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Issue Information ‐ Standing Call for Proposals for Journal of Accounting Research (IF 4.9) Pub Date : 2024-07-19
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Issue Information ‐ Request for Papers Journal of Accounting Research (IF 4.9) Pub Date : 2024-07-19
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Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium J. Financ. (IF 7.6) Pub Date : 2024-07-18 JEFFERSON DUARTE, CHRISTOPHER S. JONES, JUNBO L. WANG
The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out‐of‐the‐money call options on stocks is −116 basis points per day. Second, Fama‐MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call options. Third, the mean return of heavily
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On the Magnification of Small Biases in Hiring J. Financ. (IF 7.6) Pub Date : 2024-07-18 SHAUN WILLIAM DAVIES, EDWARD D. VAN WESEP, BRIAN WATERS
We analyze a setting in which a board must hire a chief executive officer (CEO) after exerting effort to learn about the quality of each candidate. Optimal effort is asymmetric, implying asymmetric likelihoods of each candidate being chosen. If the board has an infinitesimal bias in favor of one candidate, it allocates effort to maximize the likelihood of that candidate being chosen. Even when the
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Anomaly Time J. Financ. (IF 7.6) Pub Date : 2024-07-18 BOONE BOWLES, ADAM V. REED, MATTHEW C. RINGGENBERG, JACOB R. THORNOCK
We examine the timing of returns around the publication of anomaly trading signals. Using a database that captures when information is first publicly released, we show that anomaly returns are concentrated in the first month after information release dates, and these returns decay soon thereafter. We also show that the academic convention of forming portfolios in June underestimates predictability
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Treasury Richness J. Financ. (IF 7.6) Pub Date : 2024-07-17 MATTHIAS FLECKENSTEIN, FRANCIS A. LONGSTAFF
We provide estimates of Treasury convenience premia across the entire term structure of Treasury bills, notes, and bonds over more than a quarter of a century and document a variety of key stylized facts about their time‐series and cross‐sectional patterns. These results raise concerns about the evolving nature of Treasury markets and suggest that investors may now place less weight on the traditional
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Technological Progress and Rent Seeking Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-07-15 Vincent Glode, Guillermo Ordoñez
We model firms’ allocation of resources across surplus-creating (ie, productive) and surplus-appropriating (ie, rent-seeking) activities. Our model predicts that industry-wide technological advancements, such as recent progress in data collection and processing, induce a disproportionate and socially inefficient reallocation of resources toward surplus-appropriating activities. As technology improves
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Can higher federal funds rates control mortgage lending during periods of high inflation and high house prices? Finance Research Letters (IF 7.4) Pub Date : 2024-07-13 Mohammad Saiful Islam, Jascha-Alexander Koch
The U.S. is facing higher inflation since December 2020 along with higher house prices. After a sharp increase, house prices have started to decline very recently even more drastically – reminding us of the global financial crisis 2007–08. Rather late, from December 2021 onwards, the Fed started to increase the Fed funds rate. However, it is unclear whether the Fed funds rate can control bank lending
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Human Capital Portability and Careers in Finance Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-07-13 Janet Gao, Wenyu Wang, Yufeng Wu
How does firm-specific human capital shape careers in the finance industry? We build a dynamic model where workers accumulate portable and nonportable (firm-specific) human capital and learn about their match quality with employers. Estimating the model using granular data on M&A advisory bankers, we show that a large fraction of bankers’ human capital is nonportable, ranging from 12% to 46% across
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Just Friends? Managers’ Connections to Judges Journal of Accounting Research (IF 4.9) Pub Date : 2024-07-13 STERLING HUANG, SUGATA ROYCHOWDHURY, EWA SLETTEN, YANPING XU
We study the impact of social connections between judges and executives on the outcomes of Securities Class Action Litigation (SCAL). Judges who are socially connected to a firm's executives are significantly more likely to dismiss lawsuits against the firm. There is also evidence of faster resolution and lower payout amounts in connected cases. The favorable outcomes cannot be explained by the lower
