The 2010 Annual Meeting of the Academy of Behavioral Finance & Economics

128 Pages·2010·1.15 MB·English

Proceedings of the 2010 Symposium; Academy of Behavioral Finance and Economics,
September 15-17, 2010, Chicago, Illinois

The 2010 Annual
Meeting of the
Academy of
Behavioral Finance &
Economics

PROCEEDINGS

September 15-17, 2010
Chicago, Illinois

www.aobf.org
Proceedings of the 2010 Annual Meeting of the Academy of Behavioral Finance and
Economics, September 15-17, 2010, Chicago, Illinois

Copyright © 2010 Academy of Behavioral Finance & Economics- ABF. Personal
use of the materials contained in the present Proceedings book is permitted for
respective authors. However, except for individual contributors who are the sole
owners of their respective works, no part(s) of this book, either individually or
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purpose other than teaching. To obtain written permission for teaching purposes you
may contact [email protected] .

TABLE OF CONTENTS
TRACK ―A‖ Papers

Individuals_________________________________________________________
Paper 1: Metanoia and the Market ..…………………………………….……………..11
Philip Z. Maymin, NYU-Poly

Paper 2: Testing Alternative Theories of Financial Decision Making: A Survey Study
with Lottery Bonds …………………………………………………………..12

Patrick Roger, Strasbourg University

Paper 3: Stages In The Life Of The Weekend Effect:
Evidence Of Behavioral Biases? …………………………………………….13

Dennis Olson, American University of Sharjah; Charles Mossman, University
of Manitoba; Nan-Ting Chou, University of Louisville

Microstructure and Microfinance_______________________________________
Paper 1: The Role Of Market Design In Alleviating Attention Constraints ………….14

Pamela C. Moulton, Cornell University; Bidisha Chakrabarty, Saint Louis
University

Paper 2: Convertible Debt Demographics…………………………………………..…18

Gina Nicolosi, Northern Illinois University

Paper 3: Market Failure in U.S. Microfinance: How Behavioral Finance and Economics
Inform Understanding ……………………………………………………….21

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Proceedings of the 2010 Annual Meeting of the Academy of Behavioral Finance and
Economics, September 15-17, 2010, Chicago, Illinois

Caroline Glackin, Shepherd University

Keynote Address:

Werner DeBondt, DePaul University

Getting into the Market_______________________________________________

Paper 1: The Demographics of Non-Participation…………………..………….……..26

Ann Marie Hibbert, West Virginia University; Edward R. Lawrence, Florida
International University; Arun J. Prakash, Florida International University

Paper 2: Students and Retirement Savings Predictors ……………..….........................27

Oliver Schnusenberg, University of North Florida; Chris Kalin, Wachovia
Bank

Paper 3: Personality …………………………………………………………………...30

Robert Durand, University of Western Australia

Paper 4: Building A Better Mousetrap: The Psychology Of Dollar Cost Averaging ....31

Lee Dunham, Creighton University; Geoff C. Friesen, University of
Nebraska-Leighton

Corporate and Information Economics__________________________________

Paper 1: Can Real Options Unbias Acquisition Decisions? ……………………...…...33

Joris Kil, Erasmus University Rotterdam

Paper 2: R&D Intensity, Capital Structure and Managerial Behavior ……...…….…..34

Ajay Kongera, Old Dominion University; Mohamed M. Rahoui, Old
Dominion University

Paper 3: Contextual Ambiguity: Experiment and Evidence ……………………….….37

Safa Gritli, Yokohama National University

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Proceedings of the 2010 Annual Meeting of the Academy of Behavioral Finance and
Economics, September 15-17, 2010, Chicago, Illinois

Special Session about SSRN: ―Facilitating Research with the Social Science Research
Network—An Editor’s Perspective

Victor Ricciardi, SSRN editor ……………………………………………………………….40

Risk Premiums______________________________________________________

Paper 1: Problems in Measuring Contrarian Performance: A Reconciliation of Results
from Alternative Methodologies …………………………………………….41

Steven Jones, Indiana University

Paper 2: Pricing of Skewness in Emerging Markets ……...…………………………..42

Dmitry Shapiro, University of North Carolina-Charlotte; Xinde Zhang,
University of North Carolina

Paper 3: Liquidity Risk Premium Puzzle and Possible Explanations ………………...45

Shu Tian, University of New Orleans; Peihwang Wei, University of New
Orleans

Bubbles and Cycles__________________________________________________

Paper 1: Riding Bubbles ………………………………………………………………46

Nadja Guenster, Maastricht University

Paper 2: How Does Investor Sentiment Affect Stock Market Crises? Evidence from
Panel Data ……………………………………………………………………47

Mohmed Zouaoui, University of Franche-Comte; Genevieve Nouyrigat,
University of Grenoble; Francisca Beer, California State University of San
Bernardino

