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Non-Deal Roadshows, Post-Earnings Announcement Drift, & the Implications of Private Meetings Journal of Behavioral Finance (IF 1.798) Pub Date : 2024-02-29 Dylan A. Howell
Non-Deal Roadshows (NDRs) are among the most valuable channels of management access; however, little is known about the implications of the information conveyed by NDRs. Using a novel dataset of ND...
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Employee Satisfaction and Market Sentiment During COVID-19 Journal of Behavioral Finance (IF 1.798) Pub Date : 2024-02-28 Feng Dong, Son D. Wilson
This paper examines the possible channels through which employee satisfaction benefits stockholders during COVID-19. We use the Best Place to Work list from Glassdoor as our measure of employee sat...
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Attention Allocation of Investors on Social Media: The Role of Prospect Theory Journal of Behavioral Finance (IF 1.798) Pub Date : 2024-02-06 Felix Reichenbach, Martin Walther
This study examines the attention allocation of investors on social media. Specifically, we consider the role of cumulative prospect theory (CPT). Using data from the largest finance-related subred...
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Behavioral Biases of Financial Planners: The Case of Retirement Funding Recommendations Journal of Behavioral Finance (IF 1.798) Pub Date : 2024-01-27 Vishaal Baulkaran, Pawan Jain
We examine whether financial planners display common behavioral biases and whether these biases affect their recommendations for various home equity release options to fund retirement income. First...
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Love Me Do: Twitter Likes and Earnings Surprise Journal of Behavioral Finance (IF 1.798) Pub Date : 2024-01-18 Khaled Alsabah
We introduce a new method to gauge firm-level mood using Twitter engagements on non-financial tweets. By counting likes on such tweets, we assess positive sentiment, impacting market reactions to e...
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Does investor sentiment predict the S&P500? Evidence from the 1990s to the Covid-19 pandemic Journal of Behavioral Finance (IF 1.798) Pub Date : 2024-01-02 Ryan R. Brady
This paper considers how the relationship between investor sentiment and the S&P500 index has changed over time. First, we identify multiple structural breaks in investor sentiment from the late-19...
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Financial Advisor Compensation Structure and Client Equity Allocations Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-12-26 David Blanchett, Michael Guillemette, Qi Sun
Investment advice is a difficult-to-value service and aligning incentives between financial advisors and investors is imperative. A compensation structure that pays advisors primarily through up-fr...
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Do Emotions Influence Investor Behavior? Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-12-07 Ron Bird, David R. Gallagher, Ahmed Khan, Danny Yeung
Despite much discussion in the psychology and marketing literature as to how emotions influence decision-making, this area of analysis has been largely neglected in the finance literature. We redre...
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Inflation, Salience, and Analyst Forecast Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-11-23 Rajesh Kumar Sinha
In this article, I examine whether a behavioral salience bias can explain analysts’ underreaction to inflation. Using a sample of U.S. analysts, I found that analysts incorporate both expected and ...
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Reconciling Self-Assessed with Psychometric Risk Tolerance: A New Framework for Profiling Risk among Investors Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-10-23 Camilla Mazzoli, Fabrizio Palmucci
Financial advisors need to assess their clients’ risk profile to properly manage their portfolio risk and comply with regulatory provisions. Assessing an investor’s financial risk tolerance (FRT) i...
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To Correct or Not to Correct: Are Investors Able to Discern Fake Financial News? Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-09-25 Ning Du, Tawei Wang, Hui Lin
This study attempts to understand how to reduce the continued influence of misleading financial news and examine the effectiveness of corrective efforts such as ex-ante disclosure of compensation o...
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Connectedness of Agricultural Commodities Futures Returns: Do News Media Sentiments Matter? Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-09-28 Oguzhan Cepni, Linh Pham, Ugur Soytas
Using the novel daily commodity-specific Thomson Reuters Market Psych sentiment data derived from news, social media, press releases, and regulatory filings, this study investigates the asymmetric ...