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Fair value estimates for illiquid cryptocurrency Int. J. Account. Inf. Syst. (IF 4.1) Pub Date : 2024-07-13 Guangyue Zhang, Alexander Sannella, Gerard Brennan, Muhammad Talha Afzal
To address the need for reporting and disclosure of cryptocurrency holdings in compliance with the FASB guidance for the use of fair value measurements for cryptocurrency (FASB, 2023), this paper develops a modeling process for reporting entities to measure the market value of cryptocurrencies with limited or no observable transactions. In this valuation model, we consider the last observable market
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Unobserved Performance of Hedge Funds J. Financ. (IF 7.6) Pub Date : 2024-07-11 VIKAS AGARWAL, STEFAN RUENZI, FLORIAN WEIGERT
We investigate hedge fund firms’ unobserved performance (UP), measured as the risk‐adjusted return difference between a firm's reported gross return and its portfolio return inferred from its disclosed long‐equity holdings. Firms with high UP outperform those with low UP by 6.36% per annum on a risk‐adjusted basis. UP is negatively associated with a firm's trading costs and positively associated with
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The Decision Relevance of Loan Fair Values for Depositors Journal of Accounting Research (IF 4.9) Pub Date : 2024-07-11 QI CHEN, RAHUL VASHISHTHA, SHUYAN WANG
Using a large sample of U.S. commercial banks from 1994 to 2019, we find that loan fair values are highly relevant for depositor decision making. A one‐standard‐deviation decrease in loan fair value performance is associated with more than 10% lower uninsured deposit flows than the sample average. Information in fair values about loan credit quality is quite limited and cannot account for the bulk
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Does cybersecurity maturity level assurance improve cybersecurity risk management in supply chains? Int. J. Account. Inf. Syst. (IF 4.1) Pub Date : 2024-07-11 Ju Myung Song, Tawei Wang, Ju-Chun Yen, Yu-Hung Chen
This study uses analytical models to investigate whether requiring cybersecurity assurance or a particular maturity level for vendors or contractors will help them improve their cybersecurity management. Our findings suggest that, if a supplier decides on its preferred cybersecurity maturity level without knowing what level a contract requires, the supplier is more likely to exert more effort to improve
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Population aging and corporate human capital restructuring Finance Research Letters (IF 7.4) Pub Date : 2024-07-10 Fenghua Xiao, Jinbo Wang, Huijun Li, Juan Yang
Herein, we examine how population aging influences corporate human capital structure adjustment. The results shows that population aging can upgrade corporate human capital structure, with artificial intelligence as a potential mechanism at work. These results remain valid under various robustness and endogeneity analyses.
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The influence of shareholder ESG performance on corporate sustainability: Exploring the role of ownership structure Finance Research Letters (IF 7.4) Pub Date : 2024-07-09 Paolo Fiorillo, Gianluca Santilli
The increasing emphasis on Environmental, Social, and Governance (ESG) criteria has raised important questions about the role of shareholders in influencing corporate sustainability. Using an international sample of 5,182 companies, we find a positive association between corporate ESG performance and shareholder ESG performance, and this is robust to endogeneity issues. This effect is stronger when
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Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping? Finance Research Letters (IF 7.4) Pub Date : 2024-07-09 Marcin Potrykus
The article investigates the existence of a price bubble in the artificial intelligence market, employing the Generalised Supremum Augmented Dickey-Fuller test and dynamic time warping methodology. It proposes a method to detect the end of the price bubble euphoria phase, generating an average profit of close to 7 % over 5 days and over 10.5 % over 20 days, with almost 90 % effectiveness. The study
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Heterogeneity in the integration of ESG measures in executive compensation: Determinants, contracting details and outcomes The British Accounting Review (IF 5.5) Pub Date : 2024-07-09 Shilin Hou, Jianfeng Shen, Chuan Yu, Shan Zhou
