The traditional DCF approach ignoring the managerial flexibility of the decision makers often underestimates the value of project value. This paper not only takes into account the uncertainty of investment and the irr...The traditional DCF approach ignoring the managerial flexibility of the decision makers often underestimates the value of project value. This paper not only takes into account the uncertainty of investment and the irreversibility of the sunk cost, but also takes the competitors＇ erode to the project value into it. Relax the EMH and the rationality of the investor＇s hypothesis, integrate the behavioral finance theory and the game option, and construct the valuing frame based on the behavioral finance and game option theory to make a scientific and effective project decision-making approach.展开更多
Behavioral finance inherits the standard research methods in the finance, and it makes outstanding contribution to leading the experimental research into the field of finance. It uses the cognitive science as the meth...Behavioral finance inherits the standard research methods in the finance, and it makes outstanding contribution to leading the experimental research into the field of finance. It uses the cognitive science as the method guide to expand its scientific research tools. On one hand, the intelligent development of the cognitive science provides an important and effective means of a tool for the behavioral finance research; on the other hand, precisely because behavioral finance theories of progress makes a certain extent, dependent on the modem cognitive science research results and thus the development of cognitive science, its results application and limitation will be confined to a direct impact on the development of behavioral finance. That is why we need an in-depth study of the new method of behavioral finance research and grasps their limitations.展开更多
Behavioral finance theory is constantly relaxing or even abandons traditional financial theory rational man assumptions and the efficient market hypothesis, based on the decision-making process to the actual person＇s...Behavioral finance theory is constantly relaxing or even abandons traditional financial theory rational man assumptions and the efficient market hypothesis, based on the decision-making process to the actual person＇s psychological characteristics as variables studied financial market vision, such as asset pricing and portfolio a series of questions theoretical system. In this paper, from home and abroad on behavioral finance theory, based on the current situation in our country from the company＇s investment policy analysis behavioral finance theory in corporate finance in the application, in order for some of our corporate decision makers to provide a non-decision against the company fully rational and non-efficient market investment strategy.展开更多
This study analyzes the effects of collective investor behavior on systemic risk in financial markets using principles from behavioral finance.The research investigates how investor sentiment and emotional reactions t...This study analyzes the effects of collective investor behavior on systemic risk in financial markets using principles from behavioral finance.The research investigates how investor sentiment and emotional reactions together with herding behavior affect market instability during different stages of financial crises.Data analysis from the 2007-2009 Global Financial Crisis(GFC)lets us investigate the effect of irrational investor behavior on market volatility and systemic risk.The study analyzes important financial indicators such as stock market returns and volatility indices along with credit default swap spreads which are compared with sentiment data gathered from social media networks.Investor herd actions combined with overreactions to news events create market instability because stock market behavior moves away from economic fundamentals according to our analysis.This research advances understanding of how collective actions of investors create irrational market patterns and worsen financial crises.The study suggests ways to manage systemic risk with regulatory policies that include behavioral insights within financial regulation structures.展开更多
This study examines the connectedness of firm-level online investor sentiment using Dow Jones Industrial Average constituent stocks.Leveraging two proxies of online textual sentiment,namely news media and social media...This study examines the connectedness of firm-level online investor sentiment using Dow Jones Industrial Average constituent stocks.Leveraging two proxies of online textual sentiment,namely news media and social media sentiment,we investigate sentiment connectedness at two levels:frequency interval and asymmetric level.Frequency connectedness dissects connectedness into short-,medium-,and long-term investing horizons,while asymmetric connectedness focuses on the transmission of positive and negative sentiment shocks on news and social media platforms.Our results reveal interesting patterns in which both news and social media sentiments demonstrate consistency in connectedness across the short-,medium-,and long-term.Regarding asymmetric connectedness,we observe that negative news sentiment has a higher connectedness than positive news sentiments.展开更多
Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibilit...Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibility to substantial losses.In this study,we investigate the limitations of these strategies and propose a solution.Our literature review reveals that the volatile profits are due to statistical analyses that assume the persistence of past patterns,leading to unreliable results in out-of-sample scenarios when underlying mechanisms evolve.Statistical analysis,the predominant method in financial economics,often proves inadequate in explaining market fluctuations and predicting crashes.To overcome these limitations,a paradigm shift towards dynamic approaches is essential.Drawing inspiration from three groundbreaking economists,we introduce the extended Samuelson model(ESM),a dynamic model that connects price changes to market participant actions.This paradigm transition uncovers several significant findings.First,timely signals indicate momentum initiations,cessations,and reversals,validated using S&P 500 data from 1999 to 2023.Second,ESM predicts the 1987 Black Monday crash weeks in advance,offering a new perspective on its underlying cause.Third,we classify sequential stock price data into eight distinct market states,including their thresholds for transitions,laying the groundwork for market trend predictions and risk assessments.Fourth,the ESM is shown to be a compelling alternative to EMH,offering potent explanatory and predictive power based on a single,realistic assumption.Our findings suggest that ESM has the potential to provide policymakers with proactive tools,enabling financial institutions to enhance their risk assessment and management strategies.展开更多
Although psychometric features have been considered for alternative credit scoring,they have not yet been applied to peer-to-peer(P2P)lending because such information is not available on platforms.This study proposed ...Although psychometric features have been considered for alternative credit scoring,they have not yet been applied to peer-to-peer(P2P)lending because such information is not available on platforms.This study proposed an alternative credit scoring model for P2P lending by extracting typical personality types inferred from the borrowers’job category.We projected a virtual space of borrowers by using the affinity matrix based on the Myers–Briggs type indicator(MBTI)that fits each job category.Applying the distance in this space to Lending Club data,we used locally weighted logistic regression to vary the coefficients of the variables,which affect loan repayments,with each MBTI type for predicting the default probability.We found that each MBTI type’s credit scoring model has different significant variables.This study provides insights into breakthroughs in developing alternative credit scoring for P2P lending.展开更多
In this study,we investigate the impact of the light-a-lamp event that occurred in India during the COVID-19 lockdown.This event happened across the country,and millions of people participated in it.We link this event...In this study,we investigate the impact of the light-a-lamp event that occurred in India during the COVID-19 lockdown.This event happened across the country,and millions of people participated in it.We link this event to the stock market through investor sentiment and misattribution bias.We find a 9%hike in the market return on the postevent day.The effect is heterogeneous in terms of beta,downside risk,volatility,and financial distress.We also find an increase(decrease)in long-term bond yields(price),which together suggests that market participants demanded risky assets in the postevent day.展开更多
Rule-and template-based pattern-recognition methods are alternative ways to identify various patterns in stock prices alongside more traditional econometric tools.In this study,we generate an exterior template of mood...Rule-and template-based pattern-recognition methods are alternative ways to identify various patterns in stock prices alongside more traditional econometric tools.In this study,we generate an exterior template of mood scores from two perplexingly similar samples of mood scores 50 years apart.The mood scores template enables us to deploy a direct test of the behavioral explanation for the day-of-the-week effect.Our evidence shows that the day-of-the-week mood template is a potentially valid explanation of the day-of-the-week effect.Subperiod analysis suggests that the magnitude of the day-ofthe-week effect has declined over time.That decline,however,is not uniform across size deciles and is more pronounced in larger capitalization deciles.There is no decline though in the ability of mood to explain the day-of-the-week effect.展开更多
We study the day-of-the-week effect across size deciles and in three 18-year subperiods.The results show a decline in the magnitude of the day-of-the-week effect,but the effect did not vanish.We find that the decline ...We study the day-of-the-week effect across size deciles and in three 18-year subperiods.The results show a decline in the magnitude of the day-of-the-week effect,but the effect did not vanish.We find that the decline in the magnitude of the effect is larger in the larger market capitalization deciles.We also find substantial evidence that the day-of-the-week effect is characterized by a pattern of monotonically improving returns during the week,but the pattern is interrupted as market capitalization increases.The behavioral explanation for the day-of-the-week effect,based on monotonically improving mood throughout the week,is therefore a stronger candidate in smaller-market capitalization deciles.展开更多
