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The Effects of Mandatory ESG Disclosure Around the World Journal of Accounting Research (IF 4.446) Pub Date : 2024-05-04 PHILIPP KRUEGER, ZACHARIAS SAUTNER, DRAGON YONGJUN TANG, RUI ZHONG
We compile a novel data set on mandatory environmental, social, and governance (ESG) disclosure around the world to analyze the stock liquidity effects of such disclosure mandates. We document a positive effect of ESG disclosure mandates on firm‐level stock liquidity. The effects are strongest if the disclosure requirements are implemented by government institutions, not on a comply‐or‐explain basis
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A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ J. Financ. (IF 7.915) Pub Date : 2024-05-03 BRAD M. BARBER, XING HUANG, PHILIPPE JORION, TERRANCE ODEAN, CHRISTOPHER SCHWARZ
We placed 85,000 retail trades in six retail brokerage accounts from December 2021 to June 2022 to validate the Boehmer et al. algorithm, which uses subpenny trade prices to identify and sign retail trades. The algorithm identifies 35% of our trades as retail, incorrectly signs 28% of identified trades, and yields uninformative order imbalance measures for 30% of stocks. We modify the algorithm by
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Digitalization and Retirement Contribution Behavior: Evidence from Administrative Data Rev. Financ. Stud. (IF 8.414) Pub Date : 2024-05-02 Claudio Daminato, Massimo Filippini, Fabio Haufler
Retirement savings decisions are increasingly mediated by digital technologies that promise to help individuals plan adequately for their retirement. We exploit a natural experiment to show that introducing a digital pension application increases the probability of making a voluntary retirement contribution by 1.8 percentage points, from an average pretreatment contribution rate of 2.8%. Men and higher-income
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The Capital Market Effects of Centralizing Regulated Financial Information Journal of Accounting Research (IF 4.446) Pub Date : 2024-04-30 GURPAL SRAN, MARCEL TUIJN, LAUREN VOLLON
We study the capital market effects of information centralization by exploiting the staggered implementation of digital storage and access platforms for regulated financial information (Officially Appointed Mechanisms, or OAMs) in the European Union. We find that the implementation of OAMs results in significant improvements in capital market liquidity, consistent with the notion that OAMs lower investors'
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Blood Money: Selling Plasma to Avoid High-Interest Loans Rev. Financ. Stud. (IF 8.414) Pub Date : 2024-04-29 John M Dooley, Emily A Gallagher
Little is known about the motivations and outcomes of sellers in remunerated markets for human materials. We exploit dramatic growth in the U.S. blood plasma industry to shed light on the sellers of plasma. Sellers tend to be young and liquidity-constrained with low incomes and limited access to traditional credit. Plasma centers absorb demand for nontraditional credit. After a plasma center opens
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Spending Less after (Seemingly) Bad News J. Financ. (IF 7.915) Pub Date : 2024-04-29 MARK J. GARMAISE, YARON LEVI, HANNO LUSTIG
Using high‐frequency spending data, we show that household consumption displays excess sensitivity to salient macroeconomic news, even when the news is not real. When the announced local unemployment rate reaches a 12‐month maximum, local news coverage of unemployment increases and local consumers reduce their discretionary spending by 1.5% relative to consumers in areas with the same macroeconomic
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Financial fusion: Bridging Islamic and Green investments in the European stock market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-28 Afzol Husain, Sitara Karim, Ahmet Sensoy
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Blockchain technology and internal control effectiveness Finance Research Letters (IF 10.4) Pub Date : 2024-04-27 Wentao Ma, Wanyun Li
This paper examines the effectiveness of the internal control mechanisms of blockchain-as-a-service (BaaS) providers. Given the lack of classification in the blockchain industry, we conduct text mining of official filings to identify BaaS providers and compare their internal control issues with those of matched firms in other industries. Our findings, which offer pivotal insights for policymakers and
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Bridging Theory and Empirical Research in Accounting Journal of Accounting Research (IF 4.446) Pub Date : 2024-04-27 MATTHIAS BREUER, EVA LABRO, HARESH SAPRA, ANASTASIA A. ZAKOLYUKINA
Formal theory and empirical research are complementary in building and advancing the body of knowledge in accounting in order to understand real‐world phenomena. We offer thoughts on opportunities for empiricists and theorists to collaborate, build on each other's work, and iterate over models and data to make progress. For empiricists, we see room for more descriptive work, more experimental work
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Diversity Washing Journal of Accounting Research (IF 4.446) Pub Date : 2024-04-26 ANDREW C. BAKER, DAVID F. LARCKER, CHARLES G. McCLURE, DURGESH SARAPH, EDWARD M. WATTS