Corporate social responsibility (CSR) contracting incorporates environmental, social, and governance (ESG) related measures in executive compensation plans. Current research on this practice is limited to a US setting, despite global adoption. We investigate heterogeneity in CSR contracting using data from 59 countries between 2002 and 2019. We find that besides firm-level past ESG performance and
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Audit committee personnel training and stock price crash risk Finance Research Letters (IF 7.4) Pub Date : 2024-07-08 Eun Hye Jo, Jung Wha (Jenny) Lee
This study examines whether audit committee personnel training decreases future stock price crash risk. Using a hand-collected Korean sample comprising 2,378 firm-year observations from 2018 to 2022, we find that audit committee personnel training reduces future stock price crash risk by lowering real earnings management and curbing overinvestment. Additionally, our findings are more pronounced for
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Establishment of environmental tribunals and corporate outward investment behaviour Finance Research Letters (IF 7.4) Pub Date : 2024-07-08 HouYang Du, Hang Guo
This paper examines the relationship between establishing environmental tribunals and corporate outward investment. Based on listed firms from 2006 to 2022, this paper adopts a difference-in-difference model to explore the effects and underlying mechanisms. The findings indicate that establishing environmental tribunals can promote corporate outward investment including the willingness, numbers and
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Shattering the glass ceiling: Female leadership and acquisitiveness in family and nonfamily firms Finance Research Letters (IF 7.4) Pub Date : 2024-07-08 Barbara Sveva Magnanelli, Luca Pirolo, Elisa Raoli
This research investigates the impact of female CEOs on mergers and acquisitions (M&As) in family and nonfamily firms. With a sample of 165 Italian listed companies engaged in M&As from 2011 to 2016, the study explores whether CEO gender impacts on firm's acquisitiveness in family and nonfamily firms. Findings indicate that having a female CEO is associated with lower acquisitiveness overall. However
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Environmental regulation and firms' trans-regional investment: Evidence from the implementation of the New Environmental Protection Law Finance Research Letters (IF 7.4) Pub Date : 2024-07-08 Xianhe Qu, Jie Xia
Most literary works delve into the environmental consequences of the New Environmental Protection Law, widely regarded as the most stringent ecological protection legislation ever enacted. This study examines the relationship between implementing the New Environmental Protection Law and the cross-regional investment activities of firms. This study utilizes a difference-in-differences methodology to
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The price of firm-level information uncertainty Finance Research Letters (IF 7.4) Pub Date : 2024-07-08 Xi Wang, Chao Gao, Tianfu Wang
Firm-level uncertainty is difficult to measure in nature. We construct a new measure of firm-level information uncertainty based on uncertainty premium implied by earnings announcement returns. This new measure fundamentally differs from other firm-level uncertainty measures. We find that high-uncertainty firms outperform low-uncertainty firms by 9.59 % per annum on a risk-adjusted basis. Furthermore
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The impact of judicial prejudice in bankruptcy on creditors and local financial development Finance Research Letters (IF 7.4) Pub Date : 2024-07-08 Xue Dong Dai, Lisi Niu
In this research, we explore the implication of judicial prejudice in bankruptcy for creditor interests and local financial market development. Based on prefecture-level data, we find compelling evidence that judicial prejudice leads to capital market frictions. Regions with stronger judicial prejudice have higher borrowing costs. Moreover, judicial prejudice is negatively related to local financial
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Executive education level heterogeneity and corporate internal pay gap Finance Research Letters (IF 7.4) Pub Date : 2024-07-08 Shifei Zhao, Jianwu Liu, Guizhong Jiang
This research aims to explore the connection between executive education level heterogeneity and the corporate internal pay gap. The findings indicate that executive education level heterogeneity raises the corporate internal pay gap, and there is heterogeneity in the impact of executive education level heterogeneity on the corporate internal pay gap with different property rights and industry types