This paper explores some behavioral factors that may explain the formation of speculative bubbles in financial markets. The study adopts an experimental approach focused on the agents’ behavior when facing a “true...This paper explores some behavioral factors that may explain the formation of speculative bubbles in financial markets. The study adopts an experimental approach focused on the agents’ behavior when facing a “true” bubble and is incentivized to herd and/or receive information about the market sentiment. For this purpose, a straightforward laboratory experiment that reproduces the dotcom market bubble and asks subjects to forecast asset prices in a true dynamic information scenario. The experiment was conducted in the laboratory of the Faculty of Economics at the University of Salamanca and involved 137 undergraduate students in the degree of economics. The results show that incentives to the herding behavior increase the forecasted volatility and thus contribute to the bubble inflation. Nevertheless, this effect may be offset by giving information to the agents about the expected market trend. Therefore, under herding effects, it is the absence of clear signals about market sentiments what inflates the bubble.展开更多
Research in behavioral finance is comparatively less in India, when compared to other foreign countries. Globalization of financial markets has been increasing the retail investors＇ community over the past two decade...Research in behavioral finance is comparatively less in India, when compared to other foreign countries. Globalization of financial markets has been increasing the retail investors＇ community over the past two decades by providing a wide variety of market and investment options. However, it makes much more complex in their investment decisions process. This paper aims at identifying the factors influencing the retail investor＇s attitude. This paper develops a modified questionnaire. The average value of the five top highly influential factors according to the sample retail investors＇ were Investors＇ tolerance for risk, strength of the Indian economy, media focus on the stock market, political stability and finally government policy towards business. Four factors were given lowest priority or which had low influence on the attitude of the retail investors investing in equity stocks. Stories of successful investors was considered to be the lowest influencing factors among the four, get rich quick philosophy, information available on internet, cost cutting by companies.展开更多
This paper investigates the dividend signaling hypothesis, described here as the relationship between dividend changes and future earnings performance. We find that managers pursue different patterns in UK from that i...This paper investigates the dividend signaling hypothesis, described here as the relationship between dividend changes and future earnings performance. We find that managers pursue different patterns in UK from that in US when making dividend policy. A positive and significant association between dividend changes and the growth of future earnings is observed in the immediately following year after dividend announced There isn＇t significant link in the longer future. These phenomena are caused by managers＇ near-eyesight in UK market. In addition, an interesting finding is that dividend decreases have larger negative influence on earnings growth than positive impact on earnings prospects of dividend increases. This is consistent with the infrequent occurrence of dividend reduction.展开更多
Current literature shows that short sellers earn positive returns on their trades and that the superior performance of short sellers is due to their better analytic skills. In this paper, we investigate, if it is poss...Current literature shows that short sellers earn positive returns on their trades and that the superior performance of short sellers is due to their better analytic skills. In this paper, we investigate, if it is possible for a short seller to make profits even if he does not have insider information or is not sophisticated. We use a one period model and assume that stock price follows a random walk with a positive drift to show that the＇ expected return for an uninformed short seller is always negative and his risks are always greater than the risks of a stock buyer. Hence a short seller would not trade unless he has superior trading skills and/or information. We also show that the market conditions when the stock＇s dividend yield is greater than the risk free rate gives the shortsellers advantage over stock buyers.展开更多
Ethnic Tibetans(ETs)typically reside in the remote plateaus of China and possess strong cultural and spiritual values.Their financial decision-making is influenced by economic and physical factors,unique culture,socia...Ethnic Tibetans(ETs)typically reside in the remote plateaus of China and possess strong cultural and spiritual values.Their financial decision-making is influenced by economic and physical factors,unique culture,social norms,and psychological motivators.We conducted an in-person survey of 480 randomly selected ET households across four provinces in rural China.The survey data was analyzed using three different econometric models—probit,ordered probit,and ranked ordered logit—to examine the choice of borrowing from formal or informal credit sources,the number of sources borrowed from,and repayment priority.Our findings indicate that mental accounting plays a significant role in the financial decision-making process of ET households.Additionally,we find that the informal credit source is strongly associated with the financial decisions of ET households.The majority of loans from formal financial institutions are used to meet daily needs,as opposed to purchasing productive inputs.Our results also suggest that strong social relationships and religious beliefs prevent households from defaulting,and that loans from formal financial sources receive repayment priority.China would benefit from promoting inclusive finance and encouraging the adoption of improved agricultural practices to support the prosperity of ET and other minority communities.展开更多
