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Gradual information diffusion across commonly owned firms J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-26 Jie Ying
This paper studies how common institutional ownership (CIO) affects information diffusion in the stock market. My findings suggest that CIO can exacerbate the slow spread of information across firms. With over 50% of institutional investors holding concentrated stock portfolios, I infer a fundamental connection among firms with CIO. These firms exhibit cross-predictability in monthly stock returns
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Managing Mental Accounts: Payment Cards and Consumption Expenditures Rev. Financ. Stud. (IF 8.414) Pub Date : 2024-04-22 Michael Gelman, Nikolai Roussanov
Does mental accounting matter for total consumption expenditures? We exploit a unique setting in which individuals exogenously receive a new payment card, without requesting one. Using random variation in the time of receipt, we show that individuals temporarily increase total consumption expenditure by making purchases with the new card without reducing spending on the others. We do not observe a
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Is Long‐Run Risk Really Priced? Revisiting Liu and Matthies (2022) J. Financ. (IF 7.915) Pub Date : 2024-04-22 PAULO MAIO
The claim by Liu and Matthies (LM) that their macro news risk factor (NI) prices 51 portfolios (associated with four different portfolio groups) is not appropriate. In fact, their single‐factor model is successful only in explaining the momentum deciles, while producing strongly negative performance for the remaining groups. The pricing performance is more doubtful in the case of the alternative news
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Can ChatGPT improve investment decisions? From a portfolio management perspective Finance Research Letters (IF 10.4) Pub Date : 2024-04-21 Hyungjin Ko, Jaewook Lee
We examine ChatGPT, a prominent Large Language Model (LLM), in supporting portfolio management with a focus on asset selection and diversification through quantitative methods. We use ChatGPT to select assets from various asset classes and evaluate the diversification effect of its selections. Our results suggest that ChatGPT’s selections are statistically significantly better in diversity index than
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Can asymmetry, long memory, and current return information improve crude oil volatility prediction? ——Evidence from ASHARV-MIDAS model Finance Research Letters (IF 10.4) Pub Date : 2024-04-21 Zhenlong Chen, Junjie Liu, Xiaozhen Hao
We propose an ASHARV-MIDAS model that incorporates the asymmetric and long-memory characteristics of financial asset returns, while integrating current return information into the volatility equation to enhance prediction accuracy. Additionally, we derive the lag order expression and conditional variance of short-term volatility in the novel model to analyze its distinction from the classical GARCH-MIDAS
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The shape of the Treasury yield curve and commodity prices International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-20 Yasmeen Bayaa, Mahmoud Qadan
We decompose the U.S. yield curve into three latent factors – the level, slope and curvature – and explore the information content of the yield curve regarding the future evolution in oil, coal, copper, ethanol, gold, heating oil, natural gas, palladium, platinum, silver and zinc prices. Using data from January 1986 to November 2021, we find that the shape of the term structure is very informative
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Effects of incomplete information on risk management Finance Research Letters (IF 10.4) Pub Date : 2024-04-19 Hwa-Sung Kim
Recent research shows that while the creditors’ interests determine an issuer’s hedging policy, creditors observe incomplete information regarding the cash flow. This study examines hedging effects with incomplete information through a real-option model, thereby deriving associated implications. We show that the difference in firm values between hedged and unhedged policies increases with more incomplete
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Rent or Buy? Inflation Experiences and Homeownership within and across Countries J. Financ. (IF 7.915) Pub Date : 2024-04-19 ULRIKE MALMENDIER, ALEXANDRA STEINY WELLSJO
We show that past inflation experiences strongly predict homeownership within and across countries. First, we collect novel survey data, which reveal inflation protection to be a key motivation for homeownership, especially after high inflation experiences. Second, using household data from 22 European countries, we find that higher exposure to historical inflation predicts higher homeownership rates
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Digital money creation and algorithmic stablecoin run Finance Research Letters (IF 10.4) Pub Date : 2024-04-18 Kanis Saengchote, Krislert Samphantharak
This study examines the downfall of Iron Finance's algorithmic stablecoin in June 2021 and draws parallels with the Terra–Luna (UST) collapse in May 2022. Using transaction-level blockchain data, we dissect the events leading to Iron Finance's failure, unveiling algorithmic stablecoins’ inherent vulnerabilities. We highlight the disproportionate impact on retail investors, a pattern also mirrored in