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Are cryptos different? Evidence from retail trading J. Financ. Econ. (IF 10.4) Pub Date : 2024-07-06 Shimon Kogan, Igor Makarov, Marina Niessner, Antoinette Schoar
Trading in cryptocurrencies grew rapidly over the last decade, dominated by retail investors. Using data from eToro, we show that retail traders are contrarian in stocks and gold, yet the same traders follow a momentum-like strategy in cryptocurrencies. The differences are not explained by individual characteristics, investor composition, inattention, differences in fees, or preference for lottery-like
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Why Did Bank Stocks Crash during COVID-19? Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-07-06 Viral V Acharya, Robert Engle, Maximilian Jager, Sascha Steffen
A two-sided “credit-line channel”—relating to drawdowns and repayments—explains the severe drop and partial subsequent recovery in bank stock prices during the COVID-19 pandemic. Banks with greater exposure to undrawn credit lines saw larger stock price declines but performed better outside of crises periods. Despite deposit inflows, high drawdowns led to reduced bank lending, suggestive of capital
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Board roles required for IT governance to become an integral component of corporate governance Int. J. Account. Inf. Syst. (IF 4.1) Pub Date : 2024-07-06 Laura Caluwe, Carla L. Wilkin, Steven De Haes, Tim Huygh
Digitization is fundamentally changing how organizations create and deliver business value, with information technology (IT) leveraged to improve business processes and controls. Its pervasive effects upon organizations’ risk exposures and performance requires boards’ prudent and integrated consideration of the resultant IT opportunities and risk management. However, IT governance research suggests
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Liquidity, Liquidity Everywhere, Not a Drop to Use: Why Flooding Banks with Central Bank Reserves May Not Expand Liquidity J. Financ. (IF 7.6) Pub Date : 2024-07-05 VIRAL V. ACHARYA, RAGHURAM RAJAN
Central bank balance sheet expansion, through actions like quantitative easing, is run through commercial banks. While this increases liquid central bank reserves held on commercial bank balance sheets, demandable uninsured deposits issued to finance the reserves also increase. Subsequent shrinkage in the central bank balance sheet may entail shrinkage in bank‐held reserves without a commensurate reduction
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Currency tail risk measurement and spillovers: An improved TENET approach Finance Research Letters (IF 7.4) Pub Date : 2024-07-05 Shi He, Huijuan Yu, Zihao Luo, Jiahong Yan
Based on an improved TENET approach, this paper analyses the tail risk of 32 major global currencies and measures the tail risk spillover among these currencies using daily data. We find that (i) The tail risk of USD, EUR, GBP and JPY is relatively high, while CNY shows low risk with a continuous upward trend; (ii) The total tail risk connectedness of currencies declines over time, but spikes during
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Monetary tightening and U.S. bank fragility in 2023: Mark-to-market losses and uninsured depositor runs? J. Financ. Econ. (IF 10.4) Pub Date : 2024-07-04 Erica Xuewei Jiang, Gregor Matvos, Tomasz Piskorski, Amit Seru
We develop a conceptual framework and an empirical methodology to analyze the effect of rising interest rates on the value of U.S. bank assets and bank stability. We mark-to-market the value of banks’ assets due to interest rate increases from Q1 2022 to Q1 2023, revealing an average decline of 10 %, totaling about $2 trillion in aggregate. We present a model illustrating how asset value declines due
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Can old sin make new shame? Stock market reactions to the release of movies re-exposing past corporate scandals Finance Research Letters (IF 7.4) Pub Date : 2024-07-04 Le Kang, Han Jiang, Ziye Zoe Nie, Hui Zhou
We study stock market reactions to the release of movies that re-expose past publicly known corporate scandals. Using a sample of 54 event firms featured in 23 movies, we find that these firms have significantly persistent negative abnormal returns following the movie releases. We posit that such negative reactions are associated with the adverse public perception of the firms induced by the scandal
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Government ESG reporting in smart cities Int. J. Account. Inf. Syst. (IF 4.1) Pub Date : 2024-07-04 Yu Gu, Steven Katz, Xinxin Wang, Miklos Vasarhelyi, Jun Dai
