ABSTRACT. Following the financial crisis of 2008, we find an AAA-Treasury Bond Spread Drift occurs where Treasury rates cease for a protracted time to
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Academy of Accounting and Financial Studies Journal Volume 22, Number 2, 2018 1 1528 – 2635 – 22 – 2 – 160 A BEHAVIO U R AL FINANCE DISCOURSE: AAA – TREASURY BOND SPREAD DRIFT THEORY Armand Picou, Texas A&M Univ – Corpus Christi ABSTRACT Following the financial crisis of 2008, we find a n AAA – Treasury Bond Spread Drift occurs where Treasury rates c ease for a protracted time to influence AAA bond yields. Once AAA yields adjust ed to the 2008 market crisis, the elevated AAA bond yields persist despite multiple changes in Treasury yields . Finding no single stock behavio u ral theory that explains the change in spreads spanning not only industries but al so sectors, this study proposes a Spread Drift Theory as a more inclusive explanation for spread gyrations exhibited during the present and past stable and un stable economic periods for AAA bonds . We suggest the increased entrance to bond markets by retirees , the perceived strength of economic direction and the discontinuous trading common to risk adverse AAA bond investors are all partially responsible for the mechanis m associated with a Spread Drift theory . The Spread Drift caused by the multiple factors is principally centred in the AAA default risk premium. Keywords : Investor Behaviour , Bond Spreads, Discontinuous Trading , Bond D owngrades, Bond Market Crisis . INTRODUCTION both the 10 year Treasury and AAA securities; primarily attributed to premium differences in liquidity and default risk, has averaged less than 100 Basis Points (BP). s were well below 50 BP. Since early 2000, the AAA – Treasury spread has several times reached above 200 BP and averages 150 BP. These wide gyrations are a significant drift from the typical AAA – Treasury spread. The accuracy of ratings for AAA bonds underwent extreme scrutiny following the financial turmoil of 2008. In Table 1, a 2010 study conducted by the Fitch rating agency shows the percentage of firms with downgrades in 2009. Note the differences across ratin gs. Nearly 28% of AAA bonds were eventually downgraded, evidence that investors trusted the default risk premiums prior to 2008. Downgrade However, AAA downgrades today are below 1 % and have been so for several years . Lower spreads would suggest confidence in ratings while higher spreads would suggest a loss of confidence in AAA securities over Treasuries. With the population of AAA securities having been repeatedly scoured to reduce questionable securities, the persi stence of heightened spreads is questioned. With uncertainty in 2009 f rom rating downgrades it is reasonable to see Treasury – AAA spreads increase, especially as quantitative easing is instituted to stabilize financial markets. But n early four years later Treasury – AAA spreads remained high even as AAA downgrades have returned to normal: Below 1 %. Clearly, AAA bondholders did not resolve confidence issues quickly as the markets rebounded .
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Academy of Accounting and Financial Studies Journal Volume 22, Number 2, 2018 2 1528 – 2635 – 22 – 2 – 160 The focus of this study on a single corporate security is predicated on reducing confounding influences apparent in lower graded securities ( Heck et al. (2015)) . As indicated in Table 1, the 5 – year default rates remain at zero for AAA securities. Default rates for bonds retaining the AAA rating were essentially zero and remain so even today, appearing essentially default proof. For the investor with very high – risk aversion AAA securities thus remain attractive. It is the preferred security for a certain type of investor , one who values safety more than yield . Thus if a n AAA rating prior to 2008 is the primary factor in the investment decision with yield being a secondary consideration, this could lea d to complacency; meaning investors buy AAA regardless of yield, which would explain both persistent high and low Treasury – AAA spreads. TABLE 1 Bond Rating, Default Risk and Yield (Study from Fitch Rating Agency March 2010) % Default Median Ratios % Upgraded or Downgraded in 2009 Rating 1 year 5 year Return on Capital Debt Ratio Down Up Yield Investment – grade bonds AAA 0.0 % 0.0 % 27.6 % 12.4 % 27.8 % – 3.92 % AA 0.0 0.1 27.0 28.3 25.8 0.0 4.45 A 0.1 0.7 17.5 37.5 18.4 0.9 4.48 BBB 0.3 2.8 13.4 42.5 9.5 1.2 5.13 Junk bonds BB 1.5 7.5 11.3 53.7 15.2 6.4 5.87 B 2.7 9.3 8.7 75.9 14.6 5.4 7.38 CCC 26.4 35.3 3.2 113.5 59.3 1.9 10.09 While neither a < 10 0 BP and a > 15 0 BP spread perhaps is not unique, in rational markets such extremes usually are quickly resolved with a shift in the yield curve. Herd behavio u r explains the reactions seen during the 2008 crisis, i.e. , spread changes due to fear reactions in the crisis. However , herd behavio u r does not explain the persistent disregard for lower risk in AAA bonds since 2009. T he years of heightened spread drift represents a loss of confidence in the historical long – term spread level . As proposed, Spread