Journal of Behavioral and Experimental Finance最新文献

In times of crisis, such as global pandemics or conflicts, investors’ preference between green and conventional bonds may lean towards the latter due to increased risk aversion and a focus on short-term stability. However, some investors motivated by increased awareness of sustainability issues may maintain or increase their allocation to green bonds, seeing them as an opportunity for long-term resilience and sustainable investing. We use multifractal detrended cross-correlation analysis, wavelet coherence, and copula-based dependence analysis to examine the complex relationship between the $S\&P$ Green Bond Index and the $S\&P$ 500 Bond Index. The results indicate the presence of multifractal cross-correlations, the strength of which is most pronounced in times of crisis, especially in the post-COVID-19 period. The wavelet-based analysis also detects the COVID-19 break and shows significant interdependence at all frequency levels after the RU–UA conflict. The copula-based correlation values exhibit a distinct oscillating pattern over time, characterized by an initial break coinciding with the impact of COVID-19. In light of these findings on the impact of COVID-19 and the RU–UA conflict, we have included the Geopolitical Risk Index in our analysis to better understand how geopolitical tensions and conflicts influence the observed interdependence and to gain insight into how changes in the global risk environment affect both bond market dynamics. Overall, the results of this study provide insights into the interconnectedness between conventional and green bond markets and highlight potential spillover effects and systemic risks in an increasingly complex financial landscape.

This paper investigates the impact of agglomeration on the spillover effects of corporate environmental performance by exploiting quasi-natural experiments involving Million Dollar Plant (MDP) openings. Analyzing plant-level toxic emissions and pollution prevention data from the U.S., we find that large MDP openings prompt neighboring incumbent plants to emit more toxic chemicals compared to those from facilities in runner-up counties. Neighboring plants in winning counties also reduce their pollution control measures. Prior to the MDP events, we observe comparable trends in pollution emissions and balanced sample characteristics. Furthermore, the increase in toxic emissions is more pronounced in regions with lenient environmental regulations. The findings suggest that increased financial constraints, due to higher production costs from local agglomeration, may drive these negative environmental externalities.

This study examines the perspectives of corporate managers regarding corporate social responsibility (CSR), stakeholder interest management, firm performance, and their preferences in capital budgeting. It uses structural equation modelling (SEM) to test hypotheses. The analysis shows that capital budgeting serves as a mediator, diminishing the direct relationship between CSR and firm performance, and between the management of stakeholder interests and firm performance. The findings indicate that instrumental motives guide corporate managers in their capital budgeting decisions. The paper challenges perspectives that disproportionately emphasize the benevolent and moral dimensions of CSR, highlighting the significance of stakeholder interest management as a credible and essential business practice.

This study examines the link between the chairperson’s early-life epidemic experience and corporate social responsibility (CSR). Using Chinese A-share listed firms over the time period of 2010–2020, our findings indicate that (1) the chairperson’s early-life epidemic experience contributes significantly and positively to CSR, as evidenced by elevated levels of both internal CSR and external CSR. In a difference-in-differences setting using firms that undergo chairperson changes, we find that there are significant increases in overall CSR, internal CSR, and external CSR after the firm was taken over by chairpersons with higher level of early-life epidemic experience. The relationship between the chairperson’s early-life epidemic experience and CSR remains robust after a series of robustness checks. (2) the downside risk positively moderates the relationship between the chairperson’s early-life epidemic experience and CSR. (3) The results of the heterogeneity analysis indicate that the promotional effect of the chairperson’s early-life epidemic experience on CSR is notably significant for chairperson with longer tenure, and there is no significant difference in the impact of the medical resource level of the chairperson’s birthplace on the aforementioned relationship. These findings shed light on the crucial role of chairpersons’ past experiences, such as early-life epidemic exposure, in shaping CSR practices.

The convex time budget (CTB) method is a widely used experimental technique for eliciting an individual’s time preference in intertemporal choice problems. This paper investigates the accuracy of the estimation of the discount factor parameter and the present bias parameter in the quasi-hyperbolic discounted utility function for the CTB experiment. In this paper, we use a simulation technique called “parameter recovery”. We found that the precision of present bias parameter estimation is poor within the range of previously reported parameter estimates, making it difficult to detect the effect of present bias. Our results recommend against using a combination of the CTB experimental task and the quasi-hyperbolic discounted utility model to explore the effect of present bias.

Chinese CEOs with foreign experience tend to engage less in related-party transactions (RPTs). This result holds across various analyses, including firm-fixed effects model estimations, matching on firm and CEO characteristics, additional controls, and instrumental variable regressions. The effect of CEO foreign experience is pronounced for non-state-controlled and non–politically connected firms. The effect is weaker for firms with independent boards and foreign shareholders. Moreover, CEOs exposed to more developed institutional environments tend to reduce RPTs more. Collectively, our findings indicate that CEO foreign experience can enhance corporate governance in emerging markets.

Alongside sustainable finance regulations, the new European Sustainability Reporting Standards introduce the need to disclose carbon target difficulty and the science-based nature of targets to enable better investment decisions. However, investment preferences towards established target attributes and emerging ones like target progress are understudied, especially in impact investments, where they can signal the potential for desired emission reduction beyond previous emission levels. This study uses a discrete choice experiment in Sweden with potential impact investors towards climate change mitigation to elicit their preferences towards progress on carbon targets, target emission reduction level and science-based approval for more or less emission-intensive firms. The findings suggest that respondents favour many target characteristics independently and in interactions with other carbon information. Results of the latent class analysis further suggest preference heterogeneity towards carbon targets to stem from attitudinal-, cognitive-, knowledge- and socio-demographic characteristics of individuals.

Recent research shows that managers, much like investors, are prone to sentiment. In this paper, we study the effect of managerial sentiment on firms’ operations both theoretically and empirically. Consistent with our model’s predictions, we find that high managerial sentiment increases employment growth, especially among firms with limited investment opportunities and regardless of their cash resources. We also show that high managerial sentiment offsets the negative effect of low investor sentiment and bad governance on employment, but ultimately leads to lower labor productivity. Overall, the findings unveil a new channel through which optimistic managers affect firms’ operations.

The efficient market hypothesis predicts that asset prices reflect all available information. Recent experimental work found the rational expectation model to outperform the prior information model in contingent claim markets when traders hold homogeneous values, despite the no trade equilibrium. However, recent experiments have also demonstrated the inability of contingent claim markets to successfully aggregate information when traders hold highly differentiated asset values. These prior findings beg the question of whether homogeneous values are a necessary condition for efficient market outcomes in contingent claim markets. The experiments reported in this paper show that homogeneous values are not a necessary condition for information aggregation.

This study characterizes the relationship between U.S. National Home Prices and Immigration Narrative as portrayed on TV news. Integrating Narrative Economics and Natural Language Processing (NLP) sentiment analysis, I analyze a large dataset of 1.96 million TV news transcripts spanning July 2009 to December 2023 to capture the sentiment of the Immigration Narrative. Immigration Narrative Sentiment and U.S. Home Prices are associated. One standard deviation orthogonalized shock to the sentiment Granger-causes a statistically significant and economically meaningful increase in the Case–Shiller U.S. National Home Price. The cumulative increase is equivalent to about 26 percent of the average monthly change during the sample period. Moreover, the effect of a shock to the Immigration Narrative Sentiment on Home Prices is permanent, suggesting that the Immigration Narrative contains fundamental information about Home Prices not captured by standard economic variables. Conversely, there is no evidence that Home Price variation affects Immigration Narrative.