We provide large‐sample evidence on whether U.S. publicly traded corporations use voluntary disclosures about their commitments to employee diversity opportunistically. We document significant discrepancies between companies' external stances on diversity, equity, and inclusion (DEI) and their hiring practices. Firms that discuss DEI excessively relative to their actual employee gender and racial diversity
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Time-frequency extreme risk spillovers between COVID-19 news-based panic sentiment and stock market volatility in the multi-layer network: Evidence from the RCEP countries International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-25 Yanshuang Li, Yujie Shi, Yongdong Shi, Xiong Xiong, Shangkun Yi
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Assessing resilience to systemic risks across interbank credit networks using linkage-leverage analysis: Evidence from Japan International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-25 Haibo Wang
The banking crisis started in March 2023 was triggered by disproportion of deposit liability and assets. Applying balance sheets from 1999 to 2022, from the Japanese Bank Association, this study scrutinizes the durability of high-priority banking systems against damaging events in that industry. Eyeing the unique high-level savings in Japanese banking, this study investigates the impact of disproportion
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Impression management strategy — The relationship between accounting narrative thematic bias and financial graph distortion The British Accounting Review (IF 4.761) Pub Date : 2024-04-25 Jeff Boone, Jie Hao, Cheryl Linthicum, Viet Pham
Prior literature has examined 10-K narrative thematic bias and financial graph distortion as two independent outcomes that might arise from managements' efforts at impression management. Largely unexplored is an analysis of narrative thematic bias and financial graph distortion as joint and interrelated outcomes that would arise if management coordinates both in the same 10-K report as part of an impression
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Decoding financial performance of US-listed entities: A sectoral exploration of input efficiency amid stochastic volatility Finance Research Letters (IF 10.4) Pub Date : 2024-04-24 Antony Andrews, Nikeel Nishkar Kumar
This study explores the complex relationship between firm efficiency and stochastic volatility, focusing on how firms utilise inputs to generate sales and the impact of financial shocks on efficiency levels. Utilising a dataset of 476 U.S. firms across 23 sectors from 2010 to 2022, it integrates stochastic volatility into efficiency analysis, treating volatility as an evolving, unobserved process diverging
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The impact of the capital gains tax on the Korean derivatives market Finance Research Letters (IF 10.4) Pub Date : 2024-04-24 Gunther Capelle-Blancard, Emna Khemakhem
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Uncertainty and cryptocurrency returns: A lesson from turbulent times International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-24 Barbara Będowska-Sójka, Joanna Górka, Danial Hemmings, Adam Zaremba
This paper explores the interplay between economic uncertainty and cryptocurrency behaviour. Using data spanning from April 2018 to December 2022, we examine the relationship between ten major cryptocurrencies and a repertoire of uncertainty measures covering geopolitical events, economic policy, and commodity, equity, and bond markets. Cryptocurrency returns exhibit dynamic and positive correlation
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Environmental regulations and corporate cash holdings The British Accounting Review (IF 4.761) Pub Date : 2024-04-24 Wenrui Chen, Yue Cao, Yizhe Dong, Diandian Ma
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Unmasking the carbon conundrum: How emissions impact stock price crash risk Finance Research Letters (IF 10.4) Pub Date : 2024-04-23 Vuong Thao Tran, Dinh Hoang Bach Phan, Chwee-Ming Tee, Dat Thanh Nguyen
This study examines the influence of carbon risk on stock price crash risk. Using a comprehensive dataset of 3,417 US companies from 2006 to 2021, we provide evidence that carbon risk is significantly linked to a higher crash risk for firms. Moreover, our findings suggest that this positive association is more pronounced during the Democratic presidency and to companies operating in carbon-intensive
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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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When acquirers are short on cash flow in M&A deals International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-21 Yaru Ren, Lin Li, Wilson H.S. Tong, Peter Lam
Studies on corporate takeovers are voluminous but typically assume that acquirers are not financially constrained. We show that acquirers' free cash flow (FCF) levels have significant impacts on their takeover activities and consequences. Acquirers with low FCF, despite their high levels of cash holdings, tend to pay in stocks rather than cash. The targets acquired by low-FCF acquirers are of inferior
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Is gold always a safe haven? Finance Research Letters (IF 10.4) Pub Date : 2024-04-20 Michael Ryan, Shaen Corbet, Les Oxley