Behavioral finance is a field that is scrutinizing the adequacy of traditional financial theories using insights from the disciplines of psychology and sociology. Many studies within its realm test the stock market be...Behavioral finance is a field that is scrutinizing the adequacy of traditional financial theories using insights from the disciplines of psychology and sociology. Many studies within its realm test the stock market behaviors, and behavioral phenomena are still to be tested in the area of corporate finance. This study aims to contribute to the behavioral corporate finance literature by a research in one of the psychological phenomena affecting the decision makers＇ abilities to reach conclusions rationally. In this study, it is aimed to investigate one of the biases, namely, the optimism bias in corporate capital budgeting decisions. Optimism in decision making can be associated with estimating lower costs and higher revenues. Thus, by assessing the forecasts of decision makers, the existence of optimism in their decisions is tried to be seen. This study aims at contributing to the literature in that it is conducted in an emerging country like Turkey.展开更多
This study explores the influence of investor behavior and market sentiment on asset pricing mechanisms in both developed and emerging market economies.By comparing markets such as the United States,Japan,Brazil,and I...This study explores the influence of investor behavior and market sentiment on asset pricing mechanisms in both developed and emerging market economies.By comparing markets such as the United States,Japan,Brazil,and India,the research investigates how psychological factors,including overconfidence,loss aversion,and sentiment,affect asset returns and market volatility.Data spanning 10 years(2010-2020)is analyzed,incorporating traditional financial indicators,macroeconomic factors,and sentiment data derived from social media,news platforms,and sentiment indices.The empirical findings reveal significant heterogeneity across markets.In emerging markets,investor sentiment demonstrates a more pronounced effect on asset pricing,with sentiment fluctuations contributing significantly to volatility.In contrast,developed markets like the U.S.and Japan exhibit more stability,with investor behavior driven largely by fundamentals.A new sentiment resonance model is developed to capture the spillover effect of sentiment from developed to emerging markets,while behavioral finance models are enhanced to account for the emotional transmission between investor decisions and asset prices.The study suggests that incorporating behavioral insights into traditional asset pricing models can improve their explanatory power,particularly in emerging markets where investor sentiment plays a pivotal role in shaping asset prices.展开更多
Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index, the authors employ the time-varying copula-GARCH model with Hansen＇s skewed Student-t innovations to investigate the ...Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index, the authors employ the time-varying copula-GARCH model with Hansen＇s skewed Student-t innovations to investigate the dynamic dependence between investor sentiment and stock returns. The empirical findings show that shifts in investor sentiment are asymptotically positively correlated to stock returns in extreme value situations in both A shares market and B shares market in China, that is to say, stock prices will increase （decrease） more when investors become more bullish （bearish）. Also, results show that the dependence between investor sentiment and stock returns is time-varying, which means that the traditional Pearson＇s correlation based on normal distribution is not enough to describe the relationship between stock market behavior and investor behavior.展开更多
The developing stock markets of China are waiting to see derivative securities such as stock\|index futures. In this paper, based on the theory of behavioral finance,investment behavior under transaction cost in futur...The developing stock markets of China are waiting to see derivative securities such as stock\|index futures. In this paper, based on the theory of behavioral finance,investment behavior under transaction cost in futures market was studied.展开更多
文摘The traditional DCF approach ignoring the managerial flexibility of the decision makers often underestimates the value of project value. This paper not only takes into account the uncertainty of investment and the irreversibility of the sunk cost, but also takes the competitors＇ erode to the project value into it. Relax the EMH and the rationality of the investor＇s hypothesis, integrate the behavioral finance theory and the game option, and construct the valuing frame based on the behavioral finance and game option theory to make a scientific and effective project decision-making approach.
文摘Behavioral finance inherits the standard research methods in the finance, and it makes outstanding contribution to leading the experimental research into the field of finance. It uses the cognitive science as the method guide to expand its scientific research tools. On one hand, the intelligent development of the cognitive science provides an important and effective means of a tool for the behavioral finance research; on the other hand, precisely because behavioral finance theories of progress makes a certain extent, dependent on the modem cognitive science research results and thus the development of cognitive science, its results application and limitation will be confined to a direct impact on the development of behavioral finance. That is why we need an in-depth study of the new method of behavioral finance research and grasps their limitations.
