Journal of Behavioral and Experimental Finance最新文献

英文中文

Presenting return charts in investment decisions 在投资决策中呈现回报图

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-03-27 DOI: 10.1016/j.jbef.2025.101040

Christoph Huber , Julia Rose

An investment’s performance is often represented through charts, which are key components in making informed investment decisions but allow for discretion in how the information is presented. In a controlled, incentivized experiment that models an advisor–client setting, we specifically study the discretion in the charts’ vertical axis scale. Our findings reveal that advisors tend to present positive returns on a comparatively narrow scale – thereby enhancing the size of the return bars – while no distinct pattern is observed for negative returns. Advisors’ scaling choices do not vary with different incentive schemes. For positive returns, chosen scales are positively related to advisors’ forecasts. We therefore find no evidence that advisors use the chart’s axis scale to visually emphasize or de-emphasize investment performance in a strategic manner. Additionally, investors’ decisions and forecasts are not affected by different scales. This study extends the existing literature by exploring an interactive advisor–client setting and contributes to our understanding of how return information is presented in investment decisions.

一项投资的表现通常是通过图表来表示的，图表是做出明智投资决策的关键组成部分，但在信息的呈现方式上允许自由裁量权。在一个模拟顾问-客户环境的受控激励实验中，我们专门研究了图表纵轴尺度上的自由裁量权。我们的研究结果表明，投资顾问倾向于在相对较小的范围内呈现正回报——从而增强了回报条的大小——而在负回报方面没有观察到明显的模式。顾问的规模选择不随激励方案的不同而变化。对于正回报，选择的尺度与顾问的预测呈正相关。因此，我们没有发现任何证据表明顾问使用图表的轴线尺度在视觉上以战略方式强调或弱化投资绩效。此外，投资者的决策和预测不受不同尺度的影响。本研究通过探索交互式顾问-客户设置扩展了现有文献，并有助于我们理解回报信息如何在投资决策中呈现。

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引用次数: 0

Investor sentiment and cross-section of cryptocurrency returns 投资者情绪和加密货币回报的横截面

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-03-21 DOI: 10.1016/j.jbef.2025.101043

SeungOh Han

This study investigates the cross-sectional pricing of sentiment risk in cryptocurrencies, defined as price sensitivity to changes in the Crypto Fear and Greed Index, from November 2018 to July 2024. Controlling for market, size, reversal, and liquidity factors, cryptocurrencies with intermediate sentiment risk yield a risk-adjusted weekly return 3.57% higher than those with low or high risk, revealing a negative sentiment risk premium in cryptocurrencies with high positive sentiment beta. This negative risk premium is partially attributed to overpayment for lottery-like cryptocurrencies. These findings remain robust across cross-sectional regressions, various quantile portfolios, alternative risk factors, and diverse illiquidity measures.

本研究调查了2018年11月至2024年7月期间加密货币情绪风险的横截面定价，定义为对加密货币恐惧和贪婪指数变化的价格敏感性。在控制市场、规模、反转和流动性因素后，具有中等情绪风险的加密货币的风险调整周收益率比具有低风险或高风险的加密货币高3.57%，这表明具有高积极情绪beta的加密货币存在负情绪风险溢价。这种负风险溢价部分归因于对类似彩票的加密货币的超额支付。这些发现在横截面回归、各种分位数组合、替代风险因素和各种非流动性措施中都保持稳健。

引用次数: 0

Images and investment: Experimental evidence on the effects of visual stimuli on financial decisions 图像与投资：视觉刺激对财务决策影响的实验证据

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-03-19 DOI: 10.1016/j.jbef.2025.101041

Koen van Boxel , Philipp Decke , Sven Nolte , Judith C. Schneider

We investigate the effect of emotional images on financial decision-making in an incentivized and pre-registered experiment. Utilizing a set of images rated on the emotional dimensions of valence and arousal from the Open Affective Standardized Image Set (OASIS) (Kurdi et al., 2017), we develop an experimental framework that can be easily applied to other contexts such as the use of images in corporate reporting. Further, we introduce a set of nature-related images which are pervasive in the advertisement of sustainable investment products. We show that negative images cause lower investments in risky mutual funds compared to neutral images, while positive images do not exhibit the opposite effect. Nature-related images do not cause investors to invest more than comparable non-nature images. Our results offer insights for financial regulators who are concerned with the impact of selective company disclosure and providers of financial products about the influence on emotional images on financial decisions.