Governments shoulder the responsibility of pursuing a variety of sustainability objectives, the consequences of which may not be discernable in traditional reporting frameworks. Environmental, Social, and Governance (ESG) reporting would be a valuable addition to the existing financial, service, and infrastructure aspects of government reporting. While reportable data may be difficult to measure, smart
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High-frequency trading in the stock market and the costs of options market making J. Financ. Econ. (IF 10.4) Pub Date : 2024-07-03 Mahendrarajah Nimalendran, Khaladdin Rzayev, Satchit Sagade
We investigate how high-frequency trading (HFT) in equity markets affects options market liquidity. We find that increased aggressive HFT activity in the stock market leads to wider bid–ask spreads in the options market through two main channels. First, options market makers’ quotes are exposed to sniping risk from HFTs exploiting put–call parity violations. Second, informed trading in the options
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Executive compensation: The trend toward one-size-fits-all J. Account. Econ. (IF 5.4) Pub Date : 2024-07-03 Felipe Cabezon
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Show Your Hand: The Impacts of Fair Pricing Requirements in Procurement Contracting Journal of Accounting Research (IF 4.9) Pub Date : 2024-07-03 BRAD NATHAN
This paper studies how a federal procurement regulation, known as the Truth in Negotiations Act (TINA), affects the competitiveness and execution of government contracts. TINA stipulates how contracting officials (COs) can ensure reasonable prices. Following TINA, for contracts above a certain size threshold, COs can no longer rely solely on their own judgment that a price is reasonable. Instead, they
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Empirical analysis of liquidity thresholds for crypto assets Int. J. Account. Inf. Syst. (IF 4.1) Pub Date : 2024-07-03 Sheng-Feng Hsieh, Gerard Brennan, Alexander J. Sannella
This study applies the methodology of the SEC (2018) to empirically determine thresholds for liquidity of crypto assets, utilizing two metrics for assessing liquidity: the Average Daily Volume (ADV) calculated by the number of units of crypto assets traded (ADV#) and by the traded dollar amounts (ADV$). Our findings reveal that the liquidity distribution patterns for both actively and thinly traded
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The marketing on Big 4 websites of Big Data Analytics in the external audit: Evidence and consequences Int. J. Account. Inf. Syst. (IF 4.1) Pub Date : 2024-07-03 Michael Alles, Glen L. Gray
Leveraging ubiquitous digital data, advanced hardware, and sophisticated software, Big Data Analytics (BDA) enables unprecedented in-depth examination of business processes. This paper investigates how the Big 4 accounting firms promote their use of technology-enabled analytics in auditing practices on their official websites. We find that all the Big 4 market their audit analytics as offering operational
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Can the ‘good-bad’ volatility and the leverage effect improve the prediction of cryptocurrency volatility?—Evidence from SHARV-MGJR model Finance Research Letters (IF 7.4) Pub Date : 2024-07-02 Zhenlong Chen, Junjie Liu, Xiaozhen Hao
In recent years, cryptocurrencies have gained investor attention for their extreme volatility, but this has introduced financial risks that require accurate prediction models. Therefore, we propose the SHARV-MGJR model, which incorporates both ‘good-bad’ volatility, leverage effects, and current return information to enhance the accuracy of cryptocurrency market volatility predictions. Empirical results
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A comment on the relationship between operating leverage and financial leverage Finance Research Letters (IF 7.4) Pub Date : 2024-07-02 Kristoffer Glover
Using a real options model, Sarkar (2020) recently demonstrated that operating and financial leverage are not necessarily substitutes. Once a firm is allowed to optimize their operating capacity (hence operating leverage), an increase in one could in fact lead to an increase in the other. Contrary to the claims made in Sarkar (2020), however, we demonstrate in this note that appealing to a firm’s capacity
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Estimating Discount Functions with Consumption Choices over the Lifecycle Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-07-02 David Laibson, Sean Chanwook Lee, Peter Maxted, Andrea Repetto, Jeremy Tobacman
We estimate β-δ time preferences and relative risk aversion (RRA) using a lifecycle model including stochastic income, liquid and illiquid assets, credit cards, dependents, Social Security, mortality, and bequests. Preference parameters are identified by cross-tabulating four lifecycle age intervals and four balance sheet moments: the share of households carrying (ie, revolving) credit card debt, average