文摘Behavioral finance theory is constantly relaxing or even abandons traditional financial theory rational man assumptions and the efficient market hypothesis, based on the decision-making process to the actual person＇s psychological characteristics as variables studied financial market vision, such as asset pricing and portfolio a series of questions theoretical system. In this paper, from home and abroad on behavioral finance theory, based on the current situation in our country from the company＇s investment policy analysis behavioral finance theory in corporate finance in the application, in order for some of our corporate decision makers to provide a non-decision against the company fully rational and non-efficient market investment strategy.
文摘This study analyzes the effects of collective investor behavior on systemic risk in financial markets using principles from behavioral finance.The research investigates how investor sentiment and emotional reactions together with herding behavior affect market instability during different stages of financial crises.Data analysis from the 2007-2009 Global Financial Crisis(GFC)lets us investigate the effect of irrational investor behavior on market volatility and systemic risk.The study analyzes important financial indicators such as stock market returns and volatility indices along with credit default swap spreads which are compared with sentiment data gathered from social media networks.Investor herd actions combined with overreactions to news events create market instability because stock market behavior moves away from economic fundamentals according to our analysis.This research advances understanding of how collective actions of investors create irrational market patterns and worsen financial crises.The study suggests ways to manage systemic risk with regulatory policies that include behavioral insights within financial regulation structures.
文摘This study examines the connectedness of firm-level online investor sentiment using Dow Jones Industrial Average constituent stocks.Leveraging two proxies of online textual sentiment,namely news media and social media sentiment,we investigate sentiment connectedness at two levels:frequency interval and asymmetric level.Frequency connectedness dissects connectedness into short-,medium-,and long-term investing horizons,while asymmetric connectedness focuses on the transmission of positive and negative sentiment shocks on news and social media platforms.Our results reveal interesting patterns in which both news and social media sentiments demonstrate consistency in connectedness across the short-,medium-,and long-term.Regarding asymmetric connectedness,we observe that negative news sentiment has a higher connectedness than positive news sentiments.
文摘Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibility to substantial losses.In this study,we investigate the limitations of these strategies and propose a solution.Our literature review reveals that the volatile profits are due to statistical analyses that assume the persistence of past patterns,leading to unreliable results in out-of-sample scenarios when underlying mechanisms evolve.Statistical analysis,the predominant method in financial economics,often proves inadequate in explaining market fluctuations and predicting crashes.To overcome these limitations,a paradigm shift towards dynamic approaches is essential.Drawing inspiration from three groundbreaking economists,we introduce the extended Samuelson model(ESM),a dynamic model that connects price changes to market participant actions.This paradigm transition uncovers several significant findings.First,timely signals indicate momentum initiations,cessations,and reversals,validated using S&P 500 data from 1999 to 2023.Second,ESM predicts the 1987 Black Monday crash weeks in advance,offering a new perspective on its underlying cause.Third,we classify sequential stock price data into eight distinct market states,including their thresholds for transitions,laying the groundwork for market trend predictions and risk assessments.Fourth,the ESM is shown to be a compelling alternative to EMH,offering potent explanatory and predictive power based on a single,realistic assumption.Our findings suggest that ESM has the potential to provide policymakers with proactive tools,enabling financial institutions to enhance their risk assessment and management strategies.
基金the National Research Foundation of Korea(NRF)grant funded by the Korea government(MSIT)(2020R1A2C2005026)。
文摘Although psychometric features have been considered for alternative credit scoring,they have not yet been applied to peer-to-peer(P2P)lending because such information is not available on platforms.This study proposed an alternative credit scoring model for P2P lending by extracting typical personality types inferred from the borrowers’job category.We projected a virtual space of borrowers by using the affinity matrix based on the Myers–Briggs type indicator(MBTI)that fits each job category.Applying the distance in this space to Lending Club data,we used locally weighted logistic regression to vary the coefficients of the variables,which affect loan repayments,with each MBTI type for predicting the default probability.We found that each MBTI type’s credit scoring model has different significant variables.This study provides insights into breakthroughs in developing alternative credit scoring for P2P lending.
