Journal of Behavioral and Experimental Finance最新文献

We develop a novel direct measure of abnormal retail attention using tweet frequency on StockTwits. Contrary to prior evidence, our results show that firm-level abnormal retail attention is only slightly diminished by market-level abnormal retail attention.More importantly, we find that firm-level abnormal retail attention enhances the immediate incorporation of earnings information in share prices and alleviates post earnings announcement drift. Unlike prior studies that usually consider retail investors uninformed and play no role in price discovery, our results suggest that the proliferation of inexpensive techniques for information gathering nowadays makes the role played by retail investors in capital markets increasingly important.

We explore the role of extrapolative beliefs in return predictability in the Chinese stock market. Extrapolation-based theories suggest that the return predictability arises from the eventual correction of mispricing caused by extrapolators, particularly during periods of high extrapolative beliefs. Our findings support this notion, indicating that greater extrapolative beliefs strengthen the return predictability of valuation ratios. Mechanism analyses reveal that extrapolative beliefs influence the mean-reversion and investor sentiment.

We study the effects of digital financial education interventions on undergraduate students’ financial knowledge in a small-scale RCT. We test the substitutability or complementarity of two treatments: an online video financial education treatment and an incentive-based approach where students are issued pre-paid voucher cards worth 50 EUR to register with a broker specializing in robo-advised investment in Exchange Traded Funds (ETFs). Three months after the intervention, the video treatment enhanced financial knowledge scores by more than 0.5 standard deviations. Conversely, the vouchers showed no effect. The findings suggest that subsidies encouraging robo-advised investment into ETFs cannot substitute direct financial education in our setting, and there is no evidence for complementarity between these interventions.

Focusing on GameFi, we test theories regarding the relationship between return volatility and trading volume. These theories include the Mixture of Distribution Hypothesis (MDH) and the Sequential Information Arrival Hypothesis (SIAH). Empirical results indicate rejection of MDH and support for SIAH. These results are robust to alternative measurements of trading volume and return volatility. Subperiod analysis further reveals that SIAH is more pronounced during periods of high investor attention and low economic uncertainty. The results will be of interest to scholars interested in the robustness of established financial theories for revolutionary financial products.

This study examined the dynamic nature of capital structure decisions and the effectiveness of trade-off, pecking order, and market timing theories in explaining the changes in leverage ratios. A partial adjustment model was used to examine the practice of setting a target (optimal) leverage, estimate firms’ speeds of adjustment in reaching their target leverages, and identify the capital structure theories that best explain the changes in leverage levels of firms in the Gulf Cooperation Council countries. Firms in these countries reach their target leverages at estimated average speeds of adjustment of 59.8 %–72 % annually. These speeds of adjustment are sensitive to country- and firm-specific characteristics. The targeting behavior factor of the trade-off theory better explains the changes in capital structure compared with the pecking order or market timing theories.

I conduct lab-in-the-field experiments using a stylized optimal stopping problem, through which I separately identify the exact threshold values for the disposition effect in the gain and loss domains. I further combine the experimental results with actual account-level trading records. Remarkably, I discover that solely the disposition effect indicator within the gain domain exhibits a positive correlation with the actual disposition effect observed in the stock market. This asymmetry in financial decision-making between the gain and loss domains suggests that individual investors may render suboptimal decisions primarily when confronted with gains.

The aim of this paper is to analyse the official corporate reports of selected companies in the utilities and energy sectors to determine whether they report transparently on negative biodiversity-related events or instead present an idealised image through impression management strategies. For this purpose, through a counter-accounting approach, external sources were consulted to find information on incidents with an impact on biodiversity for selected companies from the energy and utilities sectors. 47 incidents linked to 17 companies were identified and the information obtained from the unofficial sources was then compared with what the companies had disclosed in their sustainability reports. Half of the incidents identified were not disclosed at all and those that were informed were, in most cases, partially reported using impression management mechanisms.

Personal experiences can impact investors’ risk taking, and this can explain market phenomena such as time-varying risk premia, asset price bubbles or wage–price spirals. Establishing the link from individual experiences to market outcomes is challenging, as together with experiences, several decision-relevant factors simultaneously change. The present work investigates the impact of prior experiences on subsequent investments in a laboratory experiment without confounds, which allows for the control of various factors that usually are correlated with experience. The results show that high (low) previously experienced outcomes lead to more (less) investment in a risky asset, even in a condition where experiences do not provide new information and should be ignored. A reinforcement learning model captures the observed individual behavior and allows us to explain market price dynamics. The experience effect on risk taking informs behavioral theories of markets and provides a cognitive explanation for trend-following and self-enforcing market dynamics.

Around the world, it is becoming increasingly common for individuals to have volatile incomes. Previous research offers mixed evidence on whether uncertainty about one’s income may increase or decrease saving behaviour. Across four incentivised online experiments (N = 712), we examine the relationship between income volatility and saving behaviour in a novel financial decision making task. In this task, participants receive hypothetical income that is either consistent or that varies to different degrees. We capture participants’ perceptions of how volatile their income is and observe how this influences their decision to spend the income or save it towards a hypothetical impending emergency. Our results indicate that receiving a more volatile income, as measured by its coefficient of variation (CV), leads to higher savings within our task. However, there appears to be a threshold level of volatility that must be exceeded before participants save differently relative to receiving a stable income.

This paper studies the effect of judicial reform on corporate cash holdings. Leveraging the establishment of Circuit Courts in China as an exogenous shock, we demonstrate that firms reduce cash holdings by 10.4% when under the jurisdiction of a court. The two primary channels through which the courts affect cash holdings are the availability of cheaper external financing and lower litigation uncertainty. This effect is more pronounced in financially constrained, private, and non-politically connected firms. Moreover, the equivalent perceived value of one additional CNY of cash held by firms declines by ￥0.091 due to lower precautionary motives. Further analysis shows that firms are more likely to pursue returns from alternative strategies by investing more, raising more capital, and buying back more shares. Collectively, these results suggest that judicial independence can have potentially important consequences for corporate cash management strategies.