Journal of Behavioral and Experimental Finance最新文献

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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

Preemptive signaling and the emergence of trust in entrepreneurial investments

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2024-12-11 DOI: 10.1016/j.jbef.2024.101008

Béatrice Boulu-Reshef , Graciela Kuechle

Experimental and theoretical evidence suggests that principal–agent interactions in which the principal signals prosociality may achieve higher levels of trust and reciprocity if both parties care about social esteem. However, it is unclear what the characteristics of a separating equilibrium would be if the agent were to signal first. This is pertinent to interactions such as entrepreneurial investments, where the agent has incentives to signal prosociality first in order to secure financing. To establish conditions for an equilibrium in which prosocial individuals engage in higher levels of trust and reciprocity, we extend Berg et al.’s (1995) trust game by allowing the agent to choose the size of a donation to third parties in the initial move. We apply the social esteem model of Ellingsen and Johannesson (2008) and show that, in addition to social esteem and altruism towards the opponent, the separating equilibrium crucially depends on altruism towards third parties and the size of the donation.

引用次数: 0

Tournament-type utility, absolute cumulative intra-quarter return, institutional feedback trading and return autocorrelation

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2024-12-05 DOI: 10.1016/j.jbef.2024.101010

Numan Ülkü , Justyna Dul

We examine the behavioral basis of Johnson’s (2016) model of competition among asset managers with tournament type utility, offered to explain short-horizon reversals in stock market returns. First, we report that the intriguing pattern -the absolute cumulative intra-quarter return

(r_{t}^{Q})

drives negative autocorrelation in S&P500 returns-, by which Johnson (2016) supports the disagreement-about-persistence (DAP) mechanism in his model, pervasively holds in international stock markets. In contrast, we find limited evidence of institutional trading behavior consistent with the DAP mechanism, using data with institutional trader identities from Finland and S&P500 futures position data. The pattern’s association with the DAP mechanism is doubtful. We document a new empirical fact, which provides a more robust alternative explanation compatible with the pervasiveness of this pattern:

(r_{t}^{Q})

drives the intensity of aggregate institutional positive feedback trading, which in turn drives time-variation in return autocorrelation.

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引用次数: 0

Financial incentives for delaying the public pension claiming age

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2024-11-30 DOI: 10.1016/j.jbef.2024.101009

Tomoki Kitamura , Kunio Nakashima

We investigate whether financial incentives can prompt senior workers to delay claiming public pension benefits in Japan. We explore two types of incentives: increasing public pension benefits beyond actuarial adjustments and offering discounts on investments for short-term personal insurance products that provide a stable cash flow until the pension-claiming age. Utilizing choice experiments conducted through an original internet survey of Japanese employees, we demonstrate that these incentives effectively increase the pension-claiming age. Specifically, a 1.2 % increase in pension benefits or a 19.4 % additional yield on short-term personal insurance is necessary to delay claiming by one year on average. Moreover, incentives for insurance products are more cost-effective for the government. Our findings also reveal significant heterogeneity in financial incentive preferences among individuals, influenced by factors such as survival probabilities, trust in public pensions, and socioeconomic status.

引用次数: 0

Does corporate environmental responsibility create value?: Evidence from supreme Court rulings

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2024-11-22 DOI: 10.1016/j.jbef.2024.101006

Taehyun Kim , Yongjun Kim

We investigate the impact of corporate environmental responsibility (CER) actions on firm value, using two 5-to-4 Supreme Court rulings. Employing an event study approach, we find that firms expected to increase CER activities experience positive market reactions. The market reactions are greater for firms that are under more significant CER pressure from the Court decisions. These return patterns are more pronounced among firms located in states with Democratic state governments and in regions with high levels of social trust where stakeholders are more attentive to CER. Additionally, we examine the relationship between CER and corporate financial performance, and find that firms with strong CER policies tend to have a higher level of revenue, profitability, and ownership held by institutional investors with longer investment horizons. Our evidence suggests that the market views CER as essential for meeting the growing sustainability demands in today’s financial markets.

引用次数: 0

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