Journal of Behavioral and Experimental Finance最新文献

英文中文

Pricing anomalies in a general equilibrium model with biased learning

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-02-08 DOI: 10.1016/j.jbef.2025.101027

Andrea Antico, Giulio Bottazzi, Daniele Giachini

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets and cognitively biased agents. General equilibrium and market completeness avoid spurious effects due to portfolio composition or price stickiness. Taking inspiration from and merging different strands of empirical literature, we try to identify anomalies in the most general way, studying return autocorrelation patterns, price gaps following sequences of specific events, and relative performances of suitably defined portfolios. We show that these three characterizations are not equivalent. They capture different aspects of mispricing and relate differently to the behavioral characteristics of the agents. Often, similar anomalous patterns struggle to coexist under seemingly related biases. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that subsequently revert.

引用次数: 0

CEO and CFO conscientiousness and working capital management during global financial crisis

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-02-04 DOI: 10.1016/j.jbef.2025.101026

Shreesh Deshpande, Marko Svetina, Pengcheng Zhu

Behavioral finance research has examined the influence of CEO personality traits on firm policies and performance. Our study focuses on the conscientiousness of CEOs and CFOs during the 2008 financial crisis and its impact on working capital management. We find that firms with highly conscientious executive leadership benefitted from a greater increase in trade credit from suppliers in comparison to trade credit offered to their customers. Additionally, firms led by highly conscientious CFOs tend to keep longer relationships with key customers. As a result of improved efficiency in working capital management, firms led by conscientious top executives performed better during the financial crisis, as evidenced by a higher Tobin’s Q.

引用次数: 0

How does investment efficiency affect financial distress risk? Evidence from China

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-01-22 DOI: 10.1016/j.jbef.2025.101024

Huixia Geng , Hongbing Zhu , Wei Theng Lau , Normaziah Mohd Nor , Nazrul Hisyam Ab Razak

Motivated by the high financial distress risk (Hereafter, FDR) level and extensively inefficient investment behaviors in China, this paper aims to explore the relationship between firms’ investment efficiency and FDR. Utilizing Chinese A-share market data spanning 2008–2020, we find that over-investment linearly exacerbates FDR, while under-investment has a U-shaped relationship with FDR. Detecting the underlying mechanisms, we find that over-investment exacerbates FDR through linearly declining firms’ cash holding and investing cash flow while increasing firms financing cash flow, and under-investment impacts FDR through the inverted U-shaped relationship with operating cash flow and U-shaped relationship with firms’ financing cash flow. Our findings hold up well after various robustness tests, providing new implications of firm life circle theory and static trade-off theory in the process of investment efficiency influencing FDR.

引用次数: 0

Board gender diversity reforms and corporate social responsibility: International evidence

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-01-21 DOI: 10.1016/j.jbef.2025.101025

Yingying Xin , James Thewissen , Albert Tsang , Shuo Yan

Using the board gender diversity (BGD) reforms implemented in countries worldwide and a staggered difference-in-differences research design, this study highlights a significant positive impact of BGD reform on firms’CSR performance. Furthermore, the results reveal that among countries implementing BGD reforms, the effect of reform on CSR is more pronounced in countries with greater equality between men and women, as well as in nations with greater environmental, social, and governance risk concerns. Conversely, we observe a weaker influence of BGD on CSR in countries with stricter legal environments and greater political stability. Our findings also indicate that the implementation of BGD reform weakens the positive correlation between a firm’s CSR performance and their future financial performance. In summary, these findings support the notion that while BGD reform plays a pivotal role in promoting firms’ CSR investment, improved CSR initiatives in a country after BGD reform implementation may yield less value enhancement.

引用次数: 0

Does major depressive disorder affect the perception of financial threat and willingness to change financial behavior?

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-01-14 DOI: 10.1016/j.jbef.2025.101023

Çağrı Hamurcu , H. Dilek Hamurcu , Oğuzhan Uğur , Ali Çayköylü

This study aimed to compare individuals diagnosed with major depressive disorder (MDD) with a healthy control group in terms of perceived financial threat and willingness to change financial behavior. It also examined whether the severity of depression in people with MDD affects perceived financial threat and willingness to change financial behavior, and how financial threat affects the willingness to change financial behavior. The study included 266 patients diagnosed with MDD and 266 healthy volunteers. The financial threat scale, the willingness to change financial behavior scale, and the Beck Depression Inventory are used. Results showed that individuals with MDD experience a higher perception of financial threat and a lower willingness to change financial behavior compared to healthy individuals. The severity of depression in individuals with MDD positively affects the perception of financial threat. However, this severity does not directly affect willingness to change financial behavior; instead, it creates an indirect effect through perceived financial threat. Moreover, perceived financial threat in MDD patients positively influences their willingness to change financial behavior. This study can make significant contributions to both behavioral finance and psychiatry literature in terms of revealing the effects of mental health on perceptions and behaviors regarding financial issues. The research offers new perspectives to develop practical implications on how mental health problems can be evaluated together with financial decision-making processes, how multifaceted evaluations can be conducted regarding the financial behavior of people with depression, and how predictions can be made by looking at both individuals and financial markets from these aspects.

