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Article: Air Pollution, Behavioral Bias, and the Disposition Effect in China

TitleAir Pollution, Behavioral Bias, and the Disposition Effect in China
Authors
KeywordsAir pollution
The disposition effect
Mutual funds
Issue Date2019
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec
Citation
Journal of Financial Economics, 2019, Epub 2019-10-15 How to Cite?
AbstractInspired by the recent health science findings that air pollution affects mental health and cognition, we examine whether air pollution can intensify the cognitive bias observed in the financial markets. Based on a proprietary data set obtained from a large Chinese mutual fund family consisting of complete trading information for more than 773,198 accounts in 247 cities, we find that air pollution significantly increases investors’ disposition effects. Analysis based on two plausible exogenous variations in air quality (the vast dissipation of air pollution caused by strong winds and the Huai River policy) supports a causal interpretation. Mood regulation provides a potential mechanism.
Persistent Identifierhttp://hdl.handle.net/10722/283986
ISSN
2020 Impact Factor: 6.988
2020 SCImago Journal Rankings: 11.673
SSRN

 

DC FieldValueLanguage
dc.contributor.authorLi, JJ-
dc.contributor.authorMassa, M-
dc.contributor.authorZhang, H-
dc.contributor.authorZhang, J-
dc.date.accessioned2020-07-20T05:55:07Z-
dc.date.available2020-07-20T05:55:07Z-
dc.date.issued2019-
dc.identifier.citationJournal of Financial Economics, 2019, Epub 2019-10-15-
dc.identifier.issn0304-405X-
dc.identifier.urihttp://hdl.handle.net/10722/283986-
dc.description.abstractInspired by the recent health science findings that air pollution affects mental health and cognition, we examine whether air pollution can intensify the cognitive bias observed in the financial markets. Based on a proprietary data set obtained from a large Chinese mutual fund family consisting of complete trading information for more than 773,198 accounts in 247 cities, we find that air pollution significantly increases investors’ disposition effects. Analysis based on two plausible exogenous variations in air quality (the vast dissipation of air pollution caused by strong winds and the Huai River policy) supports a causal interpretation. Mood regulation provides a potential mechanism.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec-
dc.relation.ispartofJournal of Financial Economics-
dc.subjectAir pollution-
dc.subjectThe disposition effect-
dc.subjectMutual funds-
dc.titleAir Pollution, Behavioral Bias, and the Disposition Effect in China-
dc.typeArticle-
dc.identifier.emailZhang, J: zhangj1@HKUCC-COM.hku.hk-
dc.identifier.authorityZhang, J=rp02698-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.jfineco.2019.09.003-
dc.identifier.scopuseid_2-s2.0-85074495782-
dc.identifier.hkuros310797-
dc.identifier.volumeEpub 2019-10-15-
dc.publisher.placeNetherlands-
dc.identifier.ssrn2993763-
dc.identifier.issnl0304-405X-

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