Drift theory is primarily attributed to a market – wide under and/or over confident estimation of default risk premium brought on by economic forces, AAA bond investor complacency and the discontinuous trading common to AAA bond markets. DISCUSSION / LITERATURE REVIEW One could easily argue that the bonds of a company are safer than the shares of the same company. As residual claimants, stockholders accept more risk in the hopes of more return. Yet there are well defined human behavio u rs that often attenuate the apparent risks associated with stock investing (Overconfidence, self – attributio n and anchoring to name a few) Shiller (2002); Baker & Nofsinger (2002) . The priority bonds have in the payments arising from income increases the safety of bonds over stocks. Investors should have more confidence in returns from holding the bonds over the stock of individual firms. The stability of bonds due to having a superior claim to cash flows when compared to stock s should enable accurate yie ld estimation at time of the offering. When cash flows are partially deficient, the stock is the first to be impacted
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Academy of Accounting and Financial Studies Journal Volume 22, Number 2, 2018 3 1528 – 2635 – 22 – 2 – 160 and only later when a systemic problem occurs do the seasoned bonds of a firm undergo pressure. It can be reasoned the behavio u rs of bond i nvestor s have unique differences not applicable to stockholders. The support starts with the r isk / return relationships being more rigorously defined for bonds than for stocks. Categories of bonds, from AAA to below investment grade; are clearly dema rcated with the current risk rating systems. Correspondingly, bond yields are nearly uniform across single bond classifications (AAA, AA , etc.) bridging industries and sectors. Trading volume also supports a behavio u ral difference. T he daily volume of individual stock trades far exceeds the volume of individual bond trades. Stocks change hands frequently. However, many AAA bond investors advocate buy and hold strategies and attractive issues ( AAA s ) trade infrequently after the initial offering. For a s ecurity with potentially a 30 – year life to all but disappear from the secondary markets would invite the potential mispricing evident in the less trave l led end of the OTC stock markets (penny stocks, pink sheets) where discontinuous trading abounds. Furthe rmore, t he discontinuous trading in AAA bond markets supports a possible deviation or drift in default risk premium when intense scrutiny is lacking. No proposed theory would be complete without a comparison to existing behavio u ral theories. Beginning with the founding document by Thaler (1993), behavio u ral finance is simply defined as open – minded finance. He defines behavio u ral finance as substituting normal people for rational people. Purely rational mathematical relationships do not predict the behavio u r of normal individuals. A huge body of study resulted from that seminal paper. Behavio u ral theories examined in this study f all into two broad categories (1) behavio u r potentially influencing a change in rating class (upgrades or downgrade) by influencing a single firm or industry / sector and (2) behavio u r that could cause a change in interest rates having the potential to impac t all market yields. Behavio u r affecting industries or sectors does not explain the broader effect seen across all AAA securities and are excluded from the discussion. Broad forces that impact an entire market; for example increased risk aversion or change s in inflation expectations, can move not only stocks but also the interest rates on debt. Bond yield changes begin with Treasury markets and spill over into corporate bonds. Normally, when Treasury rates move in a sustained direction, th e corporate bond y ields follow. We examine three primarily stock behavio u r theories; Availability Drift, Herd Behaviour and Hindsight Drift, for an explanation of the spread data. Availability Drift contends decisions are based on the most recent data ( Chiodo et al ., 2003 ). new information quells uncertainty. This is the opposite of the observable AAA trend. As spreads rose with increased uncertainty in 2008, the persistent low er rates of Treasuries as well as the removal of questionable AAA securities should have had a persuasive effect on rates over the next few quarters. Instead we see nearly multiple years of heightened rates. Herd Behaviour is the natural desire to follow t he majority (sometimes referre d to as Communal reinforcement) ( Christie & Huang , 1995 ; Hirshleifer et al. , 1994); Tvede , 1999). This theory does not explain why spreads maintain the increase from 2009 and resist the downward pull of historical norms. Of the three Federal Reserve rate increases prior to 2018, two had no immediate impact on the herd, but one rate increase (12/2016) appeared to have a speedy effect. It is plausible; due to discontinuous trading, the herd behavio u r common to the stock mar ket does not translate to the AAA bond markets broader spread measurements spanning sectors.
