 2111 states that investment firms and their associated persons must have a reasonable basis to believe that a recommended transaction or investment strategy involving securities is suitable for the customer. Assessing a client’s risk profile is therefore a challenge that financial advisors must tackle in their daily activity, both to provide clients with high-quality services and to be compliant with regulatory provisions.2 ESMA (Citation2022), Guidelines on certain aspects of the MiFID II suitability requirements. Paragraph 48: “When assessing the risk tolerance of their clients through a questionnaire, firms should not only investigate the desirable risk-return characteristics of future investments, but they should also take into account the client’s risk perception. To this end, whilst self-assessment for the risk tolerance should be avoided, explicit questions on the clients’ personal choices in case of risk uncertainty could be presented. Furthermore, firms could for example make use of graphs, specific percentages or concrete figures when asking the client how he would react when the value of his portfolio decreases”.3 ESMA (Citation2022) identifies “Defining a client’s risk tolerance solely based on the composition of such client’s existing portfolio” as a poor practice, see page 72.4 The sampling was specifically aimed at ensuring that the overall sample was representative of the entire population of the bank’s customers in terms of socio-demographic characteristics (geographical areas/cities, age), risk profile and financial knowledge. As we refer to a big Italian bank that serves many customers across Italy, our fin","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"294 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135412998","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"From Shanghai to Wall Street: The Influence of Chinese News Sentiment on US Stocks","authors":"Kingstone Nyakurukwa, Yudhvir Seetharam","doi":"10.1080/15427560.2023.2270100","DOIUrl":"https://doi.org/10.1080/15427560.2023.2270100","url":null,"abstract":"AbstractThis study explores the influence of Chinese news sentiment on US stocks, focusing on the potential policy shift granting Chinese retail traders direct access to US markets. Analyzing the flow of information between Chinese news sentiment and global news sentiment using transfer entropy, the findings reveal a significant influence of Chinese news sentiment on global news sentiment. Moreover, the study identifies a predominant unidirectional flow of information from news sentiment to stock returns, with Chinese news sentiment having a more substantial impact on future returns of US stocks compared to global news sentiment. This suggests that if the proposed policy changes succeed, Chinese retail traders may rely on Chinese news sentiment, potentially leading to increased volatility in the US market. Policymakers and market participants should be aware of these implications to prepare for changes in the US stock market dynamics. Further research can provide deeper insights into the interplay between news sentiment, investor behavior, and market volatility.Keywords: Behavioral financeinvestor sentimentretail investorstextual analysisinformation flow Disclosure statementNo potential conflict of interest was reported by the authors.Notes1 https://www.scmp.com/news/china/money-wealth/article/3126504/if-chinese-traders-enter-us-markets-they-may-bring2 A full list of the stocks is included as Table A3 in the Appendix.","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"39 9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136033194","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Connectedness of Agricultural Commodities Futures Returns: Do News Media Sentiments Matter?","authors":"Oguzhan Cepni, Linh Pham, Ugur Soytas","doi":"10.1080/15427560.2023.2256910","DOIUrl":"https://doi.org/10.1080/15427560.2023.2256910","url":null,"abstract":"AbstractUsing the novel daily commodity-specific Thomson Reuters Market Psych sentiment data derived from news, social media, press releases, and regulatory filings, this study investigates the asymmetric impact of news and social media sentiment on the futures return connectedness of agricultural commodities. We construct time-varying connectedness measures for agricultural commodities futures returns at different quantiles and show how these spillover measures depend on news sentiment under extreme events. Our results show that the impact of news media sentiment on agricultural commodity connectedness depends on the quantiles (lower, median, upper) and the type of sentiment (traditional news or social media). In particular, we find that social media sentiment has a statistically significant impact on the magnitude of shocks each commodity transmits to others, at both the lower and upper quantiles, indicating that the media sentiment effect is more substantial during extreme market periods.Keywords: Commodity marketNews sentimentQuantile connectednessSpillovers Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1 Maghyereh and Abdoh (Citation2019) do this for nonagricultural commodities.","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"120 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135344272","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"To Correct or Not to Correct: Are Investors Able to Discern Fake Financial News?","authors":"Ning Du, Tawei Wang, Hui Lin","doi":"10.1080/15427560.2023.2259031","DOIUrl":"https://doi.org/10.1080/15427560.2023.2259031","url":null,"abstract":"AbstractThis study attempts to understand how to reduce the continued influence of misleading financial news and examine the effectiveness of corrective efforts such as ex-ante disclosure of compensation of a promoter/writer and the immediacy of ex-post correction. In the 2 (disclosure vs. no disclosure) × 2 (immediate correction vs. delayed correction) experiment, student participants received a (fake) news article including or excluding the author’s affiliation and compensation scheme and