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Decoding herding dynamics in the generative AI investment amid key technological advancements: A timeline perspective Finance Research Letters (IF 10.4) Pub Date : 2024-04-18 Haibo Wang
This study, using two herding dynamics metrics and Glosten–Jagannathan–Runkle Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH) model, forecasts market trends, captures asymmetric volatility, and reveals the generative AI (GenAI) ecosystem's impact on individual assets’ returns. Results of this study highlight distinctive traits of each GenAI equity, crucial for strategic positioning
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Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-18 Peter Cincinelli, Elisabetta Pellini, Giovanni Urga
In this paper, we evaluate whether banks and non-banks size and systemic risk are affected by their level of leverage. We implement a threshold analysis to a sample of European traditional banks and non-banks (Finance services and Real Estate Finance Services) over 2006:1-2019:4. We find that Finance Services show positive co-movements between leverage and size, independently of the level of leverage
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Does management tone matter in information disclosure? Evidence from IPO online roadshows in the SSE STAR market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-18 Shengpeng Zhang, Yaokuang Li, Ruixin Liang, Yu He
This paper explores whether management tone in IPO online roadshows in the SSE STAR Market matters in information disclosure. We apply bag-of-words and machine learning methods to construct proxies for management tone, respectively. After conducting a series of empirical analyses, we find that management tone is positively associated with first-day stock returns and future operating performance after
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CEO succession origin and annual reports readability The British Accounting Review (IF 4.761) Pub Date : 2024-04-18 Javad Oradi, Reza Hesarzadeh, Sahar E-Vahdati, Muhammad Nadeem
We examine the association between the origin of chief executive officer (CEO) succession (i.e., promoting a CEO from within the firm as opposed to recruiting from outside) and annual reports readability. Based on a sample of large U.S. companies during the period 2004–2020, we predict and find that companies with insider CEOs issue more readable 10-K reports compared to those who hire from outside
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The impact of macroeconomic news sentiment on interest rates International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-17 Francesco Audrino, Eric A. Offner
We provide evidence that sentiment extracted from articles related to interest rates, inflation, and the labor market has the ability to explain short-term interest rate movements that cannot be accounted for by professionals’ and consumers’ expectations. Additionally, sentiment can pin down two short rate regimes that are correlated with the business cycle. By combining these results with a yield
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FinSentGPT: A universal financial sentiment engine? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-17 Aref Mahdavi Ardekani, Julie Bertz, Cormac Bryce, Michael Dowling, Suwan(Cheng) Long
We present FinSentGPT, a financial sentiment prediction model based on a fine-tuned version of the artificial intelligence language model, ChatGPT. To assess the model’s effectiveness, we analyse a sample of US media news and a multi-language dataset of European Central Bank Monetary Policy Decisions. Our findings demonstrate that FinSentGPT’s sentiment classification ability aligns well with a prominent
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Broadband Internet and the Stock Market Investments of Individual Investors J. Financ. (IF 7.915) Pub Date : 2024-04-17 HANS K. HVIDE, TOM G. MELING, MAGNE MOGSTAD, OLA L. VESTAD
We study the effects of broadband internet use on the investment decisions of individual investors. A public program in Norway provides plausibly exogenous variation in internet use. Our instrumental variables estimates show that internet use causes a substantial increase in stock market participation, driven primarily by increased fund ownership. Existing investors tilt their portfolios toward funds
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Nonstandard Errors J. Financ. (IF 7.915) Pub Date : 2024-04-17 ALBERT J. MENKVELD, ANNA DREBER, FELIX HOLZMEISTER, JUERGEN HUBER, MAGNUS JOHANNESSON, MICHAEL KIRCHLER, SEBASTIAN NEUSÜß, MICHAEL RAZEN, UTZ WEITZEL, DAVID ABAD-DÍAZ, MENACHEM (MENI) ABUDY, TOBIAS ADRIAN, YACINE AIT-SAHALIA, OLIVIER AKMANSOY, JAMIE T. ALCOCK, VITALI ALEXEEV, ARASH ALOOSH, LIVIA AMATO, DIEGO AMAYA, JAMES J. ANGEL, ALEJANDRO T. AVETIKIAN, AMADEUS BACH, EDWIN BAIDOO, GAETAN BAKALLI,
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses