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Academy of Accounting and Financial Studies Journal Volume 22, Number 2, 2018 4 1528 – 2635 – 22 – 2 – 160 Hindsight Drift is the belief that events are predictable, leading to overconfidence ( Taleb , 2004). This theory would seem to invite purchases after a trend is noticed. While this might explain recent narrowing of the spread, it fails to clarify other time periods where spreads remained well over 150 Basis points. For hindsight drift to hold, yields perceived as higher than rational would cause an influx of inve stors and drive the price of AAA securities upward, lowering yields during 2010 – 2016. This did not occur. Availability Drift, Herd Behaviour and Hindsight Drift do not explain the currently observed AAA – Treasury spread. Spread Drift theory is more inclusiv e than the three aforementioned behavio u rs . It allows for investor complacency brought on by discontinuous trading and allows for reduced upward and a downward drift in spread until significant economic f orces provide clear incentives. Several other lines of behavio u ral research lend some support for a potential spread drift theory. A brief coverage of the most relevant behavio u ral finance articles follows. Oliver (2010) concludes societal optimism and pessimism influences financial decisions leading to br oad market encompassing events. His research tangentially supports the Spread Drift proposal. When pessimistic, investors are not willing to pay higher prices, thus receiving higher yields for accepting the risk . If the currently elevated spread drift is d ue to pessimism, then either the liquidity premium would be high or confidence in the default risk premium is lacking. But the bull market of 2010 – 2017 does not support a pessimistic investor perspective. Risk attitudes as studied by Corter (2011) create a chain of events that lead to larger losses in market downturns. Investors will deny the outcome of reduced expectations by supporting the holding of flagging investments longer than is prudent. A bonds AAA rating is the quality standard placating highly risk – averse investor. The greater risk tolerance Corter found could well support the beginning of higher spread levels than reasonable. But after markets return to rationality, spreads should drop. Spread Drift theory allows for either persistent elevated or lowered AAA yields to continue due to investor preference for buy and hold. Gordon (2013) compares institutional faults with human behavio u r which inevitably leads to financial upheavals. He concludes prevention after the fact is likely to be at least s hort – term but unlikely to be permanent. In Metwally et.al (2015) herding behavio u r is studied during both bull and bear markets. Specifically , their study concludes a market with slow dissemination of financial information changes the herding behavio u r in bull and bear markets. However, the sophistication of bond portfolio managers does not support the retention of extreme spreads long – term if risk is quantifiable. We believe the Spread Drift theory allows more permanence in unreasonably high or low spreads in both bull and bear markets. Existing Behaviour behavio u r and have less influence on overall bond spreads. Routine stock volatility usually does rating; meaning the daily volatility in the stock market is not mirrored in the bond market to a great extent. Over the short – return may change dramatically, resulting from a volatile stock price more influenced by supply and d emand than by actual changes in sales or profits. While stocks reflect this day to day volatility, scant evidence exists to indicate the yield for a particular seasoned AAA bond is as influenced by short – term stock behavio u r . The security of AAA bond inve stments may be a principle attraction to certain investors. If these investors do not see investment grade bonds (AAA to BBB) i n general and AAA in particular as risky, this class of securities may be viewed as safe and not speculative. Thus
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Academy of Accounting and Financial Studies Journal Volume 22, Number 2, 2018 5 1528 – 2635 – 22 – 2 – 160 investors may trade bonds less frequently than stocks . Th e willingness to hold bonds can lead to overconfidence and potentially alter spreads if pervasive. Treasury yields currently lack a consistent persuasion effect on AAA securities. Prior to 1999, Treasury yields had a strong influence on the overall yield for AAA securities ( Figure 1). While quantitative easing coupled with low expectations of inflation since 2008 ha s resulted in a significant lowering of the risk – free rate, AAA securities are still far above levels that for generations have maintained a predictable spread. In the distant past when treasury securities have been in low yield territory, AAA bond rates have generally followed. Since 2008, the Federal Reserve has raised rates three times, December 2015, December 2016 and March 2017. The effect