Do Institutional and Individual Investors Differ in Their Preference for Financial Skewness?

Employing a unique sample of individual and institutional investors, we conduct experiments to determine investors’ preference for (or indifference to) financial skewness. We present investors with a series of stocks with varying levels of skewness. Using Instant Response Devices, we then collect investors’ choices to hold or sell each stock. Among stocks with equal expected returns, we find strong evidence that the sample investors use a prospect theory utility function rather than a mean-variance expected utility function to decide to sell or hold stocks. In the loss domain, we find that investors are ambivalent about the choice between positively and negatively skewed stocks. However, in the gain domain, we find that both individual and institutional investors prefer negatively skewed stocks—a contrast from previous research suggesting that individuals (and not institutional investors) prefer positive skewness. We also find evidence suggesting that reference points are important in financial decision making.     

Herding behaviour and the declining value relevance of accounting information: evidence from an emerging stock market

This article sheds light on the underlying mechanisms behind the changes in the value relevance of accounting information in the Karachi Stock Exchange (KSE) during the 1999–2010 period. We find that neither changes in earnings quality nor the earnings lack of timeliness hypothesis can explain the decline in the value relevance of accounting information in the KSE. Based on the stylized facts associated with the growth of the KSE and the broader economics literature, we argue that the reduction in the explanatory power of accounting information vis-à-vis stock returns was caused by herding behaviour. Empirical estimates from state-space model of herding behaviour confirm the existence of herding, and we find that the value relevance of accounting information is significantly lower in periods characterized by herding behaviour. This article is also amongst the first attempts to empirically demonstrate that an expansionary monetary policy and increases in foreign portfolio investment lead to increased levels of herding.     

On International compensations for environmental stocks

This paper sheds some light on the possible implications of compensations which are paid for the maintenance of an environmental stock. It shows that serious complications can arise if the resource-owner may influence the compensation price strategically. If the incentive to raise the compensation price dominates the preservation incentive, the steady-state stock falls short from that which is voluntarily held. Whether compensation policies can neglect this feature depends crucially on the institutional setting which determines the compensation price.This paper originated from a research project about the stability of international environmental agreements. I gratefully acknowledge financial support by the Volkswagen Foundation. A predecessor of this paper was presented at the Annual Meeting of the Ausschuß für Umwelt- und Ressourcenökonomie of the Verein für Socialpolitik in Ladenburg. I am indebted to the participants for many helpful comments which improved this paper significantly. Thanks are also due to Gernot Klepper, Peter Michaelis and two anonymous referees whose comments and suggestions were very helpful. The usual disclaimer applies.     

羊群效应对股指波动率的影响分析

投资者行为对资本市场的稳定性影响是行为金融学关注的热点问题之一。本文以浦发银行股票为研究对象,首先,利用羊群行为的程度作为度量羊群行为的数量标准,通过建立ARCH模型,对浦发银行股票是否存在羊群效应进行统计检验,结果表明浦发银行股票存在显著的羊群效应。其次,通过建立线性回归模型分析了羊群行为对股票波动性的影响。实证研究表明,股票的羊群行为程度与股票指数波动率成正相关关系。     

商业银行贷款集中的实证研究——基于羊群效应视角

银行贷款往往因为趋同行为导致贷款集中现象,非理性的贷款过度集中下,一旦风险积聚爆发,必将带来银行的重大损失与联动性危机.本文试图从贷款者行为的微观视角出发,结合2004-2010年共28个季度时间序列数据,从实证角度研究贷款行为是否存在羊群效应,运用向量自回归模型研究方法,考虑引入宏观变量作为滞后虚拟变量,分析并检验了各种贷款数据的相关性.结果表明:国有银行与股份制银行在某种程度上存在偶发性的贷款趋同效应,城市商业银行一定程度上存在基于声誉的非理性模仿行为,也部分解释了我国大银行与中小银行都贷款集中投向某一类企业或行业的原因,除了前人研究的制度与趋利行为等因素之外,一定程度上也存在着羊群效应引发的贷款集中.     

A Social-Psychological Perspective on Herding in Stock Markets

A social-psychological perspective conceives of herding in stock markets as informative social influence resulting from heuristic or systematic information processing. In three laboratory experiments employing undergraduates we apply this perspective to investigate factors that prevent herd influence that would lead to inaccurate predictions of stock prices. In Experiment 1, we show that an economic reward for making the same predictions as the herd increases the influence of a majority but not the influence of a minority, and that an individual economic reward for making accurate predictions reduces the influence of the majority. In Experiment 2, we show a reduced influence of a majority herd's inaccurate predictions when requiring assessments of the accuracy of the majority herd´s predictions as compared to requiring judgments of their consistency. Experiment 3 shows that a lower volatility of stock prices reduces the influence of a majority herd´s inaccurate predictions.     

Which drives abnormal returns,over- or under-reaction? Studies applying longitudinal analysis

This article combined both cross-sectional and time-series longitudinal analysis to identify that factor anomalies are driven by either over-reaction or under-reaction. The basic principle is, first, use a factor to form 10 portfolios in the t quarter, then observe the average prices and returns of the 10 portfolios for the previous four quarters and for the following four quarters as well. Samples in this study contain all stocks listed in the US from 1990 to 2010. The empirical evidence shows that the reason for the abnormal returns of value (book-to-price ratios, earnings-to-price ratios, sales-to-price ratios), scale and liquidity factors is over-reaction. Meanwhile, the reason for the abnormal returns of growth factors (return on equity, return on assets and revenue growth rate) is under-reaction. The results provide significant policy implications. The anomaly returns of the value, scale and liquidity factors last longer and are more appropriate to be employed for long-run investment while the growth factors are better suited for short-run investment. Furthermore, a more profitable stock-selection strategy can be formed by simultaneously considering the above two types of factors to capture both of these two sources of anomaly returns.     