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Does increased digital transformation promote a firm's financial performance? New insights from the quantile approach Finance Research Letters (IF 10.4) Pub Date : 2024-04-16 Dung Anh Vu, Thinh Van Nguyen, Quang Minh Nhu, Tuyen Quang Tran
When studying how digital transformation affects company performance, a phenomenon known as the "digitalization paradox" frequently emerges. In previous studies, however, an average estimate has often been used to assess the relationship between digital transformation and firm performance. Using a fixed-effects quantile technique, this study examines the heterogeneous effect of digital transformation
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Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability Finance Research Letters (IF 10.4) Pub Date : 2024-04-16 Sumanjay Dutta, Shashi Jain
In this paper, we estimate Expected Utility Portfolios (EUPs) in high-dimensional, low-sample settings using various covariance matrix estimation methods, including shrinkage and thresholding-based methods. We perform synthetic experiments comparing these methods, using Average Out-of-Sample Variance (AOV) for Global Minimum Variance (GMV) portfolios and Average Out-of-Sample Utility (AOU) for EUPs
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Corporate mergers and acquisitions: A strategic approach to mitigate expected default frequency Finance Research Letters (IF 10.4) Pub Date : 2024-04-16 Haoyang Wu, Ziyan Jiao, Shipeng Wang, Zhiruo Wu
This study investigates the influence of corporate mergers and acquisitions on debt default risk by analyzing a dataset of 14,990 A-share listed companies from 2010 to 2021. The results demonstrate that corporate mergers and acquisitions effectively mitigate expected default frequency, a conclusion that withstands a variety of robustness checks. Through mechanism testing, it's found that mergers and
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US dollar and oil market uncertainty: New evidence from explainable machine learning Finance Research Letters (IF 10.4) Pub Date : 2024-04-16 Baris Kocaarslan
This study uses the CatBoost algorithm along with the Shapley Additive Explanation method to explore the link between the US dollar and oil market uncertainty, while also considering other macroeconomic factors. We find that the US dollar is the most influential factor affecting oil market uncertainty compared to other economic risks and uncertainties. Increased levels of the US dollar are significantly
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From governance to stability: How party organizations in private enterprises influence stock price crash risk Finance Research Letters (IF 10.4) Pub Date : 2024-04-16 Huan Wang, Shui Li, Hengtao Liu
This article delves into the data of A-share listed private companies from 2010 to 2022, utilizing a DID model to conduct a comprehensive study on how the establishment of party organizations affects the risk of stock price crashes. The research reveals that party organizations significantly mitigate the risk of stock price crashes in private enterprises, particularly in areas with higher marketization
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Family firm successions: First-generation transitions in Latvia Finance Research Letters (IF 10.4) Pub Date : 2024-04-16 Jānis Bērziņš, Anete Pajuste
We examine the emergence, succession, and performance of the initial cohort of family firms in Latvia. Latvia offers a natural setting to examine succession challenges faced by first-generation firms because a majority of these firms were established shortly after the country regained independence in the early 1990s. Our findings indicate that in 44% of sample firms the founding family did not have
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The impact of geopolitical risk on sustainable markets: A quantile-time-frequency analysis Finance Research Letters (IF 10.4) Pub Date : 2024-04-16 Mohamad Husam Helmi, Ahmed H. Elsayed, Rabeh Khalfaoui
We examine the impact of Geopolitical Risk (GPR) on green, clean, and socially responsible markets by employing the newly proposed Wavelet Quantile Correlation, Cross-quantilogram and Causality-in-quantiles. Unlike earlier studies, we incorporate the GPR index to encompass the risk linked to conflict, acts of terrorism, and political tensions. In brief, our findings show that GPR emerges as a significant
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Climate change exposure, shareholder wealth, and the adoption of the Paris agreement: A text-based approach International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Pattanaporn Chatjuthamard, Simran Singh, Pornsit Jiraporn, Sang Mook Lee
Taking advantage of a distinctive measure of firm-specific exposure to climate change derived from sophisticated textual analysis, we examine the effect of climate change exposure on shareholder value using the signing of the Paris climate agreement. We find that companies more exposed to climate change experience more favorable market reactions to the adoption of the agreement. Specifically, a rise
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Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Yujun Huang