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Analysts’ Recommendations and Press Sentiment: Complementary or Alternative to Drive Investors’ Trading Behavior? Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-09-21 Riccardo Ferretti, Enrico Rubaltelli, Andrea Sciandra
This paper focuses on the relationship between financial analysts’ recommendations and press sentiment from the perspective of the attention-grabbing theory. Specifically, attention-grabbing should...
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Anchor Reversion: The Case of the 52-Week High and Asset Prices Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-09-19 Benjamin M. Blau, Todd G. Griffith, Ryan J. Whitby, Darren Woodward
This study attempts to jointly identify the effects of anchoring and mean reversion on asset prices. In particular, we define “anchor reversion” as the tendency for stock prices to revert back towa...
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Anxiety in Returns Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-09-13 Uta Pigorsch, Sebastian Schäfer
Abstract We provide empirical evidence that risk-averse investors become anxious about investments in stocks whose realized losses reveal the downside of risk. Contrary to short-term reversal and in support of convex risk aversion, the latter stocks yield significantly lower returns in the subsequent period. Our findings are based on a novel measure of time-varying risk aversion, but can also be observed
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What is the Effect of VIX and (un)Expected Illiquidity on Sectoral Herding in US REITs during (Non)Crises? Evidence from a Markov Switching Model (2014 – 2022) Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-09-06 Mohammad Sharik Essa, Evangelos Giouvris
Abstract The study investigates the impact of sector and market-wide illiquidity shocks on herding within US Real Estate Investment Trusts (REITs), on a sub-sector level, including health, hotel, mortgage, residential, retail and Warehouse REITs. Using daily data from January 2014 to February 2022, and consistent with noise trader risk theory, the research confirms the existence of herding behavior
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Correlation Between Investor Sentiment and Carbon Price Considering Economic Policy Uncertainty Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-08-08 Yanping Liu, Bo Yan
Abstract Based on the linkage between the carbon asset and its related assets, an European Union investor sentiment (EUIS) index reflecting investor behavior in the EU carbon market is constructed using the principal component analysis (PCA) method, and the dynamic correlation relationship between the EUIS index and the EU allowance (EUA) futures prices is analyzed. Furthermore, the European economic
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A Longer-Term Evaluation of Information Releases by Influential Market Agents and the Semi-Strong Market Efficiency Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-07-31 Pankaj Agrrawal, Rajat Agarwal
Abstract This paper is an evaluation of long-term cumulative abnormal returns (CAR's) based on Twitter broadcasts by highly influential market agents. We look at the information content of Elon Musk, CEO of SpaceX, Tesla and Twitter Inc. and the former US President Donald Trump. The principal objectives of this research are twofold: 1.) To assess whether markets are semi-strong form efficient and consequentially
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Degree of Personal Responsibility in Decisions and the Likelihood to Abandon an Investment among Professionals: Evidence from a Lab-in-the-Field Experiment Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-06-27 Kevin Trutmann, Steve Heinke, Céline Rudin
Abstract We study how the degree of personal responsibility in prior investment decisions affects the likelihood of changing an investment after experiencing a gain or loss. To this end we conduct a lab-in-the-field experiment with professional participants from the finance and controlling department of a large infrastructure company. Consistent with our hypothesis and prior findings from student samples
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Unlearning investment biases Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-06-21 Moritz Mosenhauer
Abstract This study considers two causes—inexperience and overreaction to price movements—of a well-established phenomenon on the stock market called “excessive trading”: large trading volumes leading to decreased net portfolio returns via increased transaction costs. Creating a stylized hold or trade-scenario in a computer laboratory experiment, I confirm both inexperience and overreaction as robust
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Trading Simulations and Real Money Outcomes* Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-06-15 Deniz Anginer, Caio Piza, Sugata Ray, Luqi Xu