on AAA – Treasury spread can be seen below in Figure 2. The AAA – Treasury spread is falling somewhat delayed following the recent increases made by the Federal Reserve (12/15, 12/16 & 5/17). In Figure 2, the spr ead over several years dropped from 2.25 to 1.55, a drop of 70 BP while the Federal Reserve has raised rates by 75 BP. Significant delays in all but the second rate increase are evident. FIGURE 1 TREASURY YIELDS CURRENTLY LACK A CONSISTENT PERSUASION EFFECT ON AAA SECURITIES The first interest rate hike was met with a sharp increase in the spread. The second rate hike caused an immediate drop in the spread but the third increase has had little impact on the overall spread. As evidence, risk – adjusted capital budgeting techniques generally have been quite sound from period to period. Prior to the year 2008, CE or Certainty Equivalents ( Brigham & Ehrhardt 2013) produced answers similar to these risk – adjusted capital budgeting techniques. Recall that
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Academy of Accounting and Financial Studies Journal Volume 22, Number 2, 2018 6 1528 – 2635 – 22 – 2 – 160 CE techniques scale back risky future cash flows to reflect only the cash flows earned without risk. Currently, using the risk – free rate of the 10 year Treasury bond to analyse the CE project cash flows does not compare in a two – period test ( Picou 2014), meaning corporate AAA bond rates are higher than would otherwise be found. FIGURE 2 THE EFFECT ON AAA – TREASURY SPREAD B ond ratings are a unique attribute shared by a broad class of securities spanning multiple industries and sectors . Y ields are relatively uniform across bonds of equivalent quality. In comparison, a stock volatility is viewed as specific to the company and industry or sector. Many Behaviour al Theories can be directly tied to how investors view a specific industry or in However, when AAA bond yields are altered, the effect is similar across industries and across multiple sectors in line with rating class and maturity. As proposed, Spread Drift theory assumes inves tors can be influenced by confidence in economic expectations . Spreads revert to the recent mean unless economic confidence changes sufficiently. Like a simple moving average , the Spread Drift theory allow s for slow changes reflecting yield tre nds. Thus the Spread D rift theory can reflect contentment with a single yield when compared to the entire class of similarly rated bonds. For example; if during a reasonably stable economy rigorous analysis indicates a rating of AAA is to be assigned and AAA sec urities are currently yielding 4 % with a 100 Basis point spread above Treasuries, the security may sell at prices closely yielding 4 %. As time passes and the bond becomes seasoned, the now seasoned bond tends to hold in the minds of the investor the
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Academy of Accounting and Financial Studies Journal Volume 22, Number 2, 2018 8 1528 – 2635 – 22 – 2 – 160 economic growth indicators has finally convinced AAA bond investors that markets have fully recovered. In today ‘ s also suggests two factors could lead us to another bout of diversion from the mean spread : Human nature and first – time bond investors. During prosperous times, human nature may have a general tendency toward lowering incentives to gather information and a return to an increasing reliance on bond rating agencies . Additionally, a s each generation of new and inexperience d investors become first active in stock m arkets, their eventual entrance into the bond markets as they approach retirement could affect changes in attitudes toward yields assigned to a bond classification. As bond yields are generally lower than stock returns, new investors may associate bonds with lower risk potential, enabli ng a downward spread drift to persist over time. To summarize, during reasonably stable markets and a t the initial bond offering when analytical scrutiny is assumed highest, AAA bond yields should have default risk premiums commensurate with their bond classifications. After a time and partially due to discontinuous trading and further exacerbated by the slow ratings review process , s easoned AAA bond s are assumed to carry the yields of new issues. U nt il a financial crisis occurs causing a re – evaluation of yields and re – examination of default risk , spreads remain relatively uniform . However, once risk is perceived as higher (lower) in a crisis (period of relative calm) , the elevated (lowered) premiums again persist beyond a return to a normal market. That elevated or lowered yields can continue indic ates AAA bondholders require a clearer economic direction before reverting to historic al spreads. METHODOLOGY Unlike other corporate bond categories, AAA securities are perceived as closer to Treasuries in safety yet can offer higher yield potential to investors. To reduce the likelihood of confounding influences, this study examines AAA securities in isolation. The AAA corporate