This article examines the risk-related performance of ESG (Environmental, Social, and Governance) investments through the ETFs, with the employment of Oil & Gas ETFs as benchmark. We introduce the Value-at-Risk () and modified Sharpe Ratio () based on such measurement as representative of tail risk protection. The sample of this study is from March 2012 to January 2022, which covers the Covid-19 period
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Analyzing credit spread changes using explainable artificial intelligence International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Julia Heger, Aleksey Min, Rudi Zagst
We compare linear regression, local polynomial regression and selected machine learning methods for modeling credit spread changes. Using partial dependence plots (PDPs) and H-statistic, we find that the outperformance of machine learning models compared to regression ones is mostly attributable to complex non-linearities and not to interactions. The PDPs are additionally used to perform a factor hedging
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A consumption-based term structure model of bonds and equity International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Masataka Suzuki
In this study, I propose a consumption-based asset pricing model to capture the dynamic properties of term structures of bonds and equity. I extend the long-run risks model by introducing a mean-reversion of dividend growth and the external habit formation of a representative agent. The mean-reverting dividend growth generates a negative equity term premium, while the habit formation augments the equity
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Beyond the veil: Mapping cryptocurrencies' ecosystem International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Matteo Cavallaro, Alban Mathieu
This paper's objective is important for clarifying the economic characteristics of the cryptocurrencies' ecosystem and thus providing an interpretative grid for future research. Far from being limited to the Bitcoin's experience, the number of cryptocurrencies is large and new crypto-like assets are constantly being created. The multiplicity of cryptocurrencies raises questions about their similarities
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An examination of how executive remuneration and firm performance are influenced by Chair-CEO diversity attributes International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Colette Grey, Antoinette Flynn, Douglas A. Adu
Advancing prior research, this study investigates the effect of Chair-CEO diversity on the relationship between executive remuneration and firm performance. Employing a unique sample of 262 UK listed firms from 2009 to 2020, our findings are five-fold. First, our findings suggest that Chair-CEO diversity is negatively associated with executive remuneration levels. Second, we document a positive relationship
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Unravelling the credit market shocks and investment dynamics: A theoretical and empirical perspective International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Darja Zabavnik, Miroslav Verbič
This paper investigates the underlying credit market shocks that historically affected business investment in the Slovenian economy. In contrast to the existing literature, we explore more profound structural shocks beneath the credit demand and supply shocks. For the purpose of structural identification, we propose a theoretical model of the credit market that reveals the credit market imperfections
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Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Carlos Esparcia, Ana Escribano, Francisco Jareño
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The capital market consequence of sustained abnormal Audit fees: Evidence from stock price crash risk The British Accounting Review (IF 4.761) Pub Date : 2024-04-16 Sang Mook Lee, Jong Chool Park, Hakjoon Song
Prior studies provide mixed interpretations for the effect of abnormal audit fees on audit quality. One interpretation is that abnormal audit fees reflect economic bonding which decreases audit quality, while the other interpretation is that they are associated with unobserved audit efforts and audit risk. We argue that long-term abnormal audit fees clarify mixed evidence, as they reflect the gradual
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High-quality assurance, ESG legitimacy threats and board effectiveness The British Accounting Review (IF 4.761) Pub Date : 2024-04-16 García-Meca Emma, Ruiz-Barbadillo Emiliano, Martínez-Ferrero Jennifer
This study aims to investigate whether companies engage high-quality assurance in response to legitimacy threats caused by media coverage of negative sustainability events. Since responsive strategies designed to maintain or repair legitimacy directly emanate from boards, the paper also analyses whether board effectiveness reinforces defensive strategies to maintain a company's reputational capital
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Environmental protection tax law and corporate ESG performance Finance Research Letters (IF 10.4) Pub Date : 2024-04-15 Yujie Li, Ziyan Hua
