Journal of Behavioral and Experimental Finance最新文献

英文中文

The asymmetric relationship between state media tone and the Chinese bond market during COVID-19: Evidence from a nonlinear ARDL model COVID-19期间中国债券市场与官方媒体语气的不对称关系：来自非线性ARDL模型的证据

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-04-05 DOI: 10.1016/j.jbef.2025.101048

Chao Deng , Keyuan Chen , Li Yu , Yinxi He , Yun Hong , Yanhui Jiang

In this study, we examine the asymmetric relationship between the tone of state media—China Central Television (CCTV)—and the bond market during the COVID-19 pandemic in China using a nonlinear autoregressive distributed lag model. We find a long-term cointegrated but asymmetric relationship between changes in the tone of CCTV News on COVID-19 and aggregate bond market returns, while the short-run analysis finds a stronger contemporaneous bond market reaction to negative CCTV tone changes than to positive ones. Sectoral bond market results indicate that both short- and long-term market reactions to changes in CCTV tone are stronger in bonds backed by the government, including treasury bonds, municipal bonds, and policy market bonds. Regarding bonds with different credit ratings, we document a nonsignificant long-term reaction to CCTV tone changes in the AAA credit rating group. Finally, for bonds with various maturities, we find that long-maturity treasury bonds are insensitive to changes in CCTV tone in both the short and long run.

在本研究中，我们使用非线性自回归分布滞后模型检验了中国COVID-19大流行期间国家媒体-中国中央电视台（CCTV）的语气与债券市场之间的不对称关系。我们发现，中央电视台关于新冠肺炎新闻的语气变化与债券市场总收益之间存在长期协整但不对称的关系，而短期分析发现，同期债券市场对中央电视台负面语气变化的反应强于对正面语气变化的反应。行业债券市场的结果表明，短期和长期市场对中央电视台语气变化的反应都更强烈的是政府支持的债券，包括国债、市政债券和政策市场债券。对于不同信用评级的债券，我们记录了AAA信用评级组对CCTV语气变化的不显著长期反应。最后，对于不同期限的债券，我们发现无论是短期还是长期，长期国债对中央电视台语气的变化都不敏感。

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引用次数: 0

The perceived impact of current work–life balance on one’s financial future 当前工作与生活的平衡对个人未来财务状况的影响

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-04-05 DOI: 10.1016/j.jbef.2025.101047

Eyal Lahav , Tal Shavit

Background

In recent decades, the evolving job market has highlighted the importance of work-life balance (WLB), yet there remains ambiguity around individuals' awareness of WLB's future consequences and its influence on their choices.

Methods

This study introduces a novel method for assessing the perceived impact of three components of one's current WLB—stress and burnout, boundaries, and flexibility—on one’s future financial situation, future health, and future community relations. Additionally, we evaluate the validity of our approach by investigating how the perceived future impact affects decision making related to WLB and job compensation (salary; pension).

Results

We find large differences between the perceived impact of each WLB component on each future aspect of life. We then demonstrate the linkage between the perceived impact and individuals’ current financial decision-making processes regarding WLB management.

Conclusions

Our results offer managers insights for informed decision-making on allocating resources to WLB components in organizations.

背景近几十年来，不断变化的就业市场凸显了工作与生活平衡（WLB）的重要性，但个人对工作与生活平衡的未来后果及其对其选择的影响的认识仍然模糊不清。方法本研究引入了一种新方法，用于评估个人当前工作与生活平衡的三个组成部分--压力与倦怠、界限和灵活性--对个人未来财务状况、未来健康和未来社区关系的感知影响。此外，我们还通过研究感知到的未来影响如何影响与工作负担和工作报酬（工资、养老金）相关的决策，来评估我们的方法的有效性。结果我们发现，感知到的工作负担的各个组成部分对未来生活各个方面的影响存在很大差异。然后，我们证明了感知到的影响与个人当前有关 WLB 管理的财务决策过程之间的联系。结论我们的研究结果为管理者提供了深刻的见解，有助于他们在为组织中的 WLB 组成部分分配资源时做出明智的决策。

