Pub Date : 2022-07-19DOI: 10.1080/15427560.2022.2100383
Sandra Ferreruela, Vasileios Kallinterakis, T. Mallor
{"title":"Cross-Market Herding: Do ‘Herds’ Herd with Each Other?","authors":"Sandra Ferreruela, Vasileios Kallinterakis, T. Mallor","doi":"10.1080/15427560.2022.2100383","DOIUrl":"https://doi.org/10.1080/15427560.2022.2100383","url":null,"abstract":"","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"66 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2022-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89010867","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}
Pub Date : 2022-07-15DOI: 10.1080/15427560.2022.2100377
Naveh Eskinazi, Miki Malul, Mosi Rosenboim, T. Shavit
{"title":"An Experimental Study of the Effect of the Anchor of the Option's Underlying Asset on Investors’ Pricing Decisions","authors":"Naveh Eskinazi, Miki Malul, Mosi Rosenboim, T. Shavit","doi":"10.1080/15427560.2022.2100377","DOIUrl":"https://doi.org/10.1080/15427560.2022.2100377","url":null,"abstract":"","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"49 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2022-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86936495","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}
Pub Date : 2022-06-23DOI: 10.1080/15427560.2022.2085279
Manapon Limkriangkrai, Robert B. Durand, Lucia Fung
{"title":"Do Behavioral Biases Influence the Length of Sell-Side Analysts’ Observable Careers?","authors":"Manapon Limkriangkrai, Robert B. Durand, Lucia Fung","doi":"10.1080/15427560.2022.2085279","DOIUrl":"https://doi.org/10.1080/15427560.2022.2085279","url":null,"abstract":"","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"17 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2022-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73964706","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}
Pub Date : 2022-06-20DOI: 10.1080/15427560.2022.2081974
Mark Schneider, Timothy W. Shields
Abstract We investigate the motives for cooperation in the one-shot Prisoner’s Dilemma (PD). A prior study finds that cooperation rates in one-shot PD games can be ranked empirically by the social surplus from cooperation. That study employs symmetric payoffs from cooperation in simultaneous PD games. Hence, in that setting, it is not possible to discern the motives for cooperation since three prominent social welfare criteria, social surplus (efficiency) preferences, Rawlsian maximin preferences, and inequity aversion make the same predictions. In the present paper, we conduct an experiment to identify which of these social preferences best explains differences in cooperation rates and to study the effects of the risk of non-cooperation.
{"title":"Motives for Cooperation in the One-Shot Prisoner’s Dilemma","authors":"Mark Schneider, Timothy W. Shields","doi":"10.1080/15427560.2022.2081974","DOIUrl":"https://doi.org/10.1080/15427560.2022.2081974","url":null,"abstract":"Abstract We investigate the motives for cooperation in the one-shot Prisoner’s Dilemma (PD). A prior study finds that cooperation rates in one-shot PD games can be ranked empirically by the social surplus from cooperation. That study employs symmetric payoffs from cooperation in simultaneous PD games. Hence, in that setting, it is not possible to discern the motives for cooperation since three prominent social welfare criteria, social surplus (efficiency) preferences, Rawlsian maximin preferences, and inequity aversion make the same predictions. In the present paper, we conduct an experiment to identify which of these social preferences best explains differences in cooperation rates and to study the effects of the risk of non-cooperation.","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"27 1","pages":"438 - 456"},"PeriodicalIF":1.9,"publicationDate":"2022-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74451968","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":"The Value of “Brand” in the Chinese Stock Market: The Impact of Brand Attention on Stock Performance and the Moderation Role of Investor Sentiment","authors":"Shuqin Liu, Diandian Ma, Xuerong Li, Xiuting Li, Lijun Yin","doi":"10.1080/15427560.2022.2085277","DOIUrl":"https://doi.org/10.1080/15427560.2022.2085277","url":null,"abstract":"","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"9 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2022-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76330937","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}
Pub Date : 2022-06-09DOI: 10.1080/15427560.2022.2081973
Zhongming Cheng, Shengle Lin
Abstract Empirical studies find that the order imbalance of retail trades can predict future stock returns. The authors investigated the cause of the puzzle using data from the laboratory asset markets in which inexperienced subjects trade in a single asset market (SSW design). The authors found that the retail order imbalance in period t positively predicted returns in period t + 1 in laboratory markets. The existence of return predictability in laboratory markets in which insider information or institutional investors are absent suggests that the predictability is not contingent upon private information or the activities of institutional investors, thus diminishing support of theories relying on these 2 conditions. In addition, the authors found that the return predictability in lab results was stronger and more statistically significant when the subjects were more excited. They tested this novel lab finding in empirical data and confirmed that return predictability is more robust when the market sentiment is higher. The findings suggest that the cause of the return predictability is likely linked to speculative activities.