We analyze the bond between environmental protection tax law (EPTL) and corporate environmental, social, and governance (ESG) performance and explore the mediating role of corporate green technological innovation between the two. The study reveals a significant positive correlation between implementing EPTL and corporate ESG performance, with corporate green technological innovation acting as an intermediary
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Heterogeneous dependence of the FinTech Index with Global Systemically Important Banks (G-SIBs) Finance Research Letters (IF 10.4) Pub Date : 2024-04-15 Hongjun Zeng, Mohammad Zoynul Abedin, Brian Lucey
This paper aims to investigate the Granger causality relationship in quantile between the FinTech Index and globally systemically important banks (G-SIBs). The result was observed that at the median and under conditions of extreme quantiles in the FinTech Index, there was no Granger causality relationship between the FinTech Index and the vast majority of systemically important banks. Our research
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CFO narcissism and corporate digital transformation✰ Finance Research Letters (IF 10.4) Pub Date : 2024-04-15 Wenyun Yao, Mengjiao Ni, Yuhang Qian, Shujing Yang, Xiaona Cui
CFO narcissism plays an essential role in the corporate digital transformation. This study empirically examines the relationship between CFO narcissism and corporate digital transformation using non-financial listed companies in the Shanghai and Shenzhen stock markets from 2010 to 2021 as a research sample. We found that CFOs' narcissistic tendencies promoted a risk-taking spirit, stronger decision-making
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FinTech and banks: Strategic partnerships that circumvent state usury laws Finance Research Letters (IF 10.4) Pub Date : 2024-04-15 Gregory Elliehausen, Simona M. Hannon
This paper investigates the role of interest rate regulation of consumer credit and institutional risk segmentation in FinTech lenders’ efforts to solicit new customers in the personal loan market. We find that strategic partnerships between FinTech companies and specialist banks target marginal-risk, near-prime and low-prime consumers, living in states with low interest rate ceilings for unsecured
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A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options Finance Research Letters (IF 10.4) Pub Date : 2024-04-15 R. Mark Reesor, Lars Stentoft, Xiaotian Zhu
Least-squares Monte Carlo generates regression-based continuation value estimators that are heteroscedastic. Fabozzi et al. (2017) propose weighted least-squares regression to correct for this. We show that heteroscedastic-corrected estimators are more accurate than uncorrected estimators far from the exercise boundary and where the exercise decision is obvious. However, the corrected estimators do
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Assessing the volatility of green firms Finance Research Letters (IF 10.4) Pub Date : 2024-04-15 Lorán Chollete, Keener Hughen, Ching-Chih Lu, Weijia Peng
Environmentally responsible (‘green’) firms have important asset pricing implications. Whilst green firms’ performance has been formally studied in terms of returns and pricing (Bolton and Kacperczyk, 2022; Pástor et al., 2022), far less is known about their volatility. We analyze the volatility of green and brown firms from 2012 to 2021, through the multiple lens of GARCH, machine learning, and historical
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Portfolio pumping in mutual fund families J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-15 Pingle Wang
This paper investigates portfolio pumping at the fund family level, where non-star fund managers strategically purchase stocks held by star funds in the family to inflate their quarter-end performance. Star funds that engage in such activities show inflated performance after 2002 when the Securities and Exchange Commission increased regulation on portfolio pumping. Stocks pumped by the strategy show
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Understanding co-movements based on heterogeneous information associations International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Huai-Long Shi, Huayi Chen
Both systematic and idiosyncratic information dissemination contribute to assets co-movement. To proxy for co-movement based on heterogeneous information diffusion, we construct two-layer network structures in terms of the correlations of systematic and idiosyncratic returns for Fama–French 49 industry portfolios. We further delve into the co-movement structures by studying their dynamics and interactions
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Going mainstream: Cryptocurrency narratives in newspapers International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Clive B. Walker
This paper quantifies mainstream media coverage of Bitcoin to understand how a once niche interest entered public culture. From 2011 to 2022, five key narratives are identified as criminality, culture, politics, price and technology. Price, politics, and culture have become more prominent in coverage while the technology narrative has waned. Coverage that is more political or cultural is associated
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To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Krzysztof Echaust, Małgorzata Just, Agata Kliber