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Contemporary insights on corporate guidance: A discussion of call, Hribar Skinner, and Volant (2024) J. Account. Econ. (IF 5.4) Pub Date : 2024-07-02 William J. Mayew
Guidance is an important and long-studied topic in the accounting literature. Call, Hribar, Skinner, and Volant (this issue) survey managers who provide guidance and those that do not to generate insights on the costs and benefits of providing guidance. For managers who do provide guidance, perceptions regarding guidance characteristics are elicited. Firm responses are connected to archival data sources
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A universal exponent governing foreign exchange rate risks International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-29 Klaus Grobys
Departing from previous studies, this paper uses power laws to model foreign exchange rate risks in terms of realized foreign exchange rate (FX) variances for daily and weekly data. Empirical tests based on daily data provide strong evidence for emergent market risk behavior manifested in a common power-law exponent governing the cross section of realized FX variances. We show that this emergent market
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The Savings of Corporate Giants Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-06-29 Olivier Darmouni, Lira Mota
We construct a novel panel data set to provide new evidence on how the largest nonfinancial firms manage their financial assets. Our granular data show that, over the past decade, bond portfolios have grown to be at least as large as cash-like instruments, driven by the meteoric rise of corporate bond holdings. To shed light on the drivers of this growth, we conduct a pair of event studies around the
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State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices International Review of Financial Analysis (IF 7.5) Pub Date : 2024-06-28 Ping Chen Tsai, Cheoljun Eom, Chou Wen Wang
Current price jump tests assume a constant intra-day volatility pattern (IVP) over sample period. We test this assumption by allowing IVP to depend on some state variables such as the sign of previous returns or the relative levels of volatility. Estimation results from 5-min GARCH model for four equity indices show that squared-return-based IVP weights increase in early morning hours when previous
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Portfolio selection via high-dimensional stochastic factor Copula Finance Research Letters (IF 7.4) Pub Date : 2024-06-28 Zhenlong Chen, Jing Chang, Xiaozhen Hao
In the financial market, different assets typically exhibit time-varying asymmetric dependence in scenarios of rise and fall. To accommodate this feature, this article proposes a novel model, the Skew t stochastic factor Copula model, designed to accurately capture the skewness characteristic of each variable. We employ an expectation-maximization algorithm for variable clustering and demonstrate its
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Missing Financial Data Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-06-28 Svetlana Bryzgalova, Sven Lerner, Martin Lettau, Markus Pelger
We document the widespread nature and structure of missing observations of firm fundamentals and show how to systematically handle them. Missing financial data affects more than 70% of firms that represent about half of the total market cap. Firm fundamentals have complex systematic missing patterns, invalidating traditional approaches to imputation. We propose a novel imputation method to obtain a
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Firm Networks and Asset Returns Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-06-28 Carlos A Ramírez
Changes in the propagation of shocks along firm networks are important to understanding aggregate and cross-sectional features of stock returns. When calibrated to match key characteristics of supplier–customer networks in the United States, a model in which firms are interlinked via enduring relationships generates long-run consumption risks, high and volatile risk premiums, and a small and stable
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Price elasticity of demand and risk-bearing capacity in sovereign bond auctions Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-06-28 Rui Albuquerque, José Miguel Cardoso-Costa, José Afonso Faias
The paper uses bids submitted by primary dealer banks at auctions of sovereign bonds to quantify the price elasticity of demand. The price elasticity of demand correlates strongly with the volatility of returns of the same bonds traded in the secondary market but only weakly with their bid-ask spread. It predicts same-bond post-auction returns in the secondary market, even after controlling for pre-auction