文摘In this study,we investigate the impact of the light-a-lamp event that occurred in India during the COVID-19 lockdown.This event happened across the country,and millions of people participated in it.We link this event to the stock market through investor sentiment and misattribution bias.We find a 9%hike in the market return on the postevent day.The effect is heterogeneous in terms of beta,downside risk,volatility,and financial distress.We also find an increase(decrease)in long-term bond yields(price),which together suggests that market participants demanded risky assets in the postevent day.
文摘Rule-and template-based pattern-recognition methods are alternative ways to identify various patterns in stock prices alongside more traditional econometric tools.In this study,we generate an exterior template of mood scores from two perplexingly similar samples of mood scores 50 years apart.The mood scores template enables us to deploy a direct test of the behavioral explanation for the day-of-the-week effect.Our evidence shows that the day-of-the-week mood template is a potentially valid explanation of the day-of-the-week effect.Subperiod analysis suggests that the magnitude of the day-ofthe-week effect has declined over time.That decline,however,is not uniform across size deciles and is more pronounced in larger capitalization deciles.There is no decline though in the ability of mood to explain the day-of-the-week effect.
文摘We study the day-of-the-week effect across size deciles and in three 18-year subperiods.The results show a decline in the magnitude of the day-of-the-week effect,but the effect did not vanish.We find that the decline in the magnitude of the effect is larger in the larger market capitalization deciles.We also find substantial evidence that the day-of-the-week effect is characterized by a pattern of monotonically improving returns during the week,but the pattern is interrupted as market capitalization increases.The behavioral explanation for the day-of-the-week effect,based on monotonically improving mood throughout the week,is therefore a stronger candidate in smaller-market capitalization deciles.
文摘This paper explores some behavioral factors that may explain the formation of speculative bubbles in financial markets. The study adopts an experimental approach focused on the agents’ behavior when facing a “true” bubble and is incentivized to herd and/or receive information about the market sentiment. For this purpose, a straightforward laboratory experiment that reproduces the dotcom market bubble and asks subjects to forecast asset prices in a true dynamic information scenario. The experiment was conducted in the laboratory of the Faculty of Economics at the University of Salamanca and involved 137 undergraduate students in the degree of economics. The results show that incentives to the herding behavior increase the forecasted volatility and thus contribute to the bubble inflation. Nevertheless, this effect may be offset by giving information to the agents about the expected market trend. Therefore, under herding effects, it is the absence of clear signals about market sentiments what inflates the bubble.
文摘Research in behavioral finance is comparatively less in India, when compared to other foreign countries. Globalization of financial markets has been increasing the retail investors＇ community over the past two decades by providing a wide variety of market and investment options. However, it makes much more complex in their investment decisions process. This paper aims at identifying the factors influencing the retail investor＇s attitude. This paper develops a modified questionnaire. The average value of the five top highly influential factors according to the sample retail investors＇ were Investors＇ tolerance for risk, strength of the Indian economy, media focus on the stock market, political stability and finally government policy towards business. Four factors were given lowest priority or which had low influence on the attitude of the retail investors investing in equity stocks. Stories of successful investors was considered to be the lowest influencing factors among the four, get rich quick philosophy, information available on internet, cost cutting by companies.
基金This paper is supported by National Natural Science Foundation of China （No. 7032053）, 2003 Key Research of the Humanities ＆ Social Science Program, Ministry of Education, P.R.C （No. 03JD630035）, and Education Department of Shaanxi Provice Scientific Research Program （No. 02JK011）.
文摘This paper investigates the dividend signaling hypothesis, described here as the relationship between dividend changes and future earnings performance. We find that managers pursue different patterns in UK from that in US when making dividend policy. A positive and significant association between dividend changes and the growth of future earnings is observed in the immediately following year after dividend announced There isn＇t significant link in the longer future. These phenomena are caused by managers＇ near-eyesight in UK market. In addition, an interesting finding is that dividend decreases have larger negative influence on earnings growth than positive impact on earnings prospects of dividend increases. This is consistent with the infrequent occurrence of dividend reduction.
文摘Current literature shows that short sellers earn positive returns on their trades and that the superior performance of short sellers is due to their better analytic skills. In this paper, we investigate, if it is possible for a short seller to make profits even if he does not have insider information or is not sophisticated. We use a one period model and assume that stock price follows a random walk with a positive drift to show that the＇ expected return for an uninformed short seller is always negative and his risks are always greater than the risks of a stock buyer. Hence a short seller would not trade unless he has superior trading skills and/or information. We also show that the market conditions when the stock＇s dividend yield is greater than the risk free rate gives the shortsellers advantage over stock buyers.