The article aims to determine whether any hedging strategy against stock market risk, performed using instruments popular in the literature (gold, cryptocurrencies and oil), can beat index futures. As a hedging strategy, we understand a pair-wise portfolio consisting of a long position in stocks and a short position in a hedging instrument put together to minimise the portfolio variance. As a benchmark
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Does media coverage of firms' environment, social, and governance (ESG) incidents affect analyst coverage and forecasts? A risk perspective International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Guanming He, April Zhichao Li
We examine whether and how media coverage of firms' environment, social, and governance (ESG) incidents is associated with analyst coverage and forecasts. We propound that the risks of firms could either increase or decrease as a result of media-covered ESG incidents, depending on the firms' actions on the media coverage, and thus its impact on analyst coverage and forecasts would vary. Based on a
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Adaptation and innovation: How does climate vulnerability shapes corporate green innovation in BRICS International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Xiaoxi Liu, Xiaoling Yuan, Xing Ge, Zhongguo Jin
In the face of escalating environmental challenges, gaining insights into their influence on corporate strategies has become crucial because it paves the way for proactive and adaptive measures. In view of this, the primary objective of study is to explore the relationship between climate vulnerability (CVN) and corporate green innovation (GIN). The study leverages a comprehensive dataset spanning
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On practitioners closed-form GARCH option pricing International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-14 Sharif Mozumder, Bart Frijns, Bakhtear Talukdar, M. Humayun Kabir
This paper proposes a practitioner version of Heston and Nandi's (2000) (HN) model, which we term the Practitioner's Heston Nandi, or PHN model. We compare the option pricing and hedging performance of the PHN model vis-à-vis the HN model. Instead of using a one-period ahead volatility forecast for all options used in calibrations at any given time, the PHN model proposes using forward-looking volatilities
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Why isn't composite equity issuance favored by the stock market? A risk-based explanation for the anomaly International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-14 Huaibing Yu
Composite equity issuance anomaly is puzzling. This study presents a risk-based explanation that complements and transcends the behavior-based explanation by prior mainstream literature. Investors react to the signal embedded in the composite equity issuance and adjust a firm's risk level through implied cost of equity capital, which leads to lower subsequent stock returns. Empirical results show that
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Macroeconomic impacts of monetary and fiscal policy in the euro area in times of shifting policies: A SVAR approach Finance Research Letters (IF 10.4) Pub Date : 2024-04-13 Vasja Rant, Anja Puc, Mitja Čok, Miroslav Verbič
This paper analyses the impacts of monetary and fiscal policy of the euro area on output and inflation between 2005 and 2022 using a structural vector autoregressive (SVAR) approach. We employ three alternative indicators of monetary policy, alongside government spending and revenue as fiscal variables to estimate the effects across different subperiods. The findings reveal that monetary policy tightening
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Examining the quantile cross-coherence between fossil energy and clean energy: Is the dependence structure changing with the COVID-19 outbreak? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-13 Zhuo Wang, Xiaodan Chen, Chunyan Zhou, Yifeng Zhang, Yu Wei
The advent of COVID-19 has markedly affected financial and energy markets. Clean energy positions itself as a feasible substitute for fossil fuels, and the crisis has altered the interdependence of these two counterpart markets. This study uses quantile cross-spectral analysis to investigate the dependence structure features of the fossil and clean energy markets, pre- and post-COVID-19 outbreak, under
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Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect J. Financ. (IF 7.915) Pub Date : 2024-04-13 RICARDO J. CABALLERO, ALP SIMSEK
We analyze optimal monetary policy and its implications for asset prices when aggregate demand has inertia. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (above their steady‐state levels consistent with current potential output). Overshooting leads to a temporary disconnect between the performance of financial markets and the real economy, but accelerates
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Greenhouse gas emissions and global real economic activities Finance Research Letters (IF 10.4) Pub Date : 2024-04-12 Zhonglu Chen, Chuan Wang, Fan Bai
