The High Holidays: Psychological mechanisms of honesty in real-life financial decisions
| Autor: | Mahmoud Qadan, Doron Kliger |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Finance
Economics and Econometrics Realized variance business.industry Psychological research media_common.quotation_subject Repentance General Social Sciences Implied volatility Honesty Economics medicine In real life Anxiety medicine.symptom Volatility (finance) business Applied Psychology media_common |
| Zdroj: | Journal of Behavioral and Experimental Economics. 78:121-137 |
| ISSN: | 2214-8043 |
| DOI: | 10.1016/j.socec.2018.12.012 |
| Popis: | Research in psychology has established that activation of religious ideas affects individuals’ behavior. We hypothesize that religious and honesty mechanisms activated on the High Holidays, the ten days before Yom Kippur, when people seek repentance, amplify people's anxiety and affect their financial decision-making. We find that returns during the High Holidays are abnormally low; implied volatility, measured by VIX and VXO, as well as realized volatility estimates, are abnormally high; and the abnormal increase in implied volatility overshoots future volatility. Using these results, we devise a simple trading rule that investors may consider to maximize returns during the High-Holidays period. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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