基金financially supported by the Major Program of the National Social Science Foundation of China(No.18BMZ126)。
文摘Ethnic Tibetans(ETs)typically reside in the remote plateaus of China and possess strong cultural and spiritual values.Their financial decision-making is influenced by economic and physical factors,unique culture,social norms,and psychological motivators.We conducted an in-person survey of 480 randomly selected ET households across four provinces in rural China.The survey data was analyzed using three different econometric models—probit,ordered probit,and ranked ordered logit—to examine the choice of borrowing from formal or informal credit sources,the number of sources borrowed from,and repayment priority.Our findings indicate that mental accounting plays a significant role in the financial decision-making process of ET households.Additionally,we find that the informal credit source is strongly associated with the financial decisions of ET households.The majority of loans from formal financial institutions are used to meet daily needs,as opposed to purchasing productive inputs.Our results also suggest that strong social relationships and religious beliefs prevent households from defaulting,and that loans from formal financial sources receive repayment priority.China would benefit from promoting inclusive finance and encouraging the adoption of improved agricultural practices to support the prosperity of ET and other minority communities.
文摘Behavioral finance is a field that is scrutinizing the adequacy of traditional financial theories using insights from the disciplines of psychology and sociology. Many studies within its realm test the stock market behaviors, and behavioral phenomena are still to be tested in the area of corporate finance. This study aims to contribute to the behavioral corporate finance literature by a research in one of the psychological phenomena affecting the decision makers＇ abilities to reach conclusions rationally. In this study, it is aimed to investigate one of the biases, namely, the optimism bias in corporate capital budgeting decisions. Optimism in decision making can be associated with estimating lower costs and higher revenues. Thus, by assessing the forecasts of decision makers, the existence of optimism in their decisions is tried to be seen. This study aims at contributing to the literature in that it is conducted in an emerging country like Turkey.
文摘This study explores the influence of investor behavior and market sentiment on asset pricing mechanisms in both developed and emerging market economies.By comparing markets such as the United States,Japan,Brazil,and India,the research investigates how psychological factors,including overconfidence,loss aversion,and sentiment,affect asset returns and market volatility.Data spanning 10 years(2010-2020)is analyzed,incorporating traditional financial indicators,macroeconomic factors,and sentiment data derived from social media,news platforms,and sentiment indices.The empirical findings reveal significant heterogeneity across markets.In emerging markets,investor sentiment demonstrates a more pronounced effect on asset pricing,with sentiment fluctuations contributing significantly to volatility.In contrast,developed markets like the U.S.and Japan exhibit more stability,with investor behavior driven largely by fundamentals.A new sentiment resonance model is developed to capture the spillover effect of sentiment from developed to emerging markets,while behavioral finance models are enhanced to account for the emotional transmission between investor decisions and asset prices.The study suggests that incorporating behavioral insights into traditional asset pricing models can improve their explanatory power,particularly in emerging markets where investor sentiment plays a pivotal role in shaping asset prices.
基金supported by the National Natural Science Foundation of China under Grant No.70821001
文摘Using data of newly opened stock trading accounts in China as a proxy of investor sentiment index, the authors employ the time-varying copula-GARCH model with Hansen＇s skewed Student-t innovations to investigate the dynamic dependence between investor sentiment and stock returns. The empirical findings show that shifts in investor sentiment are asymptotically positively correlated to stock returns in extreme value situations in both A shares market and B shares market in China, that is to say, stock prices will increase （decrease） more when investors become more bullish （bearish）. Also, results show that the dependence between investor sentiment and stock returns is time-varying, which means that the traditional Pearson＇s correlation based on normal distribution is not enough to describe the relationship between stock market behavior and investor behavior.
基金This paper is supported by National Nature Science Foundation of China ( No. 7993 0 60 0 79970 0 1 979870 0 77)
文摘The developing stock markets of China are waiting to see derivative securities such as stock\|index futures. In this paper, based on the theory of behavioral finance,investment behavior under transaction cost in futures market was studied.