Paper 3: Investor Behavior and Economic Cycle: The Impact of Human Biases and
Cognitive Limitations on Economic Booms and Busts ……………………...48

Beryl Chang, European School of Economics

Lunch and Joint Session______________________________________________

Paper 1: Fairness Norms and Self-Interest in Venture Capital/Entrepreneur Contracting
and Performance ……………………………………………………………..49

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Proceedings of the 2010 Annual Meeting of the Academy of Behavioral Finance and
Economics, September 15-17, 2010, Chicago, Illinois

Richard Fairchild, University of Bath

Paper 2: What Drives Private Equity Firm Certification at Initial Public Offering? …50

Donald Ross, Macquarie University

Paper 3: Entrepreneurial Overconfidence, Outside Equity and Successful Exits …….51

Craig Everett, Purdue University

Paper 4: Market-wide Sentiment, Underwriter Quality, and IPO Pricing ……..…..….55

Ning (Tony) Tang, Wilfrid Laurier University; Cynthia J. Campbell, Iowa
State University; Yan Du, Barclays Global Investor; S. Ghon Rhee,
University of Hawaii

Individual Stocks and Investors________________________________________

Paper 1: Individual Investors‘ Additional Purchase and Repurchase of Stocks
Previously Sold ………………………………………………………………56

Cristiana Cerqueira Leal, University of Minho; Manuel J. Rocha Armada,
University of Minho

Paper 2: Performances of Amateurs‘ Trades on a Public Internet Site: A Case of a
Stock Exchange Contest ……………………………………………………..57

Michel Blanchard, Universite Paris Dauphine; Philippe Bernard, University of
Paris Dauphine

Paper 3: Double Then Nothing: Why Individual Stock Investments Disappoint……..58

Steve Foerster, University of Western Ontario

Sentiment__________________________________________________________

Paper 1: Why Bad News is Good News: Market Forecasts Based on Investor Reaction
to Unexpected News …………...…………………………………….………62

Biff Robillard, Bannerstone Capital; Seth Bender

Paper 2: Agent Sentiment and Stock Market Predictability …………………………..63

Chandler Lutz, University of California—Riverside

Paper 3: The Impact of Hurricanes on Investor Sentiment and Stock Market Returns..64
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Proceedings of the 2010 Annual Meeting of the Academy of Behavioral Finance and
Economics, September 15-17, 2010, Chicago, Illinois

Daniel Perez, University of Texas – Pan American; Daniel Huerta, University
of Texas – Pan American

Paper 4: Fast Profits: Investor Sentiment and Stock Returns during Ramadan ………65

Tomasz Piotr Wisniewski, University of Leicester

TRACK ―B‖ Papers

Executives and Decisions______________________________________________

Paper 1: Executive Compensation: An Examination of the Influence of TMT
Compensation on Risk-Adjusted Performance ……………………………...66

William Kline, Temple University

Paper 2: Jump Bidding in Takeover Auctions: An Experimental Study ……………...67

Yuri Khoroshilov, University of Ottawa

Paper 3: Investor Sentiment and Real Investment ………...………….……………….68

R. David McLean, University of Alberta; Mengxin Zhao, University of
Alberta

Real Estate___________________________________________________

Paper 1: Loss Aversion and Anchoring in Commercial Real Estate Pricing: Empirical
Evidence and Price Index Implications ……………………………………...69

Sheharyar Bokhari, MIT—Center for Real Estate; David Geltner,
MIT-Center for Real Estate

Paper 2: Can Real Estate Agents Impact Perceived Property Values? …....…………..70

Michael Seiler, Old Dominion University; Mark Lane, Hawaii Pacific
University; Vicky L. Seiler, John Hopkins University; David M. Harrison,
Rawls College of Business

Paper 3: Speculative Behaviors and Mortgage Bubbles in the Real Estate Markets of
China ………………………………………………………………………...73

Sheng Wang, CUNY – The Graduate Center

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Proceedings of the 2010 Annual Meeting of the Academy of Behavioral Finance and
Economics, September 15-17, 2010, Chicago, Illinois

Keynote Address:

Werner DeBondt, DePaul University

Information________________________________________________________
Paper 1: A Systematic Investors‘ Overreaction to Growth Consistency in Quarterly
Accounting-Based Performance Measures ………………………………….76

Abdulaziz Alwathainani, York University

Paper 2: Content of Stock Spam Emails and Market Reactions ………………………77

Xiankui Hu, Arkansas State University; Thomas McInish, Fogelman College
of Business and Economics

Paper 3: Evidence on Investor Behavior from Aggregate Stock Mutual Fund Flows
……………………………………………………………………………..…81

Evgenia Golubeva, University of Oklahoma

Paper 4: Heterogenous Ambiguity Aversion: a Field Experiment among Small-Scale
Stock Investors in China ……………………………………………………..82