Abstract We examine the link between simulation experience and the performance in real money accounts. We find that more active simulator users, simulator users who take on more risk, and simulator users with the best stock-level performance (but not portfolio-level performance) are more likely to open real money accounts. These users are also likely to be more active real money traders and significantly
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Investor Sentiment and Cash Conversion Cycle: The Mediating Role of Macroeconomic, Financial, and Real Activity Uncertainties Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-06-02 Augustine Tarkom, Lukai Yang
Abstract We explore the impact of investor sentiment on the cash conversion cycle (CCC) and examine how macroeconomic, financial, and real activity uncertainties mediate this relationship. Our study focuses on U.S. publicly traded firms and reveals that investor sentiment is negatively associated with CCC. Furthermore, our findings suggest that the negative correlation is primarily attributable to
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Stock Price Reaction to Impromptu Managerial Soft Information in Conference Calls Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-05-22 Stephen R. Owen
Abstract We examine managerial behavior during conference calls vis-à-vis the informational impact on firm stock prices. Implementing an unsupervised machine learning algorithm, we document statistically and economically meaningful relationships between impromptu soft information divulged during calls and stock prices. Managers who choose to divulge more impromptu soft information in the Q&A session
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Start Small and Stay Small: Anchoring in App-Based Investing Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-05-18 Jennifer Itzkowitz, Jesse Itzkowitz, Andrew Schwartz
Abstract Stock trading apps have encouraged millions of people to begin micro-investing. While investing is beneficial in the long-run, we demonstrate a potential downside to the micro-investing trend. Using a novel data set of stock trades from an app-based broker, we show that anchoring leads to lower wealth accumulation when investors start their journey with a small first purchase. A unique feature
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Did the Recognition of Operating Leases Cause a Decline in Equity Valuations? Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-05-03 Jonathan A. Milian, E. Jin Lee
Abstract We examine whether investors display a lack of attention by not incorporating relevant public information into equity valuations. Beginning in 2019, ASC 842 requires the recognition of operating leases, which were previously only disclosed in the financial statement footnotes. This change in accounting standard results in firms with significant operating leases recognizing a considerable increase
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The Influence of Emotions on Cross-Section Returns: Tests for Cognitive Appraisal Theory Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-04-19 Jiancheng Shen, Mohammad Najand, Chen Chen
Abstract This study provides empirical evidence supporting Hirshleifer’s (2001 Hirshleifer, D. 2001. “Investor Psychology and Asset Pricing.” The Journal of Finance 56 (4):1533–97. doi:10.1111/0022-1082.00379[Crossref], [Web of Science ®] , [Google Scholar]) psychology-based asset-pricing theory proposition that investors’ emotions affect contemporary stock returns. The analysis employs a cross-sectional
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Information Processing in the Brain and Financial Innovations Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-04-08 Hammad Siddiqi
Abstract Based on recent neuroscience findings, we consider the brain to be a Bayesian prediction engine operating under a resource constraint. It meets incoming information with predictions based on an internal model of the world. Finite brain resources are then spent on processing the gaps between incoming information and these predictions. In addition, adverse information may trigger a stress response
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Managerial Strategic Earnings Disclosure via Social Media: Evidence from 18 Million Corporate Tweets Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-03-13 Xinyuan Tao, Shaoqing Zhang, Xuewu Wang
Abstract Using a broad sample of earnings announcement tweets (EATs) constructed from 18 million corporate tweets, we document that there exists a substitute relationship between EATs and management earnings forecasts (MEFs). EATs reduce the use and improve the accuracy of MEFs and analysts’ forecast for contemporaneous and subsequent quarters. Such improvement is more pronounced in the presence of
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Investor Confidence and Reaction to a Stock Market Crash Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-02-13 Aron Gottesman, Matthew Morey