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引用次数: 0

To compete or cooperate: The application of system dynamics simulation on the choice of Chinese banks

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-01-13 DOI: 10.1016/j.jbef.2025.101022

Wei Yin , Qiulan Hua , Berna Kirkulak-Uludag

This paper uses Evolutionary Game Model and System Dynamics Simulation to explore the impact of interest rate liberalization policy and guanxi on competition among Chinese banks. The results show that the guanxi is a key factor to push both large and small banks to cooperate with each other in the interest rate fully limited period. However, during the partial liberalization period, large banks and small banks display different behaviors, with the former adopting a cooperative approach due to guanxi while the latter choose to compete. In the fully liberalized period, the declining impact of guanxi on business drives large banks to compete in the market with lower interest rates. In general, guanxi is a major factor that hinders competition and results in varying lending rates in the market.

引用次数: 0

Noise trader clusters and market efficiency

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-01-10 DOI: 10.1016/j.jbef.2025.101021

Christos Pantzalis, Jung Chul Park, Pinshuo Wang

We posit that noise trader clusters, retail investor base configurations that are homogeneous and informationally segmented, should be associated with greater market inefficiency because they facilitate the spread of common, “local” narratives and sentiment about the stock over fundamentals and market information. Our tests confirm that noise trader clusters have significant stock pricing implications. Stocks with retail investor clusters are associated with stronger peer effects, greater delay in incorporating market information, and more idiosyncratic risk. Consistent with the notion that they are associated with greater arbitrage risk and mispricing, such stocks earn higher risk-adjusted returns and display stronger long-run reversals.

引用次数: 0

Examining psychological barriers in exchange rates across various regimes and FX intervention

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-01-09 DOI: 10.1016/j.jbef.2025.101020

Mark J. Holmes , Ana María Iregui , Jesús Otero

This paper applies econometric techniques to explore the possibility of psychological barriers in exchange rate dynamics over different types of exchange arrangements. By analysing over fifty years of daily data for the Colombian peso-dollar exchange rate, we substantiate the presence of hypothesised barriers related to rounded digits, including 1000, 2000, etc., in the thousands of pesos per dollar range. Similarly, barriers are observed in relation to hundreds of pesos per dollar at digits such as 100, 200, etc. Additionally, barriers emerge in terms of tens of pesos per dollar at levels such as 110, 120, etc. However, much depends on the exchange rate regime present. Further results show that the behaviour of exchange rate returns differs both before and after breaches of hypothesised barriers, and it is possible to identify episodes where central bank foreign exchange (FX) interventions can make a difference to the behaviour of exchange rate returns and volatility at the barriers.

引用次数: 0

Does national culture affect macroprudential policy? An international investigation of regulatory behavior on macroprudential interventions

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2024-12-27 DOI: 10.1016/j.jbef.2024.101018

Simona Nistor , Ioana Georgiana Fărcaș

Using an international sample covering more than 60 countries over 20 years, we provide evidence that national culture has a significant impact on macroprudential interventions. Our empirical findings indicate that regulators are more likely to tighten macroprudential policies in more uncertainty-avoiding countries. In contrast, prudential policies tend to be more relaxed in societies that value masculinity. The positive effect of uncertainty avoidance on macroprudential policy tightness is enhanced in countries with more independent or less forbearing supervisory agencies. Our results suggest that national cultural traits are key drivers of regulatory behavior and contribute to the policy debate on macroprudential toolkits and supervisory practices.

引用次数: 0

Cryptocurrency ownership and cognitive biases in perceived financial literacy

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2024-12-20 DOI: 10.1016/j.jbef.2024.101019

Santiago Carbó-Valverde , Pedro J. Cuadros-Solas , Francisco Rodríguez-Fernández

Acknowledging the potential threats posed to financial stability by owning cryptoassets combined with a lack of financial literacy, this paper investigates the relationship between financial literacy and cryptocurrency ownership using machine learning methods. Analyzing 2121 survey responses, it shows that financial literacy emerges as a crucial factor in cryptocurrency ownership, even when accounting for other factors such as age, income, and digital activity. A neural network model reveals that a unit increase in financial literacy reduces the probability of cryptocurrency ownership by 0.2. Causal forest analysis indicates that financial literacy bias positively impacts ownership likelihood (a point estimate of 75.30 %). However, the bias-corrected financial literacy measure has a negative effect of −25.40 % on ownership likelihood. This reveals that cognitive biases, particularly overconfidence, as a significant influence on cryptocurrency ownership. These results show that individuals with more financial literacy and with less biased self-assessments are less likely to hold cryptocurrencies.

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引用次数: 0

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