{"title":"Return Predictability in Laboratory Asset Markets","authors":"Zhongming Cheng, Shengle Lin","doi":"10.1080/15427560.2022.2081973","DOIUrl":"https://doi.org/10.1080/15427560.2022.2081973","url":null,"abstract":"Abstract Empirical studies find that the order imbalance of retail trades can predict future stock returns. The authors investigated the cause of the puzzle using data from the laboratory asset markets in which inexperienced subjects trade in a single asset market (SSW design). The authors found that the retail order imbalance in period t positively predicted returns in period t + 1 in laboratory markets. The existence of return predictability in laboratory markets in which insider information or institutional investors are absent suggests that the predictability is not contingent upon private information or the activities of institutional investors, thus diminishing support of theories relying on these 2 conditions. In addition, the authors found that the return predictability in lab results was stronger and more statistically significant when the subjects were more excited. They tested this novel lab finding in empirical data and confirmed that return predictability is more robust when the market sentiment is higher. The findings suggest that the cause of the return predictability is likely linked to speculative activities.","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"7 1","pages":"457 - 465"},"PeriodicalIF":1.9,"publicationDate":"2022-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79007386","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}
Pub Date : 2022-06-09DOI: 10.1080/15427560.2022.2085278
Zhen Cao, Surya Chelikani, Osman Kilic, Xuewu (Wesley) Wang
Abstract
Stocks can be mispriced for at least two reasons: value-relevant information is not timely incorporated or investor sentiment can induce mispricing. Using the mispricing measure proposed by Stambaugh, Yu, and Yuan (2015), we show that informed trading in the options market, proxied by the implied volatility spread, can substantially alleviate stock mispricing. Higher implied volatility spread reliably predicts subsequently lower stock mispricing after controlling for an array of economic variables including firm size, illiquidity, idiosyncratic volatility, institutional ownership, and investor’s divergence of opinions. In addition, this effect is more pronounced when the options trading volume is higher, consistent with the notion that higher options trading volume provides better camouflage for informed trading in the spirit of Kyle (1985). Our findings highlight the importance of information incorporation to reduce asset mispricing. We further show that a self-financing monthly portfolio that goes long on most underpriced stocks and short on most overpriced stocks when the implied volatility spread is the lowest yields statistically and economically significant abnormal returns.
摘要股票的错误定价至少有两个原因:与价值相关的信息没有及时纳入，或者投资者情绪可能导致错误定价。使用Stambaugh, Yu, and Yuan(2015)提出的错误定价度量，我们表明期权市场的知情交易，以隐含波动率价差为代表，可以大大缓解股票的错误定价。在控制了包括公司规模、非流动性、特殊波动率、机构所有权和投资者意见分歧在内的一系列经济变量后，较高的隐含波动率价差可靠地预测了随后较低的股票错误定价。此外，当期权交易量较高时，这种效应更为明显，这与Kyle(1985)的观点一致，即较高的期权交易量为知情交易提供了更好的伪装。我们的研究结果强调了信息整合对于减少资产错误定价的重要性。我们进一步表明，当隐含波动率价差是最低时，一个自融资的月度投资组合做多大多数价格过低的股票，做空大多数价格过高的股票，会产生统计上和经济上显著的异常收益。
{"title":"Implied Volatility Spread and Stock Mispricing","authors":"Zhen Cao, Surya Chelikani, Osman Kilic, Xuewu (Wesley) Wang","doi":"10.1080/15427560.2022.2085278","DOIUrl":"https://doi.org/10.1080/15427560.2022.2085278","url":null,"abstract":"<p><b>Abstract</b></p><p>Stocks can be mispriced for at least two reasons: value-relevant information is not timely incorporated or investor sentiment can induce mispricing. Using the mispricing measure proposed by Stambaugh, Yu, and Yuan (2015), we show that informed trading in the options market, proxied by the implied volatility spread, can substantially alleviate stock mispricing. Higher implied volatility spread reliably predicts subsequently lower stock mispricing after controlling for an array of economic variables including firm size, illiquidity, idiosyncratic volatility, institutional ownership, and investor’s divergence of opinions. In addition, this effect is more pronounced when the options trading volume is higher, consistent with the notion that higher options trading volume provides better camouflage for informed trading in the spirit of Kyle (1985). Our findings highlight the importance of information incorporation to reduce asset mispricing. We further show that a self-financing monthly portfolio that goes long on most underpriced stocks and short on most overpriced stocks when the implied volatility spread is the lowest yields statistically and economically significant abnormal returns.</p>","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"34 9","pages":""},"PeriodicalIF":1.9,"publicationDate":"2022-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138509021","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}