Abstract This paper explores how investor overconfidence impacts reactions to stock market crashes. Using the 2018 Investor Survey dataset from FINRA we measure respondent’s self-perceived and actual investment knowledge and thus are able to identify overconfident investors from other investors. In our analysis, we find overconfident investors were significantly more likely to sell after a stock market
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Investor’s Intrinsic Motives and the Valence of Word-of-Mouth in Sequential Decision-Making: Modeling of Triple Serial Mediation Journal of Behavioral Finance (IF 1.798) Pub Date : 2023-01-04 Fawad Ahmad
Abstract Word-of-Mouth (WoM) is a socially embedded process, and investors engage in social considerations to achieve self-motives. Investors attempt to share negative WoM (NWoM) to emotionally connect (self-affirm) to strengthen existing social ties following prior losses. In contrast, investors attempt to share positive WoM (PWoM) to self-enhance to attract others into developing new social ties
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Letter from the Editor Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-12-06 Brian Bruce
Published in Journal of Behavioral Finance (Vol. 23, No. 4, 2022)
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The Mediating Effect of Trading Volume on the Relationship between Investor Sentiment and the Return of Tech Companies Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-11-17 Jesse Hoekstra, Derya Güler
Abstract This paper investigates the mediation effect of trading volume to explore the relationship between investor sentiment, measured as a volatility forecast (VIX), and the return of tech companies based on the mediation analysis. This paper focuses on Tesla, a list of the 30 largest technology companies and the MSCI World Index. It implements this mediation analysis by using an ARMA-EGARCH model
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Confirmation Bias in Analysts’ Response to Consensus Forecasts Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-11-03 Huan Cai, Tong Yao, Xiaodi Zhang
Abstract This paper provides evidence of confirmation bias by sell-side analysts in their earnings forecasts. We show that analysts tend to put higher weight on public information when the current forecast consensus is more consistent with their previous forecasts. We further find that analysts with better past forecasting performance, longer firm-specific experience, or forecasting earlier, tend to
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High-Frequency Effects of Novel News on the EURUSD Exchange Rate Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-09-05 Miha Kebe, Matthias Uhl
Abstract We study the intraday relationship between novel Euro-specific news and the EURUSD exchange rate with over 100 million news articles with millisecond precision. We show a predictive but not contemporaneous relationship between these news and their sentiment and EURUSD returns. This lends support to the slow information diffusion hypothesis as well as rational inattention to new news theories
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Speculation, Cross-Market Sentiment and the Predictability of Gold Market Volatility Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-08-11 Zibo Niu, Riza Demirer, Muhammad Tahir Suleman, Hongwei Zhang
Abstract This paper explores the predictive role of speculative sentiment on gold market volatility and its economic implications. Utilizing high frequency data for gold futures and speculative sentiment proxies for the gold and stock markets, we show that incorporating speculative sentiment in volatility models can improve volatility forecasts both in- and out-of-sample. While gold market sentiment
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How Do Stockholders Behave at the Onset of Major Crises? Attribution and Reputation over Decades Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-08-08 Cécile Carpentier, Frédéric Romon, Jean-Marc Suret
Abstract Studies have documented a reputational loss for firms found guilty of rule violations. To determine if stockholders also punished US listed firms following 274 major crises, we create three groups of events based on attribution of responsibility. The average wealth loss and the proportion of negative reactions following crises largely depend on the attribution level. The negative reaction
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Investor Herding and Price Informativeness in Global Markets: Evidence from Earnings Announcements Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-27 Tao Chen, Robert K. Larson, Han Mo
The authors examine whether herd activity promotes the efficient pricing of value-relevant information conveyed by annual earnings announcements. Using a global panel sample representing 35 countri...