were then provided a correction invalidating its content. The correction was provided either immediately or with a delay. The results showed that although participants were susceptible to the influence of positive yet misleading news, providing warnings about potential economic conflicts of interest seemed to temper this enthusiasm among investors. Participants exhibited greater receptiveness to explicit corrections when the initial news article included a compensation disclosure, and when they were not immediately prompted to process the correction. Our findings imply that delaying corrections may offer distinct advantages, as it provides investors with the opportunity to assimilate the compensation disclosure information into their investment decisions over time. Additionally, our results indicate that a dual approach involving conflict of interest disclosure and subsequent correction can be an effective long-term strategy in mitigating investors’ vulnerability to misinformation.Keywords: Corrective measuresFake newsInvestor judgmentsMisinformation AcknowledgementThe authors are thankful for the participants’ suggestions at the accounting research workshop at DePaul University. The authors would also like to thank DePaul University for the financial support.Disclosure statementNo potential conflict of interest was reported by the authors.Notes1 In the experiment, we did not specify the degree of truthfulness of the news article and believed that any reaction to positive news would satisfy the lower bound of fake news. In a pilot study, we provided one group of participants with the financial highlights plus the fake (optimistic) news article and the other group with only the financial highlights. We compared the judgments from these two groups and attributed any difference between the two conditions to fake news. We found that judgments from the financial highlights + optimistic news condition are much higher than those from the financial highlights-only condition. This evidence indicates that the optimistic news article indeed inflated investors’ investment judgments.2 We introduced three demographic variables—working experience, investment experience, and age—as covariates in our ANOVA analysis. None of these variables yielded statistical significance. Importantly, the inclusion of these covariates did not alter the outcomes or results of our ANOVA analysis.3 Two sided p = 0.14 (see Table 5)","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"103 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135864355","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Analysts’ Recommendations and Press Sentiment: Complementary or Alternative to Drive Investors’ Trading Behavior?","authors":"Riccardo Ferretti, Enrico Rubaltelli, Andrea Sciandra","doi":"10.1080/15427560.2023.2257342","DOIUrl":"https://doi.org/10.1080/15427560.2023.2257342","url":null,"abstract":"AbstractThis paper focuses on the relationship between financial analysts’ recommendations and press sentiment from the perspective of the attention-grabbing theory. Specifically, attention-grabbing should not be enough to explain the effect that media coverage has on investment decisions, since investors are wary of making a mistake and anticipate the regret of a future loss. Our case study pertains to a column reporting on secondhand information and analysts’ recommendations. Once the column did not report the analysts’ advice anymore, we hypothesized investors also assess the sentiment of the column to make sure they are not making a costly mistake. Event studies on abnormal returns and multivariate analyses show that for columns with explicit analysts’ recommendations the attention-grabbing mechanism directs buying decisions while has no influences on selling decision. In the absence of explicit recommendations, investors transform the columns’ content into implicit recommendations leading their buying decisions when the sentiment is highly positive.Keywords: Behavioral financeinvestment decisionsattention grabbinganticipated regretsentiment analysisSubject classification codes: G40G110 Disclosure statementThe authors report there are no competing interests to declare.Notes1 For insights into the influence of media on financial markets, refer to Tetlock (Citation2015). To explore the literature on market reactions to the dissemination of analysts' recommendations in print media, consult the review by Cervellati, Ferretti, and Pattitoni (Citation2014).2 Retail investors tend to concentrate their purchases on attention-grabbing stocks that subsequently underperform (Barber, Lin, and Odean Citation2023).3 The European Court of Justice has revisited the issue of market abuse, specifically focusing on the disclosure of inside information by a journalist. In the case brought before the Court of Justice (Case C-302/20), a journalist published two articles on the Daily Mail website, reporting rumors about the filing of public offers to purchase shares of Hermès (by LVMH) and Maurel&Prom. The journalist was fined by the Autorité des marchés financiers (the French Financial Market Supervisory Authority) for disclosing the imminent publication of these articles, which was deemed as transmitting 'inside information'.4 Columns covering companies listed on foreign exchanges or companies with a short listing history (less than 130 trading days before the publishing date), as well as columns with incomplete data or mentioning more than one company, were excluded from the sample. Additionally, columns that were distributed with a delay due to a strike or columns for which the file could not be found in the newspaper's electronic database were also excluded from the analysis.5 Until 2010, all columns include a section presenting a list of analysts' recommendations. To establish a consensus recommendation, each recommendation is assigned a score based on a five","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"139 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136235796","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Anchor