Pub Date : 2022-05-30DOI: 10.1080/15427560.2022.2081972
A. Breaban, Cary A. Deck, Erik Johnson
Abstract First price and Dutch auctions are theoretically isomorphic, but previous experiments report that the institutions are not behaviorally isomorphic. This article uses facial analysis of video recordings of laboratory experiments to investigate whether these auctions invoke different emotional responses from bidders. The results indicate that bidders are angrier during the Dutch auction and that winners exhibit more contempt after the first price auction. Overall, subjects in both auctions appear to be mostly bored and depressed, but there is evidence that bidders exhibit more positive emotions as prices fall in the Dutch auction.
{"title":"Emotional Differences between Isomorphic Auctions","authors":"A. Breaban, Cary A. Deck, Erik Johnson","doi":"10.1080/15427560.2022.2081972","DOIUrl":"https://doi.org/10.1080/15427560.2022.2081972","url":null,"abstract":"Abstract First price and Dutch auctions are theoretically isomorphic, but previous experiments report that the institutions are not behaviorally isomorphic. This article uses facial analysis of video recordings of laboratory experiments to investigate whether these auctions invoke different emotional responses from bidders. The results indicate that bidders are angrier during the Dutch auction and that winners exhibit more contempt after the first price auction. Overall, subjects in both auctions appear to be mostly bored and depressed, but there is evidence that bidders exhibit more positive emotions as prices fall in the Dutch auction.","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"46 1","pages":"427 - 437"},"PeriodicalIF":1.9,"publicationDate":"2022-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86045057","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}
Pub Date : 2022-05-18DOI: 10.1080/15427560.2022.2073593
A. Nepp, Fedor Karpeko
{"title":"Hype as a Factor on the Global Market: The Case of Bitcoin","authors":"A. Nepp, Fedor Karpeko","doi":"10.1080/15427560.2022.2073593","DOIUrl":"https://doi.org/10.1080/15427560.2022.2073593","url":null,"abstract":"","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"14 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2022-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86104427","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}
Pub Date : 2022-05-14DOI: 10.1080/15427560.2022.2037597
C. Banks
Abstract I examine the role of bank monitoring in the timing of earnings announcements. Managers have been shown to procrastinate and delay the public release of bad news on earnings. I find that banks discipline and prevent such managerial procrastination of earnings disclosures to the public. Moreover, I find that the market is more tolerant of delays in the public release of earnings information in the presence of a bank lending relationship. Thus, the negative abnormal return accompanying late releases of earnings information is observed only when a bank lending relationship is not present.
{"title":"Bank Monitoring Prevents Managerial Procrastination: Evidence from the Timing of Earnings Announcements","authors":"C. Banks","doi":"10.1080/15427560.2022.2037597","DOIUrl":"https://doi.org/10.1080/15427560.2022.2037597","url":null,"abstract":"Abstract I examine the role of bank monitoring in the timing of earnings announcements. Managers have been shown to procrastinate and delay the public release of bad news on earnings. I find that banks discipline and prevent such managerial procrastination of earnings disclosures to the public. Moreover, I find that the market is more tolerant of delays in the public release of earnings information in the presence of a bank lending relationship. Thus, the negative abnormal return accompanying late releases of earnings information is observed only when a bank lending relationship is not present.","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"11 1","pages":"428 - 449"},"PeriodicalIF":1.9,"publicationDate":"2022-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73211520","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}
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