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1、Po11utionandPerformance-DoInvestorsMakeWorseTradesonHazyDays?*JiekunHuang+NianhangXuxHonghaiYuThisDraft-May2019ForthcominginManagementScienceWethankTy1erShumway(theEditor),ananonymousassociateeditor,twoanonymousreferees,HeitorA1meida,Samue1Hartzmark,DavidHirsh1eifer,Juhani1innainmaa,Bo1iu,Dong1ou,Xi
2、aomeng1u,No1anMi11er,Nei1Pearson,KimPeijnenburg,VeronikaPoo1,eJu1ianReif,C1emensSia1m,AvanidharSubrahmanyam,YongxiangWang,ScottWeisbenner,HongjunYan,Ster1ingYan,ChengxiYin,HaoZhang,andseminarparticipantsatthe2017ChinaFinancia1ResearchConference,the2018EuropeanFinanceAssociation(EFA)meetings,the2016C
3、hinaYoungFinanceScho1arsSocietyconference,RenminUniversityofChina,DongbeiUniversityofFinance&Economics,andCentra1SouthUniversityforhe1pfu1commentsanddiscussion.Qinj,uanChen,RuiDong,Zhe1i,RowanSa1em,ZhongnanXiang,andYanXuprovidedexce11entresearchassistance.Xuacknow1edgesthefinancia1supportfromtheNati
4、ona1Natura1ScienceFoundationofChina(GrantNos.71622010and71790601).Yuacknow1edgesthefinancia1supportfromtheNationa1Natura1ScienceFoundationofChina(GrantNos.71720107001and71672081).Weretainresponsibi1ityforanyremainingerrors.tDepartmentofFinance,GiesCo11egeofBusiness,UniversityofI11inoisatUrbana-Champ
5、aign；e-mai1：kuangj1ai11inois.edu.1Schoo1ofBusiness,RenminUniversityofChina；e-mai1：.5Schoo1ofManagementandEngineering,NanjingUniversity；e-mai1：kky.Po11utionandPerformance-DoInvestorsMakeWorseTradesonHazyDays?AbstractThispaperexaminesthere1ationbetweenairpo11utionandindividua1investors*tradingbehavior
6、andperformance.Usinguniquedataonstocktradesby87,054individua1sfrom34citiesinChina,wefindanegativere1ationbetweenairpo11utionandtradeperformance.Thisresu1tisobtainedaftercontro11ingforinvestor-yearfixedeffects,datefixedeffects,aswe11as1oca1weatherconditions.Morestriking1y,abnorma1tradeperformancedecr
7、easesmonotonica11ywiththe1eve1sindicatingtheseverityofairpo11ution.Furthermore,wefindevidencesuggestingthatairpo11utionmakesinvestorsmoresusceptib1etothedispositioneffectandattention-drivenbuyingbehavior.Overa11,theresu1tshigh1ightahithertounexp1oredcostthatambientairpo11utionimposesonstockmarketinv
8、estors.JE1C1issIFiciTIOw:G11,G23,G14KEYWoRDsIndividua1investors,airpo11ution,tradeperformance,behaviora1bias1IntroductionAmbientairpo11utionisamajorenvironmenta1hea1thprob1emfacedbycountrieswor1dwide.Forexamp1e,EuropeanEnvironmentAgency(2015)1istsairpo11utionasthesing1e1argestenvironmenta1hea1thrisk
9、winEurope.AccordingtotheStateoftheAir2016reportbytheAmerican1ungAssociation,morethanha1fofthepeop1eintheU.S.1iveincountiesthathaveunhea1thfu11eve1sofeitherozoneorpartic1epo11ution.Recentmedica1studieshaveshownthatambientairpo11utionimpairscognitivefunctioning(see,e.g.,PopeandDockery,2006;B1ockandCa1
10、deron-Garciduenas,2009).Suchadversecognitiveeffectssuggestthatairpo11utioncannegative1yimpactactivitiesanddecisionsthatrequirementa1effort.Whi1estocktradingdecisionsarecommon1yVieWedascognitive1ydemandingandcanhave1argefinancia1impactsonhouseho1ds,theinf1uenceofairpo11utiononinvestoroutcomesremainsu
11、nderexp1ored.Inthispaper,weprovideoneofthefirststudiesofthere1ationbetweenairqua1ityandindividua1investors*stocktradingbehaviorandperformance.Stocktradingdecisionsarecomp1icatedandoftenrequiresignificantcognitiveeffort.Toavoidmakingmoney-1osingtrades,individua1investorshavetoeva1uatecomp1exfundament
12、a1factorsthatcaninf1uencetradeperformance,suchasinformationaboutthefundamenta1softhefirm,theriskreturntradeoff,transactioncosts,andsoon.Decreasedcognitivefunctioningduetoairpo11utionmay1eadinvestorstore1yonheuristicsinthedecision-makingprocessandexhibitbehaviora1biases.Forinstance,consistentwiththei
13、deathatstocktradingrequirescognitiveeffort,Grinb1att,Ke1oharju,and1innainmaa(2012)findeddencethattradesbyhigh-IQinvestorsoutperformthosebyIow-IQinvestorsandhigh-IQinvestorsare1esspronetothedispositioneffect.Therefore,wehypothesizethatairpo11utionnegative1yaffectstradingperformance.Weuseuniqueaccount
14、-1eve1equitytransactiondatafroma1argeChinesebrokeragehousetoexaminetheinf1uenceofairpo11utiononstocktradingbehaviorandperformance.Chinaprovidesanidea1settingtotestourhypothesis,becauseitisfacingsevereairpo11utionprob1emsandthereare1argevariationsinairpo11utionacrossandwithingeographicareasinChina(e.
15、g.,Chen,Ebenstein,Greenstone,and1i,2013).Forexamp1e,accordingtoaWor1dBank(2016)report,Chinarankssecond(toMauritania)inthewor1dforthe1eve1ofconcentrationoffineparticu1atematter(PM2.t).Ourdatasetcovers87z054househo1dsfrom34citiesinChinaduringtheperiodfromJanuary2007throughDecember2014.Wematchourtradin
16、gdatatoairqua1itydataandconstructapane1containingover4mi11ioninvestor-dates.Ourpane1dataenab1eustoinc1udeinvestor-yearfixedeffectsaswe11asdatefixedeffects.Thesefixedeffectse1iminatemanypotentia1sourcesofOmitted-Variab1ebiasthatcanconfoundinferences.Inparticu1ar,theinvestor-yearfixedeffectssubsumeinvestor-specificcharacteristicsthataretime-invariant,e.g.,innateinte11igence,gender,birthcohort,fami1ybackground,andethnicity
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