Uri Benzion

THE DETERMINANTS OF CDS SPREADS

This study proposes models that can be used as shorthand analysis tools for CDS spreads and CDS spread changes. For this purpose we examine the determinants of CDS spreads and spread changes on a broad database of 718 US firms during the period from early 2002 to early 2013. Contrary to previous studies, we discover that market variables still have explanatory power after controlling for firm-specific variables inspired by structural models. Three explanatory variables appear to overshadow the other variables examined in this paper: Stock Return, ∆Volatility (the change in stock return volatility) and ∆MRI (change in the median CDS spread in the rating class). We also discover that models used in the event study literature to explain spread changes can be improved by using additional market variables. Further, we show that ratings explain cross-section variation in CDS spreads even after controlling for structural model variables.

How Experience Shapes Health Beliefs: The Case of Influenza Vaccination

This study examines the impact of past experience with influenza and the influenza vaccine on four categories of the Health Belief Model: beliefs about susceptibility to contracting influenza, severity of illness, perceived benefits of the vaccine in preventing influenza, and perceived barriers to getting vaccinated. The study population comprised employees at different workplaces in Israel. The results indicate that individuals who took flu shots in the past perceived higher levels of benefits from the vaccine and lower barriers to getting the vaccine than those who had not been vaccinated. In addition, those who had influenza over the last 2 years exhibited higher levels of perceived susceptibility and lower levels of perceived benefits from the vaccine. These results imply that an individual’s health beliefs regarding the flu vaccine can be changed as a result of accumulated experience with the illness and the vaccine. Therefore, recommendations for first-time vaccination may have implications on decisions to be vaccinated over the long run.

The Effect of a High-Risk Stock Fund on Long-Term Investment: An Experimental Study

This article presents a multitrial experiment that extends the classic experiment of Thaler et al. [1997] by adding a high-risk stock fund to the bond and stock funds used in the original experiment. Results from the study show that investors allocate the same proportion of their investment to the high-risk stock fund and the stock fund, increasing their investment in the stocks and their expected return. We conducted a similar experiment with all three assets and found no myopic loss aversion. We suggest that high-risk stock funds might reduce the effect of myopic loss aversion.

Retesting the Uncertainty Effect Using Lotteries with Real Products and Money

In the current study, several experiments re‐examine the uncertainty effect using lotteries that include real products, monetary outcomes and electronic gift cards in a between‐subjects design. The study also takes the selling position into consideration, in addition to the buying position considered by all previous works on the uncertainty effect. The results indicate that for all types of lotteries, the bids are higher than the bids for the worst possible realization. These findings are consistent with the internality axiom and do not support the uncertainty effect.

Don’t Let Them Fool You: Adolescents’ Present-orientation and Inferior Financial Understanding

In the last 20 years, adolescents have gradually become very important clients for the banking industry. The current study investigates, using data collected in a survey, whether adolescents offered two options for investing in a saving certificate choose the financially preferable one and whether this choice is related to their time preference, after controlling for gender and bank account ownership. The participants were 270 adolescents from public high schools in Israel. The findings indicate that approximately 40 per cent made the inferior financial decision. However, those with a bank account were less likely to decide poorly, possibly indicating that having an account reduces financial illiteracy. Moreover, selecting the financially inferior choice correlates with a higher subjective discount rate (higher present-orientation). A gender effect is also found; girls have higher subjective discount rates, and this effect is stronger for girls with a bank account. Policy implications regarding financial education programmes are discussed.

Understanding public support for social protest: testing collective action frames, cognitive liberation and political opportunity in the Israeli 2011 summer protest

ABSTRACT Despite its acclaimed role in democratic theory, social protest is not a common occurrence in most states where widespread political participation is typically limited to voting, and mass participation is otherwise rare. This article examines public opinion regarding the 2011 summer protests in Israel, in which hundreds of thousands took to the streets in wide-scale events that lasted for several weeks. It does so by focusing on two independent samples, one of university undergraduate students and the other of active protesters, totaling 59 respondents. Findings suggest that support for the protest most strongly affiliated with concerns of social injustice coupled with the belief that government responsible for this state of affairs.

Emotions, Risk Perceptions and Precautionary Actions of Citizens During a Military Operation Using a New Defence Technology: The Israeli Case of the Iron Dome

Abstract The current field study used unique data collected in Israel in July 2014, during a military operation that the Israel Defence Forces (I.D.F.) conducted in the Gaza Strip, in reaction to the thousands of missiles launched from there into Israel. During this operation, the new Iron Dome anti-missile defence system was used to protect Israelis exposed to missile attacks. The study examined factors that correlate with decisions to comply with I.D.F. defence instructions regarding behaviour during missile attacks. In addition, the study examined the relationship between attitudes towards the Iron Dome technology and emotions, risk perceptions, and the decision to comply with I.D.F. defence instructions. The results indicate that stronger positive opinions towards Iron Dome were correlated with lower levels of fear and anger, and beliefs that participant’s chances of being injured by a missile were lower than they had been during previous military operation. In addition, better compliance with I.D.F. defence instructions correlated with being more fearful, angrier at Hamas, living closer to Gaza Strip, and having more positive opinions about Iron Dome. The findings also indicate gender differences with respect to factors correlated with risk perceptions, opinions regarding Iron Dome, and precautionary actions during attacks.

Toward Solving of the Turn-of-the-Month Effect Puzzle

The turn-of-the-month (TOM) anomaly is widely discussed in the literature of the last three decades covering US and other equity markets. In this study we identify new characteristics and sources of this anomaly. We use data of US indices spanning more than 80 years. Our findings relate to existing explanations of the anomaly in the literature, but shed new light on its sources. Our findings pinpoint the specific months during the year in which the anomaly is significant. We show that a significant TOM anomaly in a few months suffices to generate a significant pattern for decades. In addition, we identify the relationship between the TOM effect and other market anomalies as well as the correlation between the anomaly and capital market cycles. Finally, we conclude that the effect exists in the core return data, under regular volatility, and cannot be dismissed as stemming from outliers.