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The Price of Happiness: Traders’ Experiences of Work in Investment Banks Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-25 Daphne Sobolev
Abstract Work experiences, conceptualized as work attitudes, influence employees’ turnover and performance. Therefore, it is essential for investment banks to understand the determinants of traders’ work experience. Analyzing traders’ reviews of major investment banks, this study shows that traders’ attitudes depend on the banks’ culture, traders’ career opportunities, and, to a lesser extent, their
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The Sustainability of Investment Decision Making Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-21 Paul J. M. Klumpes
Abstract This paper develops and tests a new multi-attribute, behavioral based measure of mutual fund performance, based at the portfolio decision-making rather than trade level, using the alpha score, hit rate and the win-loss ratio. These measures are then combined to develop a multi-attribute measure of “efficiency”; the author decomposes this into technical, scale, and mix efficiency scores and
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Those Who Learn from History Are Doomed to Repeat It Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-21 Frank J. Fabozzi, K. C. Chen, K. C. Ma, Ramesh Rao
Abstract We see the stock market constantly responding to changing signals. These inputs are perceived to be highly structured in both space and time. Such regularities in the environment allow expectations about the future to be formed, facilitating current investment decisions. Perceiving the continuous stability is exploited by the brain, creating a bias in perception to generate serial dependence
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Cross-Market Herding: Do ‘Herds’ Herd with Each Other? Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-19 Sandra Ferreruela, Vasileios Kallinterakis, Tania Mallor
Abstract Although herding constitutes one of the most widely researched behavioral trading patterns internationally, the possibility of cross-market herding has remained largely underexplored in the literature. Our study provides a detailed empirical investigation of this issue in the context of ten Asia-Pacific markets for the February 1995–March 2022 window. We find that all ten markets’ “herds”
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Sentiment, Attention, and Earnings Pricing Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-19 Qiuye Cai, Kenneth Yung
Abstract We find that investor sentiment restrains the predictability of earnings news on announcement returns but the constraining effect of sentiment on the predictive power of earnings news diminishes as sentiment falls. We document that investor attention works as an important channel in the relation between investor sentiment and announcement returns. Investor attention enhances the immediate
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Investor Sentiment and Market-Wide Liquidity Pricing Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-19 Soumaya Yaakoubi
Abstract The recent asset pricing evidence on the return-liquidity risk relationship is mixed and somewhat ambiguous. We reevaluate the importance of market-wide liquidity and liquidity risk for equity pricing by taking the role of investor sentiment into account. Regarding the market-wide liquidity level as a systematic factor, we find that high market sentiment tends to weaken the effect of market-wide
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Media Sentiment and Institutional Ownership Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-19 Lan Thi Mai Nguyen, Jun Myung Song
Abstract This paper examines whether institutional investors invest less into overvalued firms due to their informational advantage. Considering high media sentiment as a source of overvaluation, we show that institutional investors tend to hold fewer stocks of firms that receive high media sentiment. The size of the overvaluation is empirically shown as a channel through which media sentiment influences
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Introduction to the Special Issue in Honor of Professor Vernon Lomax Smith Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-19 Mark DeSantis, David Porter
Published in Journal of Behavioral Finance (Vol. 23, No. 4, 2022)
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The Impact of Google Searches, Put-Call Ratio, and Trading Volume on Stock Performance Using Wavelet Coherence Analysis: The AMC Case Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-19 Evangelos Vasileiou, Polydoros Tzanakis
In 2021, meme stocks attracted the attention of investors and scholars. Using Wavelet Coherence analysis, we test the dynamic interdependence between the AMC Theaters stock performance and the expl...
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An Experimental Study of the Effect of the Anchor of the Option's Underlying Asset on Investors’ Pricing Decisions Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-07-15 Naveh Eskinazi, Miki Malul, Mosi Rosenboim, Tal Shavit
Abstract The current study tests experimentally whether decision makers' options pricing is biased by the magnitude of the option's underlying asset outcomes in what is called an anchor effect. We recruited 1,023 participants through Amazon’s Mechanical Turk platform (MTurk) and assigned them randomly to eight groups that differed by type of asset and pricing position (buy or sell). Participants were
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Do Behavioral Biases Influence the Length of Sell-Side Analysts’ Observable Careers? Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-06-23 Manapon Limkriangkrai, Robert B. Durand, Lucia Fung
Analysts’ observable careers are short. Around half of the analysts we study have observable lives of approximately three years. Using the IBES database as a proxy for the length of analysts’ caree...