Reversion: The Case of the 52-Week High and Asset Prices","authors":"Benjamin M. Blau, Todd G. Griffith, Ryan J. Whitby, Darren Woodward","doi":"10.1080/15427560.2023.2244103","DOIUrl":"https://doi.org/10.1080/15427560.2023.2244103","url":null,"abstract":"AbstractThis study attempts to jointly identify the effects of anchoring and mean reversion on asset prices. In particular, we define “anchor reversion” as the tendency for stock prices to revert back toward an anchor, for example, the 52-week high. Our results show that the further a stock moves away from its 52-week high, the more likely it is to revert back toward that 52-week high in the following month. Conversely, if a stock moves toward its 52-week high in a given month, it is less likely to experience a large movement toward that 52-week high in the following month. Portfolios constructed according to a long-short anchor reversion strategy result in future returns that range from 1.40% to 1.62% per month. These results are robust to controls for various risk factors as well as several cross-sectional stock characteristics, such as the monthly reversal phenomena.Keywords: Anchoringasset pricingbehavioral financemean reversionJEL Codes: G10G19G40G41 Disclosure statementNo potential conflict of interest was reported by the authors.Notes1 Baker, Pan, and Wurgler (Citation2012) find that prior stock-price peaks act as reference points and affect several aspects of mergers and acquisitions. In particular, the authors find that M&A offer prices are biased toward recent price peaks and that the probability of a targets’ acceptance of an acquirers’ offer is higher if the offer price is above the price peak.2 Much of the volatility forecasting literature is based on the notion of mean reversion (see, e.g., Engle, Citation1982; Bollerslev, Engle, and Wooldridge Citation1988; Bollerslev Citation1990; Bollerslev, Chou, and Kroner Citation1992; Bollerslev and Engle Citation1993; Engle Citation2002b).3 In column [5], without including controls, both the coefficients on Away and Closer are negative and significant. The difference between the two coefficients is 0.0079, but the t statistic, testing the significance of that difference, is only 0.79, suggesting that the two estimates are statistically similar.4 These results are available from the authors upon request.","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"154 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135063228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Anxiety in Returns","authors":"Uta Pigorsch, Sebastian Schäfer","doi":"10.1080/15427560.2023.2257344","DOIUrl":"https://doi.org/10.1080/15427560.2023.2257344","url":null,"abstract":"AbstractWe provide empirical evidence that risk-averse investors become anxious about investments in stocks whose realized losses reveal the downside of risk. Contrary to short-term reversal and in support of convex risk aversion, the latter stocks yield significantly lower returns in the subsequent period. Our findings are based on a novel measure of time-varying risk aversion, but can also be observed when using a well-established measure of risk aversion. Moreover, anxiety predicts cross-sectional returns in out-of-sample tests, suggesting that risk-averse investors’ preferences drive empirical risk premia.Keywords: AnomalyAsset Pricing FactorsCross SectionRisk AversionJEL CLASSIFICATION: G12G41G17C31 Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1 We do not consider the accounting-implied value of the well-known free cash flow model, as we neither measure expected firm values nor expected cash flows empirically, as, e.g., in Francis et al. (Citation2000). The exact definition of a payback does not change the following considerations and is interchangeable with, for instance, dividends2 We refer to our finding as an anomaly, as the observed investor’s behavior is likely to be irrational, i.e., there is no apparent reason not to invest in assets with a preceding negative return despite having a high level of risk aversion, and as it yields high out-of-sample return predictability that results in remarkably strong long-short returns over multiple decades, which is a commonly accepted characteristic of an anomaly; see, for instance Hou et al. (Citation2015).3 Note that for brevity and based on our assumption of homogeneous investors we omit a subscript for the investor.4 The data can be downloaded from their website: www.openassetpricing.com.5 The results are available from the authors upon request.6 The clustered standard errors and reported t-statistics are obtained by regressing rt+1,i on appropriately chosen specifications of dummy variables indicating low (high) risk aversion and positive (negative) preceding returns as well as interactions thereof.7 Data on MPU and FS is publicly available on https://www.policyuncertainty.com.8 The data and details on the definitions of the respective factors can be obtained from https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135784908","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"What is the Effect of VIX and (un)Expected Illiquidity on Sectoral Herding in US REITs during (Non)Crises? Evidence from a Markov Switching Model (2014 – 2022)","authors":"Mohammad Sharik Essa, Evangelos Giouvris","doi":"10.1080/15427560.2023.2249155","DOIUrl":"https://doi.org/10.1080/15427560.2023.2249155","url":null,"abstract":"","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"86 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80800919","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Correlation Between Investor Sentiment and Carbon Price Considering Economic Policy Uncertainty","authors":"Yanping Liu, B. Yan","doi":"10.1080/15427560.2023.2242545","DOIUrl":"https://doi.org/10.1080/15427560.2023.2242545","url":null,"abstract":"","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"31 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2023-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75307478","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}