This paper proposes an original behavioural finance representative agent model,to explain how fake news’empirical price impacts can persist in finance despite contradicting the efficient-market hypothesis.The model r...This paper proposes an original behavioural finance representative agent model,to explain how fake news’empirical price impacts can persist in finance despite contradicting the efficient-market hypothesis.The model reconciles empirically-observed price overreactions to fake news with empirically-observed price underreactions to real news,and predicts a novel secondary impact of fake news:that fake news in a security amplifies underreactions to subsequent real news for the security.Evaluating the model against a large-sample event study of the 2019 Chinese ADR Delisting Threat fake news and debunking event,this paper finds strong qualitative validation for its model’s dynamics and predictions.展开更多
The application of behavioural theory to corporate finance is now attracting the attention of theoretical work. However, very little rigorous empirical work has been carried out to analyse the desirability of behaviou...The application of behavioural theory to corporate finance is now attracting the attention of theoretical work. However, very little rigorous empirical work has been carried out to analyse the desirability of behavioural biases in relation to financing decisions. The main results argue that managerial overconfidence provides an alternative determinant of capital structure. However, many questions remain to be explored, related to overconfidence measures and positive/negative effects of managerial overconfidence. Our paper assumes that the combination of financial theory and behavioural theory leads to better explanatory power. We follow two complementary goals. Firstly, we examine the dynamic trade-off model introducing a behavioural perspective. Secondly, we propose extending the pecking order analysis to incorporate overconfidence in Shyam-Sunder and Myers＇s model. We use a sample of Tunisian firms and employ panel-data estimation procedures to account for endogeneity and spurious correlation issues. Our results confirm the assumption that manager confidence is positively related to debt level. Overconfident managers underestimate the probability of financial distress and will choose higher levels of debt than they would if they were ＂rational＂.展开更多
文摘This paper proposes an original behavioural finance representative agent model,to explain how fake news’empirical price impacts can persist in finance despite contradicting the efficient-market hypothesis.The model reconciles empirically-observed price overreactions to fake news with empirically-observed price underreactions to real news,and predicts a novel secondary impact of fake news:that fake news in a security amplifies underreactions to subsequent real news for the security.Evaluating the model against a large-sample event study of the 2019 Chinese ADR Delisting Threat fake news and debunking event,this paper finds strong qualitative validation for its model’s dynamics and predictions.
文摘The application of behavioural theory to corporate finance is now attracting the attention of theoretical work. However, very little rigorous empirical work has been carried out to analyse the desirability of behavioural biases in relation to financing decisions. The main results argue that managerial overconfidence provides an alternative determinant of capital structure. However, many questions remain to be explored, related to overconfidence measures and positive/negative effects of managerial overconfidence. Our paper assumes that the combination of financial theory and behavioural theory leads to better explanatory power. We follow two complementary goals. Firstly, we examine the dynamic trade-off model introducing a behavioural perspective. Secondly, we propose extending the pecking order analysis to incorporate overconfidence in Shyam-Sunder and Myers＇s model. We use a sample of Tunisian firms and employ panel-data estimation procedures to account for endogeneity and spurious correlation issues. Our results confirm the assumption that manager confidence is positively related to debt level. Overconfident managers underestimate the probability of financial distress and will choose higher levels of debt than they would if they were ＂rational＂.