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Motives for Cooperation in the One-Shot Prisoner’s Dilemma Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-06-20 Mark Schneider, Timothy Shields
Abstract We investigate the motives for cooperation in the one-shot Prisoner’s Dilemma (PD). A prior study finds that cooperation rates in one-shot PD games can be ranked empirically by the social surplus from cooperation. That study employs symmetric payoffs from cooperation in simultaneous PD games. Hence, in that setting, it is not possible to discern the motives for cooperation since three prominent
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Informational Price Cascades and Non-Aggregation of Asymmetric Information in Experimental Asset Markets Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-06-15 Jason Shachat, Anand Srinivasan
Abstract We report on experimental markets which generate an abject failure of the aggregation of asymmetric information. While realized prices have zero correlation with fundamental values, surprisingly, these are not highly volatile. The non-aggregation of information manifests as prices which lock into home grown norms that we call informational price cascades. Our results are in stark contrast
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Return Predictability in Laboratory Asset Markets Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-06-09 Zhongming Cheng, Shengle Lin
Abstract Empirical studies find that the order imbalance of retail trades can predict future stock returns. The authors investigated the cause of the puzzle using data from the laboratory asset markets in which inexperienced subjects trade in a single asset market (SSW design). The authors found that the retail order imbalance in period t positively predicted returns in period t + 1 in laboratory markets
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Implied Volatility Spread and Stock Mispricing Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-06-09 Zhen Cao, Surya Chelikani, Osman Kilic, Xuewu (Wesley) Wang
Stocks can be mispriced for at least two reasons: value-relevant information is not timely incorporated or investor sentiment can induce mispricing. Using the mispricing measure proposed by Stambau...
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How Dictators Use Information about Recipients Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-06-08 Joy Buchanan, Laura Razzolini
Abstract This paper explores the extent to which altruism is influenced by the salient features of the beneficiaries. We investigate how information presented to senders affects their perception of the recipient in a dictator game. In this environment, the starting endowment of a recipient can be inferred from choices the recipient made. Dictators give the same amount to all recipients regardless of
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Emotional Differences between Isomorphic Auctions Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-05-30 Adriana Breaban, Cary Deck, Erik Johnson
Abstract First price and Dutch auctions are theoretically isomorphic, but previous experiments report that the institutions are not behaviorally isomorphic. This article uses facial analysis of video recordings of laboratory experiments to investigate whether these auctions invoke different emotional responses from bidders. The results indicate that bidders are angrier during the Dutch auction and
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Hype as a Factor on the Global Market: The Case of Bitcoin Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-05-18 Alexander Nepp, Fedor Karpeko
The impact of Bitcoin-related Google queries, Facebook likes, reposts and comments on Bitcoin price is analyzed with the help of ARDL and GARCH models. Our results have led us to the following conc...
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Bank Monitoring Prevents Managerial Procrastination: Evidence from the Timing of Earnings Announcements Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-05-14 Chih-Huei (Debby) Su Banks
I examine the role of bank monitoring in the timing of earnings announcements. Managers have been shown to procrastinate and delay the public release of bad news on earnings. I find that banks disc...
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A Behavior Perspective of Distress Anomaly: Evidence From Overnight Returns Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-05-11 Ming-Che Hu, Alex YiHou Huang, Dan-Liou Yu, Rui-Xiang Zhai
Using measurement of overnight returns, this article documents that trading behaviors due to information shocks and investor sentiments contribute to distress anomaly. We find that stocks with the ...
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My Risk, Your Risk, and Our Risk: Costly Deviation in Delegated Risk-Taking Environments Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-04-07 Jason A. Aimone, Xiaofei Pan
Abstract Risk choice delegation is pervasive in financial environments. While previous research has explored how agents balance self-interest with interests of passive investors little is known about how this balance is achieved when investors voluntarily decide the amount to invest or when risk is shared between agents and investors. Our findings show agents engage in costly deviation from their preferred
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Central Bank Information Shocks, Value Gains, and Value Crashes Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-03-30 Samer Adra, Elie Menassa
Monetary policy shocks that convey new macroeconomic information are significant predictors of both the absolute and risk-adjusted returns from value investing. Positive Fed information shocks lead...
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Behavioral Biases and the Asset Growth Anomaly Journal of Behavioral Finance (IF 1.798) Pub Date : 2022-03-16 Qingzhong Ma, David Whidbee, Wei Zhang
We find evidence that the asset growth anomaly is due, in part, to investors’ behavioral biases. Two-way sorts based on asset growth and proxies for known behavioral biases (anchoring, recency, nom...