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引用次数: 0

Tossed by the tides of emotion: The impact of online media sentiment on stock returns 情绪波动：网络媒体情绪对股票回报的影响

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-04-01 DOI: 10.1016/j.jbef.2025.101045

Liang Chang , Xiaojun Liang , Na Tan

This study examines the impact of online media sentiment on stock returns using a dataset of over 8.3 million online financial media reports covering Chinese A-share listed companies. The findings reveal that more positive media sentiment towards a company is associated with higher average monthly stock returns. A zero-investment arbitrage strategy, constructed by buying stocks with high media sentiment and selling those with low media sentiment, yields a significant monthly premium of 4%. These effects are particularly pronounced for stocks with higher investor attention and lower liquidity. Moreover, even after controlling for known risk factors or during IPO quiet periods when no new information is introduced, companies with positive media sentiment continue to exhibit higher stock returns. Further analysis shows that media sentiment can explain approximately 4% to 12% of various market anomalies, and the media sentiment premium exhibits return reversals. This research uncovers the unique mechanisms of media effects in emerging markets and provides robust support for the limited attention theory from behavioral finance.

本研究使用涵盖中国a股上市公司的830多万篇网络财经媒体报道的数据集，考察了网络媒体情绪对股票回报的影响。研究结果显示，媒体对一家公司的正面评价越高，其平均月股票回报率就越高。零投资套利策略是通过买入媒体人气高的股票，卖出媒体人气低的股票来构建的，它的月溢价高达4%。这些影响对于投资者关注度较高、流动性较低的股票尤为明显。此外，即使在控制了已知的风险因素之后，或者在没有新信息发布的IPO静默期，拥有积极媒体情绪的公司仍然表现出更高的股票回报。进一步分析表明，媒体情绪可以解释约4%至12%的各种市场异常，媒体情绪溢价表现出回报逆转。本研究揭示了新兴市场媒体效应的独特机制，为行为金融学的有限注意理论提供了有力支持。

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引用次数: 0

Happiness and IPO performance 幸福感与IPO业绩

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance

Pub Date : 2025-03-29 DOI: 10.1016/j.jbef.2025.101044

Konpanas Dumrongwong , Suwongrat Papangkorn

This study investigates the relationship between investor sentiment and stock market performance using a novel approach: the X-based happiness index. Analyzing U.S. firms from 2008 to 2023, we employ both ordinary least squares (OLS) and quantile regression techniques to examine potential nonlinear relationships. While OLS results show a positive association between happiness and returns, our quantile regression analysis reveals a more nuanced relationship: the positive correlation is present across all quantiles but achieves statistical significance exclusively in the upper quantile. This asymmetric effect suggests that happiness exerts its strongest influence during periods of high returns, with tests confirming that the effect in the highest quantile significantly differs from other market conditions. Our findings contribute to behavioral finance literature by demonstrating how social media-derived sentiment measures can capture market dynamics missed by traditional indicators, suggesting investors should pay particular attention to happiness indicators during strong market performance.

本研究采用一种新方法：基于 X 的幸福指数，研究投资者情绪与股市表现之间的关系。在分析 2008 年至 2023 年的美国公司时，我们采用了普通最小二乘法（OLS）和量子回归技术来研究潜在的非线性关系。虽然 OLS 结果显示幸福感与回报率之间存在正相关关系，但我们的量化回归分析却揭示了一种更为微妙的关系：正相关关系存在于所有量化值中，但只有在上量化值中达到了统计显著性。这种非对称效应表明，幸福感在高回报时期会产生最强的影响，测试证实，最高量级的影响与其他市场条件显著不同。我们的研究结果证明了社交媒体衍生的情绪指标如何捕捉传统指标所遗漏的市场动态，从而为行为金融学文献做出了贡献，建议投资者在市场表现强劲时应特别关注幸福感指标。

引用次数: 0

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

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