bond represents the gold standard for more risk averse investors. For an interpretation of Spread Drift theory , we examine the components of quote d returns for debt securities . The nominal or quoted pre – tax cost of debt is determined by several components. The generally accepted formula is: R = RF + LP + MRP + DRP Where RF is the risk – free rate generally defined as the 10 year Treasury bond yield, LP is the liquidity premium, MRP is the maturity risk premium and DRP is the default risk premium. In computing the spread between 10 year AAA securities and 10 y ear Treasury Bonds, the formula is stated as follows: R AAA – T. Bond AAA – T.Bond AAA – T.Bond AAA – T.Bond + AAA – T.Bond Since the risk – free rate (RF) and the maturity risk premium (MRP) are assumed one and the same for both securities , these two components of interest rates drop from the formula leaving us with: R AAA – T.Bond AAA – T.Bond DRP AAA – T.Bond
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Academy of Accounting and Financial Studies Journal Volume 22, Number 2, 2018 9 1528 – 2635 – 22 – 2 – 160 We look at the two factors as potential sources for rationalizing the Spread Drift theory . Technically , the AAA – Treasury spread can be primarily attributed to default risk and liquidity premiums. Granted supply/demand forces affect liquidity which does affect spread, yet AAA securities have the lowest liquidity premium relative to Treasuries and typically the impact of supply and demand on AAA – Treasury spread is usually minimal. There is no evidence that market liquidity has changed appreciably and if anything AAA bonds are increasingly popular since 2010 through today. The high liquidity should indicate c onfidence but the persistently high AAA – Treasury spreads do not. The answer lies in why apparent default risk has not diminished to realistic levels. As the most popular security worldwide, Treasuries have extremely low liquidity risk, meaning bondholders can easily exit the position at the prevailing market price. This calls to question whether liquidity risk is substantial for AAA securities, a position we do not support. Additionally, s ince Treasuries have no default risk they will pay interest and pri ncip al on time; the main difference in rates between AAA and Treasury Bonds sh ould be attributed to the default risk premium . These assertion s are supported by Frie wald et al. (2012). In th eir paper, the authors have several conclusions that indirectly support a spread drift theory by testing for AAA liquidity significance and bond default risk in general. First, the authors found strong evidence of a connection between liquidity risk and yields that vary significantl y as bond ra ting decrease ( Heck et al. (2015)). Second, the authors study found that the change in liquidity as part of yield spread significantly increased during a financial crisis for all but AAA securities. Third , the results indicate normally only 14 % of a BBB bond yield is due to the liquidity premium. This implies AAA liquidity premiums should be much lower than 14 % of yield. And finally in the two financial crises studied, the authors found only the AAAs respond in a significant and positive way while lower – rated securities ( AA, A, BBB , e tc. ) responded in a negative fashion, with average liquidity rising from 14% of yield to almost 30% of yield. It should be noted that in a flight to quality during economic uncert ainty, it is both Treasuries and AAA securities that are primarily purchased. This supports the argument that R AAA – T.Bond are largely due to default risk and not due to differences in liquidity premium. The results in Frie wald et al. (2102) supports liquidity premiums for AAAs are small. Assuming the liquidity premium is near zero, the formula is reduced to: R AAA – T.Bond = DRP AAA – T.Bond Since The default risk premiums for the U S. Treasury is zero, the formula is reduced to: R AAA – T.Bond = DRP AAA In summation , we assume AAA – Treasuries have insignif icant differences in liquidity p remium , share the same mat urity risk premiums and differ primarily due to default risk. Support for our claim that LP and DRP are highly correlated for all but AAA securities w as also found by Frie wald et al. (2012). Several qualitative factors are also associated with default and liquidity . Though not an exhaustive list, the most common influences are the sensitivity of earnings to the economy, the price elasticity of the product or service, concerns over the stability of labo u r and the changing regulatory environment. Should environmental regulations or economic stability have a direct impact on a firm, the current market yield may change in respo nse to the threat or the potential