This study reexamines the long-held view of gold as a universal safe haven during stock market downturns. Utilising a dataset from 1979 to 2020, we investigate the conditional nature of gold’s safe-haven status with the S&P 500 index, revealing that the specific drivers of market declines determine the extent of gold’s safe-haven status. Notably, gold’s protective efficacy is pronounced during downturns
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Geopolitical risk and the dynamics of REITs returns Finance Research Letters (IF 10.4) Pub Date : 2024-04-20 Alain Coën, Aurélie Desfleurs
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Machine-learning stock market volatility: Predictability, drivers, and economic value International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-20 Juan D. Díaz, Erwin Hansen, Gabriel Cabrera
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Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-20 Robinson Dettoni, Luis A. Gil-Alana, OlaOluwa S. Yaya
This paper presents a novel approach to identifying potential bubbles in the US stock market by employing alternative time series methods based on long memory, including fractional integration and cointegration, as well as duration dependence non-parametric models. To test for duration dependence, the paper employs a unique non-parametric hazard function estimation method, using monotonic P-splines
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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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Key audit matters disclosures and informed traders The British Accounting Review (IF 4.761) Pub Date : 2024-04-20 Zabihollah Rezaee, Saeid Homayoun
We examine whether the audit regulation of disclosing key audit matters (KAM) provides value-relevant information to short sellers as informed investors. The theoretical underpinning for examining short sellers' ability and incentives to use KAM disclosures in their stock valuation implications is based on a prediction theory and a skilled information processing theory of short sellers. Using a sample
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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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Crime and covenants International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-18 Farhan Shazia
Crime is a major concern in the U.S., with implications for the allocation of resources due to the uncertainty associated with it. This paper examines whether the U.S. state property crime rate is a source of uncertainty that induces lenders to increase and tighten covenants as a result of increased risk. I found that greater crime exposure by borrowers leads lenders to impose higher and tighter covenants
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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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Diversifying and hedging REIT portfolios with cryptocurrencies: Evidence from global and regional REIT indices International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Babatunde O. Odusami, Omokolade Akinsomi
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Revisiting the economic policy uncertainty and resource rents nexus: Moderating impact of financial sector development in BRICS International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Wanqing Yu, Yufei Gan, Bingjun Zhou, Jiapeng Dai
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Does Fintech affect shadow banking of non-financial firms? Evidence from the entrusted loans International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Yongqi Feng, Yue Cao, Juan Ni
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Peer effects in corporate financialization: The role of Fintech in financial decision making International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Haolin Zhang, Yongqi Feng, Ying Wang, Juan Ni
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Options illiquidity in an over-the-counter market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Jungkyu Ahn
This article reveals that the intensity of search determines whether illiquid currency options trade at premia or at discounts. For options in a standalone search market, illiquidity leads to price premia, as intermediating dealers, who are presumably short in the equilibrium, demand additional compensation. With the presence of listed options at exchanges, illiquidity results in price discounts, as
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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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Trading activity of VIX futures and options around FOMC announcements International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Hong-Gia Huang, Wei-Che Tsai, J. Jimmy Yang
This research investigates the information content of volatility trading in VIX derivatives under a high-frequency framework. We provide empirical evidence that the abnormal order imbalances of VIX futures and call (put) options are significantly negative (positive) during FOMC embargoes. Our results remain robust under various empirical approaches for examining FOMC announcements. We also find that
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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