Bei Zhang, Shanghai University of Finance and Economics

Futures, Exchange Rates and Commodity Markets_________________________
Paper 1: Disposition Effect in Futures Commodity Market: Evidence on Behavioral
Factors from Trade Simulation ………………………………………………83

Mouze Kebede, Texas Tech University

Paper 2: Decision Making Process in Grain Marketing: A Study in the
Canadian Market …………………………………………………………….85

Fabio Mattos, University of Manitoba; Stefanie Fryza, University of Manitoba

Paper 3: Investor Sentiment and Exchange Rates from Global Perspective ………….87

Fang Fang, University of Texas—Pan American; Lifeng Li, University of Pan
American

Bias and Investors___________________________________________________

Paper 1: Patriotic Name Bias and Stock Returns ……………………………………..88
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Proceedings of the 2010 Annual Meeting of the Academy of Behavioral Finance and
Economics, September 15-17, 2010, Chicago, Illinois

Marek Jochec, ISCTE Business School; Evangelos Benos, ISCTE Business
School

Paper 2: Momentum and Behavioral Finance …………………...…………………....89

Ding Du, Northern Arizona University

Paper 3: Do All Individual Investors Lose by Trading? ………………………………90

Shi Yongdong, Dongbei University of Finance and Economics; Zhuwei Li,
Dongbei University of Finance and Economics

Institutional Investors________________________________________________

Paper 1: Do Institutions Pay to Play? Turnover of Institutional Ownership and Stock
Returns ……………………………………………………………………….93

Valentin Dimitrov, Rutgers University; Vladimir A. Gatchev, University of
Central Florida

Paper 2: Investment Philosophies and Investment Beliefs Determine Investment
Outcomes …………………………………………………………………….94

Andrew Mason, University of Surrey

Paper 3: Behavioral Aspects of Investment Fund‘s Markets: Are Good Managers
Lucky or Skilled? ……………………………………………………………95

Silvia BouYsas, Universitat Autonoma de Barcelona

Economic Decision Events_____________________________________________

Paper 1: Powerball Jackpots: Cash Values, Taxes, and Hubris ……………………….98

Deborah Gregory, University of Arizona

Paper 2: Rational vs. Heuristic: What Matters When Redeeming the Pledge? ……...101

Kristiano Raccanello, Fundacion Universidad de las Americas Puebla;
Enrique Reig, Fundacion Universidad de las Americas Puebla; Jayant Anand,
University of Wisconsin; Adriana Mantilla Anota, Puebla

Paper 3: The Impact of Uncertainty-Induced Psychological Discomfort
on Choice Preference: Testing a Novel Theory of Decision Making
Under Uncertainty…………………..………………………………………104
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Proceedings of the 2010 Annual Meeting of the Academy of Behavioral Finance and
Economics, September 15-17, 2010, Chicago, Illinois

Bill Neace, University of Harford

Paper 4: Decision making and Risk Aversion in the Cash Cab …………………...…105

Richard Bliss, Babson College; Mark E. Potter, Babson College; Christopher
Schwarz, University of California, Irvine

Crisis______________________________________________________________

Paper 1: The Global Financial Crisis – A Behavioral View …………………………106

Robert Grosse, EGADE Business School

Paper 2: Investor Perceptions in Response to Financial Crisis: Evidence from Emerging
Markets ……………………………………………………………………..107

Yongli Luo, University of Texas—Pan American

Paper 3: Market Impacts of LCTM: An Analysis Using State Price Distributions ….108

Merlyn Foo, Althabasca University; Edwin H. Neave, Queen‘s University

Emerging Markets________________________________________

Paper 1: Dynamic Interactions between Rational-Irrational Sentiments and Stock
Returns in Emerging Stock Markets: Evidence from Turkey ……………...109

Gulfem Ozturk, University of Texas—Pan American; Gokce A. Soydemir,
University of Texas—Pan American

Paper 2: The Survey of Disposition Effect on Fund Flows and Investment Companies
Performance in Tehran Stock Market ………………………….…………..111

Mahmood Yahyazadehfar, University of Mazandaran; Shahabeddin
Shams, University of Mazandaran

Paper 3: The Relationship between Market Sentiment Index and Brazilian Stock Rates
of Return: a GNM Panel Data Analysis …………………………………...112

Henrique Castro, Universidade de São Paulo; Claudia Emiko Yoshinaga,
Fundacão Getulio Vargas

Paper 4: The Examination of Existence of Herd Behavior in Tehran
Stock Exchange……..………………………………………………………113

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Proceedings of the 2010 Annual Meeting of the Academy of Behavioral Finance and
Economics, September 15-17, 2010, Chicago, Illinois

Mahmoud Salari, University of Tehran; Majid Khoshariat, University of
Tehran

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