我们在一个激励和预注册的实验中研究了情绪图像对财务决策的影响。利用开放情感标准化图像集（OASIS）（Kurdi等人，2017）中对效价和唤醒的情感维度进行评级的一组图像，我们开发了一个实验框架，可以很容易地应用于其他环境，例如在公司报告中使用图像。进一步，我们引入了一组在可持续投资产品广告中普遍存在的与自然相关的图像。我们发现，与中性形象相比，负面形象会导致风险共同基金的投资减少，而正面形象则不会表现出相反的效果。与自然相关的图像并不会比类似的非自然图像引起投资者更多的投资。我们的研究结果为关注选择性公司披露影响的金融监管机构和金融产品提供商提供了有关情感形象对财务决策影响的见解。

引用次数: 0

Savings goals matter–Cognitive constraints, retirement planning, and downstream economic behaviors 储蓄目标很重要——认知约束、退休计划和下游经济行为

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-03-16 DOI: 10.1016/j.jbef.2025.101042

Zihan Ye , Thomas Post , Xiaopeng Zou , Shenglan Chen

We study how cognitive constraints relate to each distinct step of the planning and execution process for retirement, that is, individuals’ propensity to plan, savings goals set, and economic outcomes (wealth accumulation and portfolio choice). We find that different cognitive constraints play distinct roles: Higher advanced financial literacy (and quantitative reasoning ability) predicts a greater propensity to plan, while higher basic financial literacy and verbal cognition predict setting higher savings goals. Math-related abilities are not associated with savings goals in a systematic way. Furthermore, our evidence shows that the economic consequences of retirement planning depend on the earlier set savings goals. In comparison to non-planners, only planners with a higher savings goal (above the median) accumulate more wealth and are more likely to hold risky assets and private annuities. Our findings suggest that when crafting public policy to develop individuals’ retirement readiness, next to improving financial literacy, other targets could be to enhance cognitive skills and to support setting concrete savings goals by, for example, providing better access to planning relevant information and tools.

我们研究了认知约束与退休计划和执行过程的每个不同步骤之间的关系，即个人的计划倾向、储蓄目标设定和经济结果（财富积累和投资组合选择）。我们发现，不同的认知约束在其中发挥着不同的作用：较高的高级金融素养（和定量推理能力）预示着更大的计划倾向，而较高的基本金融素养和语言认知则预示着更高的储蓄目标。与数学相关的能力与储蓄目标没有系统的联系。此外，我们的证据表明，退休计划的经济后果取决于较早设定的储蓄目标。与非计划者相比，只有储蓄目标较高（高于中位数）的计划者才会积累更多财富，更有可能持有风险资产和私人年金。我们的研究结果表明，在制定公共政策以提高个人的退休准备时，除了提高金融素养外，其他目标可以是提高认知技能，并通过提供更好的规划相关信息和工具来支持制定具体的储蓄目标。

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引用次数: 0

Beyond averages: Quantile connectedness between G7 equity markets and derivative tokens 超越平均值：G7股票市场与衍生代币之间的分位数连通性

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-03-02 DOI: 10.1016/j.jbef.2025.101030

Shoaib Ali , Jinxin Cui

Using the novel Quantile VAR connectedness approach, this paper investigates the connectedness between G7 equity markets and derivative tokens across various quantiles. Empirical results demonstrate that the spillovers at the higher and lower quantiles are significantly higher than at the mean and median quantiles. Except for Japan, other G7 equity markets are net transmitters, while the derivative tokens are net recipients. The dynamic connectedness indices vary with time and quantiles and they are more volatile at the extreme quantiles. The optimal hedging strategy offers higher risk reduction effectiveness, especially the US equity-token pairs. Our findings offer implications for various stakeholders.

本文采用新颖的分位数VAR连通性方法，研究了G7股票市场与衍生代币之间的连通性。实证结果表明，高分位数和低分位数的溢出效应显著高于中位数和中位数。除日本外，其他G7股票市场是净发送者，而衍生代币是净接收者。动态连通性指数随时间和分位数的变化而变化，在极端分位数处波动较大。最优对冲策略提供了更高的风险降低效果，特别是美国股票代币对。我们的发现为不同的利益相关者提供了启示。

引用次数: 0

Assessing linkages between supply chain tokens and other assets: Evidence from a time-frequency quantile connectedness approach 评估供应链代币与其他资产之间的联系：来自时频分位数连通性方法的证据

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-03-01 DOI: 10.1016/j.jbef.2025.101029

Marouene Mbarek , Badreddine Msolli

This study assesses return spillovers and hedging dynamics between supply chain tokens and traditional assets, including equities, currencies, bonds, gold, oil, and Bitcoin, using a time-frequency quantile connectedness approach. Findings reveal that while supply chain tokens exhibit weak connectedness with traditional assets during stable periods, heightened market volatility, such as during the COVID-19 pandemic, significantly increases return spillovers, particularly from equities and Bitcoin. Supply chain tokens offer some diversification potential, especially when paired with oil (WTI), but their effectiveness as hedging instruments varies by time horizon and market conditions. Optimal portfolio weights and hedge ratios suggest that investors should dynamically adjust allocations to mitigate risks effectively, particularly during market instability. These insights emphasize the need for adaptable portfolio strategies when integrating supply chain tokens with traditional assets.