Herding,Faith-Based Investments and the Global Financial Crisis: Empirical Evidence From Static and Dynamic Models

The purpose for this article is to explore the existence of herding behavior in the context of Shariah-based ethical investments. To this end the authors have employed the highly liquid constituent stocks of the U.S. Dow Jones Islamic Index for the period January 2007 to December 2014. The methodology encompasses both static and dynamic models that capture potential time-varying patterns or asymmetric behavior of herding. Summarizing the results, the authors document significant antiherding behavior that is robust across different formulations and testing procedures. Most interestingly, they observe an asymmetric behavior of the antiherding phenomenon. Results from the dynamic analysis reveal that antiherding tends to be more intense during turbulent periods. The findings may entail useful implications for investors who wish to diversify their portfolios using faith-based investments.     

Sequential decisions with tests

We consider a principal-agent problem where the principal wishes to be endorsed by a sequence of agents, but cannot truthfully reveal type. In the standard “herding” model, the agents learn from each other's decisions, which can lead to cascades on a given decision when later agents' private information is swamped. We augment the standard model to allow the principal to subject herself to a test designed to provide public information about her type. She must decide how tough a test to attempt from a continuum of test types, which involves trading off the higher probability of passing an easier test against the greater impact from passing a tougher test. We find that the principal will always choose to be tested, and will prefer a tough test to a neutral or easy one.     

基于RS-485总线实现PC机与多单片机间通信的一种方法

本文主要介绍了RS-485总线实现PC机与单片机主从式通信的一种方法,并对电路串行收发芯片MAX485的性能和使用方法进行了说明;设计了采用MAX485接口的串行通信电路,同时对软件设计思想进行了论述.     

电子商务运营中的羊群效应主要特征研究

随着电子商务企业的快速发展,羊群效应现象逐步显现。文章运用数理统计的特征和指标,从某电子商务网站对最佳商户的评定结果入手,定量分析和描述电子商务运营中的羊群效应现象,并以一致性特征、非泊松分布特征、突增性特征、同质连续性特征四个指标对此进行分析。其中一致性、同质连续性呈现出了羊群效应成员参与的群体特征;非泊松分布、突增性呈现出了羊群效应产生形成的过程特征。研究结果表明,会员级别、性别、消费额度、拥有粉丝数、撰写点评数、发表主题贴数均不会对商户的星级打分造成显著影响;以天、周、月为周期的前来点评的次数不服从Poisson分布;在观察期的20%时间点位前后,出现了人数突增情况;同质连续性占比和相近连续性占比两个指标均十分明显。     

Investors’ fear and herding in the stock market

ABSTRACT

In this article, we examine herding in three developed stock markets testing for the impact of investors’ ‘fear’ on herding estimations. To this end, we employ daily data of all listed stocks from USA, UK and Germany from January 2004 to July 2014. We examine herd behaviour applying the cross-sectional dispersion approach. Moreover, we investigate the asymmetric herding behaviour under different market states and sub-periods. The stock markets under examination provide comparable implied volatility indices which are used as a proxy for fear. As a result, apart from the standard herding estimations within and across markets, we also augment the benchmark model with the fear indicator. Our empirical results document the statistically significant impact of fear on herding estimations. Moreover, there is evidence of cross market herding as well as evidence of herding in the UK during specific sub-periods.     

“双11”促销活动中羊群效应的博弈分析

2013年天猫"双11"促销活动的销售额突破了350亿。这种现象的背后是羊群效应的呈现,对促销活动起到了推波助澜的作用。文章运用博弈理论对此现象进行分析。结果表明,不同博弈情形对羊群效应的作用不同,羊群效应的形成需要一定的条件。文中共列出了网民之间、商户之间、网民与商户之间三种市场主体的7种博弈情形,不同的博弈情形可运用在不同的场景中。其中博弈情形1为大家都参与,适用于优质产品的无差异化推广销售中;博弈情形2为大家都不参与,适用于假冒、伪劣、盗版、水货等产品的打击和阻隔;博弈情形3、4、6为部分人参与,适用于特定产品、特定人群的差异化销售中;博弈情形5属于参与和不参与均可,适用在商家的专卖连锁店、加盟商户或各分、子公司的联合经营中;博弈情形7属于混合策略,在竞争充分的完全市场竞争结构下出现概率较大。     

昆明市农牧特色产业可持续发展的对策研究

推进昆明市农牧特色产业发展，是昆明全面建设小康社会的主要内容。加快昆明现代化进程，农牧业特色产业的可持续发展是关键。实施可持续发展的特色农牧产业生态体系，将促进和实现昆明市特色农牧业技术创新，经济生态环境和社会效益的同步发展。     

Analysts herding: when does sentiment matter?

Herding among analysts emerges when analysts give priority to their peers’ opinions instead of their own beliefs or information. Some circumstances may enhance or restrain this type of behaviour. We postulate that market sentiment is one of them. This article analyses the effect that investor sentiment may have on analysts’ herding behaviour in the U.K. Our results suggest that ‘easy situations’ such as analysing easy-to-value securities and releasing optimistic information at times of high market sentiment clearly reduce herding practices, whereas herding clearly increases in difficult situations when analysts have to release negative information at moments of high investor sentiment.