We evaluate the impact mechanism between global real economic activities and greenhouse gas emissions (GHGs). First, we find a feedback relationship between global real economic activities and GHGs. However, we find that only reduced global real economic activities can significantly decrease GHGs, while both increases and decreases in GHGs have an impact on global real economic activities. Furthermore
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Debt vulnerabilities and house price responses to external shocks Finance Research Letters (IF 10.4) Pub Date : 2024-04-12 Hyunjoon Lim
This paper investigates whether the responses of house prices to external shocks, including US monetary policy and global geopolitical risk shocks vary, depending on country-specific vulnerabilities. We find that the responses of emerging market economies’ housing prices to both US monetary policy shocks and geopolitical risk shocks are higher in magnitude and duration than those of advanced economies
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Measuring macroeconomic tail risk J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-12 Roberto Marfè, Julien Pénasse
This paper estimates consumption and GDP tail risk dynamics over the long run (1900–2020). Our predictive approach circumvents the scarcity of large macroeconomic crises by exploiting a rich information set covering 42 countries. This flexible approach does not require asset price information and can thus serve as a benchmark to evaluate the empirical validity of rare disaster models. Our estimates
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Zombie Credit and (Dis‐)Inflation: Evidence from Europe J. Financ. (IF 7.915) Pub Date : 2024-04-12 VIRAL V. ACHARYA, MATTEO CROSIGNANI, TIM EISERT, CHRISTIAN EUFINGER
We show that “zombie credit”—subsidized credit to nonviable firms—has a disinflationary effect. By keeping these firms afloat, zombie credit creates excess aggregate supply, thereby putting downward pressure on prices. Granular European data on inflation, firms, and banks confirm this mechanism. Markets affected by a rise in zombie credit experience lower firm entry and exit, capacity utilization,
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Executive financial background, external audit quality and shadow banking in non-financial firms Finance Research Letters (IF 10.4) Pub Date : 2024-04-11 Xiaodong Huang, Lingling Luo
The absence of formal financial services in the face of the actual economy's transition from old to new sources of energy and development modes has led to the emergence of a widespread shadow banking sector. Based on the high-order ladder theory, this paper examines the influence of executives' financial background on non-financial firms' shadow banking. The finding reveals a positive impact of executive
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Intellectual property protection and M&A performance Finance Research Letters (IF 10.4) Pub Date : 2024-04-11 Weibo Li, Bingru Yuan
This investigation delves into the connection between the safeguarding of intellectual property and the outcomes of corporate mergers and acquisitions (M&As) and the mechanisms underlying this relationship. The research uses yearly data from 2009 to 2022, encompassing A-share listed companies in Shanghai and Shenzhen, and empirically examines how intellectual property protection influences corporate
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Commercial paper popularization and enterprise risk taking Finance Research Letters (IF 10.4) Pub Date : 2024-04-11 Mingguo Huangfu, Zejun Wang, Jiatong Li, Xinhai Ye, Xiaoye Wang, Mengyao Chen
This paper constructs accounts receivable commercial paper indicators based on the choice of payment instruments when enterprises sell on credit and selects listed manufacturing enterprises from 2015 to 2022 as data samples for the study. It is found that increasing the proportion of commercial paper payments in credit sales can effectively mitigate the risk-taking of enterprises; the establishment
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Commonality in volatility among green, brown, and sustainable energy indices Finance Research Letters (IF 10.4) Pub Date : 2024-04-11 Ameet Kumar Banerjee, Ahmet Sensoy, Molla Ramizur Rahman, Alessia Palma
Based on research conducted by Chordia et al. in 2000, we analyzed the volatility of energy indices to determine whether there is a commonality among them. Our dataset included green, sustainable, and brown energy indices, and we discovered that there is indeed a commonality in energy markets, with brown energy exhibiting the least commonality. Furthermore, we found that the commonality in volatility
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From symbolic to substantive green innovation: How does ESG ratings optimize corporate green innovation structure Finance Research Letters (IF 10.4) Pub Date : 2024-04-11 Zhihe Zhang, Yufei Hou, Zixuan Li, Mulin Li
Green innovation, primarily substantive green innovation, is critical for improving corporate sustainable development. In contrast to existing literature, this paper examines how environment, society, and governance (ESG) optimizes corporate green innovation structure from an innovation motivation perspective. Based on A-share listed firms, this study reveals a significant enhancement of ESG ratings