本研究使用时频分位数连通性方法评估了供应链代币与传统资产（包括股票、货币、债券、黄金、石油和比特币）之间的回报溢出效应和对冲动态。调查结果显示，虽然供应链代币在稳定时期与传统资产的关联性较弱，但市场波动加剧（例如在2019冠状病毒病大流行期间）会显著增加回报溢出效应，尤其是来自股票和比特币的溢出效应。供应链代币提供了一些多样化的潜力，特别是当与石油（WTI）配对时，但它们作为对冲工具的有效性因时间范围和市场条件而异。最优投资组合权重和对冲比率表明，投资者应动态调整配置，以有效降低风险，特别是在市场不稳定时期。这些见解强调了在将供应链代币与传统资产集成时需要适应性强的投资组合策略。

引用次数: 0

Corporate integrity culture and dividend policy 企业诚信文化与股利政策

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-02-15 DOI: 10.1016/j.jbef.2025.101028

Rajesh Kumar Sinha , Harshali Damle

We examine whether and how the corporate integrity culture affects a firm's dividend policy. Using a validated time-variant measure of firm-level integrity culture, we find that integrity culture increases firms' dividend payout: a one standard deviation increase in integrity culture is associated with an increase of 9.89 % of the mean dividend yield. We also find that integrity culture positively influences dividends through financial constraint and firm risk channels. Our study is robust to endogeneity tests, including an instrumental variable approach using state-level corruption convictions and organ donation as instrumental variables and difference-in-difference methods employing the global financial crisis and the COVID pandemic as an exogenous shock.

我们研究了企业诚信文化是否以及如何影响公司的股息政策。通过对公司层面诚信文化的有效时变测量，我们发现诚信文化增加了公司的股息支付：诚信文化的一个标准差增加与平均股息收益率的9.89 %的增加相关。我们还发现诚信文化通过财务约束和企业风险渠道正向影响股利。我们的研究对内生性检验具有稳健性，包括将州级腐败定罪和器官捐赠作为工具变量的工具变量方法，以及将全球金融危机和COVID大流行作为外生冲击的差异中差方法。

引用次数: 0

Pricing anomalies in a general equilibrium model with biased learning 带偏差学习的一般均衡模型中的定价异常

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.

我们研究了具有完全市场和认知偏差主体的一般均衡模型中动量和反转异常的出现。一般均衡和市场完备性避免了由于投资组合构成或价格粘性而产生的虚假效应。从不同的经验文献中获得灵感并将其合并，我们试图以最一般的方式识别异常，研究收益自相关模式、特定事件序列后的价格差距以及适当定义的投资组合的相对表现。我们证明这三种特征是不等价的。它们捕获了错误定价的不同方面，并与代理的行为特征有不同的联系。通常，相似的异常模式在看似相关的偏差下难以共存。总体而言，该模型一般能够再现动量利润随后恢复的经验证据。

引用次数: 0

CEO and CFO conscientiousness and working capital management during global financial crisis 全球金融危机中CEO和CFO的责任心与营运资金管理

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.

行为金融学研究考察了CEO人格特质对公司政策和绩效的影响。我们的研究重点是2008年金融危机期间ceo和cfo的责任心及其对营运资金管理的影响。我们发现，与提供给客户的贸易信贷相比，拥有高度尽责的行政领导的公司从供应商的贸易信贷中获益更多。此外，由高度负责任的首席财务官领导的公司往往与关键客户保持更长的关系。由于营运资金管理效率的提高，有责任心的高管领导的公司在金融危机期间表现更好，这一点可以从更高的托宾Q得到证明。

引用次数: 0

How does investment efficiency affect financial distress risk? Evidence from China 投资效率如何影响财务困境风险？来自中国的证据

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.

在中国财务困境风险（以下简称FDR）水平较高、投资行为普遍低效的背景下，本文旨在探讨企业投资效率与FDR之间的关系。利用2008-2020年的中国a股市场数据，我们发现过度投资线性加剧了FDR，而投资不足与FDR呈u型关系。研究发现，过度投资通过线性降低企业的现金持有量和投资现金流而加剧了FDR，同时增加了企业的融资现金流；投资不足通过与经营现金流和融资现金流的倒u型关系影响FDR。我们的研究结果在各种稳健性检验后都得到了很好的证明，为企业生命周期理论和静态权衡理论在投资效率影响FDR过程中的研究提供了新的启示。

引用次数: 0

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