The negativity bias and perceived return distributions: Evidence from a pandemic

• 成果类型: Article
• 署名作者: Sias, Richard; Starks, Laura T.; Turtle, H. J.
• 署名单位: University of Arizona; University of Texas System; University of Texas Austin; Colorado State University System; Colorado State University Fort Collins
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.01.003
• 发表日期: 2023
• 页码: 627-657
• 关键词: Negativity bias; household finance; Stock market participation; Long-term equity return beliefs

摘要

We hypothesize that the well-documented negativity bias, the psychological tendency to asymmetrically emphasize negative over positive aspects, can help explain several financial market phenomena: why most individuals hold strongly bearish views of both short- and long-term equity return distributions, why individuals exhibit heterogeneous beliefs, and the stock market participation puzzle. Using variation in the perceived risk of mortality from the swine flu pandemic as our primary proxy for an individual's negativity bias, we find strong support for our hypothesis even when controlling for alternative mechanisms including optimism, risk aversion, ambiguity aversion, and anxiety. (c) 2023 Elsevier B.V. All rights reserved.