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Academy of Accounting and Financial Studies Journal Volume 22, Number 2, 2018 10 1528 – 2635 – 22 – 2 – 160 investment opportunit y. W hile it is unlikely all AAA bond s in the rating category would have a similar impact on t he changing qualitative factors, most sectors move in tandem. CONCLUSION Existing Behaviour al Finance Theo behavio u r and have less influence on overall bond spreads. Routine stock volatility usually does is not mirrored in the bond market to a great extent. Over the short – ter return may change dramatically, resulting from a volatile stock price more influenced by supply and demand than by actual changes in sales or profits. While stocks reflect this day to day volatility, scant evidence exists to indic ate the yield for a particular seasoned AAA bond is as influenced by short – term stock behavio u r . Some behavio u ral theories do allow for changes in spreads when we apply them to bond market reactions. However, the extended time of non – normal spreads is not explained by current behavio u ral theories. A reversion to the mean usually resolves itself within the short – term according to existing literature. As proposed, Spread Drift theory is closely related to opinions on acceptable yields and decoupled from all but major shifts in the economy. As long as the AAA bond ratings appear stable, investors expend few efforts to adjust yields and only recent sales of the same security are likely monitored. Since many bonds are rarely traded beyond the IPO stage, few pri cing opportunities to examine yields occur. Characteristically , AAA bonds represent both discontinuous trading and the preferred habitat for ri sk adverse investors . We argue that Spread Drift theory allows for actual changes in default risk premiums to persist when they should revert back to normal levels. Under Spread Drift t heory, AAA investors ignore Treasury rat e changes for a time allowing for AAA – Treasury default risk spreads near zero or above 150 BP. Three factors influence the Spread Drift Theo ry: New investors represented by retirees more familiar with stocks than bonds, the need for a strong economic certainty to precipitate a change in perceived default risk and the discontinuous trading prevalent to investors in the AAA bond market. I nvestor s during periods of high stock market instability may not resolve confidence issues related to economic strength and direction . The investor uncertainty allows default risk premiums to remain higher or lower for extended periods un til significant economic changes warrant a substantial change in yield. R EFERENCES Baker, H.K. & Nofsinger, J.R. (2002). Psychological drifts of investors. Financial Services Review , 11 (2), 97 – 116. Brigham, E. & Ehrhardt, M. (2009). Financial Management: Theory and Practice (Thirteen th Edition ) . South – Western Cengage Learning, Web Extension 13 – B, 1 – 7. Chiodo, A., Guidolin, M., Qwyang, M. & Shimiji, M. (2003). Subjective probabilities : P sychological evidence and economic a pplications. Wo rking Paper 2003 – 2 009 , Federal Reserve Bank of St. Louis. Christie, W. G. & Huang , R.D. (1995). Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal , 51 (4), 31. Corter, J. (2011). Does investment risk tolerance predict emotional and behaviour al reactions to market turmoil ? Int ernational J ournal of Behavioural Accounting and Finance , 2 (3 – 4), 225 – 237. Friewald, N., Jankowitsch , R. & Subrahmanyam , M. (2012). Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises. Journal of Financial Economics , 105 , 18 – 36.
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Academy of Accounting and Financial Studies Journal Volume 22, Number 2, 2018 11 1528 – 2635 – 22 – 2 – 160 Gordon, C. (2 0 1 3). Two theories of the subprime crisis: Governance failure or mere greed? Int ernational J ournal of Behavioural Accounting and Finance , 4 (1) , 3 – 17. Heck, S. , Margaritis , D. & Muller, A. (2016). Liquidity patterns in the US corporate bond market. 28 th Australian Finance and Banking Conference . Hirshleifer, D., Su brahmanyam , A. & Titman , S. (1994). Security analysis and tradi ng patterns when some investors. Journal of Finance , 49 (5), 1665. Metwally, A., Eldomiaty, T. & Abdel – Wahab , L. (2016). Does herding behaviour vary in bull and bear ma rkets? Perspectives from Egypt. Int ernational J ournal of Behavioural Accounting and Finance , 6 (1) , 26 – 53. Oliver, B. (2010). The impact of market sentiment on capital structures in the USA . Int ernational J ournal of Behavioural Accounting and Finance , 1 (4) , 335 – 348. Picou, A. (2014). Interest rates are s ticky: Im plications from the yield c urve . Academy of Accounting and Financial Studies Journal , 18 (1) , 1 – 10 . Shiller, R. J. (2002). Bubbles, human judgment and expert opinion. Financial Analysts Journal , 58 (3), 18 – 26. Taleb, N. N. (2004). Bleed or blow – up ? W hy do we prefer asymmetric payoffs? Journal of Behavioural Finan ce , 5 (1), 2 – 7. Thaler , R.H. (1993). Advances in behaviour al f inance . Russell Sage foundation , New York. Tvede, L. (1999). The Psychology of Finance: Wiley . First edition published by Norwegian University Press in hardcover in 1990.
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