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Policy synergy on stock price crash risk: An intergovernmental perspective Finance Research Letters (IF 7.4) Pub Date : 2024-06-27 Yinchao Liao, Jun Wang, Lei Liao, Xiaoyang Shu, Tao Peng
Both central and local government policies present implications for companies and investors. While several studies evidence that government policies shape corporate behaviors, few studies have explored them from an intergovernmental view. This research constructs a new measurement of intergovernmental policy synergy with text-based tools and reveals an inverted U-shaped relation between central-local
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Complexity of CEO compensation packages J. Account. Econ. (IF 5.4) Pub Date : 2024-06-27 Ana Albuquerque, Mary Ellen Carter, Zhe (Michael) Guo, Luann J. Lynch
This paper examines complexity in CEO compensation contracts. We develop a measure of compensation complexity and provide empirical evidence that complexity has increased substantially over time. We document that complexity results not only from factors reflecting efficient contracting, but also from external pressures from compensation consultants, institutional investors, proxy advisors, and attempts
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Quantitative easing and bank risk-taking: Evidence from the federal reserve's large-scale asset purchases Finance Research Letters (IF 7.4) Pub Date : 2024-06-26 Zheng Zhang, Wenxue Wang, Ciji Song
This study uses individual bank balance sheet data from the United States to investigate the effects of the Federal Reserve's large-scale asset purchases, which are commonly known as quantitative easing (QE), on bank lending standards and risk-taking behaviour. Covering all three phases of QE (QE1, QE2 and QE3), we find a consistent and significant reduction in bank lending standards during each phase
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Financial contagion in cryptocurrency exchanges: Evidence from the FTT collapse Finance Research Letters (IF 7.4) Pub Date : 2024-06-26 Luca Galati, Alexander Webb, Robert I. Webb
To what extent does the collapse of a digital token spread contagion across cryptocurrency markets? How do markets incorporate information in this turbulent setting? We examine contagion effects across major digital exchanges during the collapse of the FTX exchange and its token, FTT. We find evidence of contagion across crypto exchanges. We also examine the information cascade effects of other crypto
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A simulated electronic market with speculative behaviour and bubble formation Finance Research Letters (IF 7.4) Pub Date : 2024-06-26 Nicolas Cofre, Magdalena Mosionek-Schweda
This paper presents an agent-based model of an electronic market with two types of trading agents. One type follows a mean reverting strategy and the other, the speculative trader, tracks the maximum realized return. Our research provides synthetic datasets of the order book (level 3) to study its dynamics under different levels of speculation. Inspired by the GameStop trading frenzy, we study the
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Are Bitcoin option traders speculative or informed? Finance Research Letters (IF 7.4) Pub Date : 2024-06-26 Wang Chun Wei, Dimitrios Koutmos, Min Zhu
Are Bitcoin option traders speculative or do they have an informational advantage over the market? We explore this question using tick data from Deribit, one of the largest cryptocurrency option exchange platforms. Compared to other option platforms, Deribit is largely unregulated and makes for an ideal testing ground for this question. This is because if there are traders who possess privileged information
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The asymmetric effects of upside and downside risks in cryptocurrency markets: Insights from the LUNA and FTX crises Finance Research Letters (IF 7.4) Pub Date : 2024-06-26 Abuduwali Aibai, Jiansuer Julaiti, Shangde Gou
Unlike conventional studies on the risk dynamics of cryptocurrency markets, this paper innovatively distinguishes between good and bad volatility to more accurately measure the market's risk spillover under both good and bad shocks. By constructing a network of cryptocurrency market risk spillovers, we delve into the asymmetry between good and bad volatility in the context of risk spillover. Specifically
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Borrow now, pay even later: A quantitative analysis of student debt payment plans J. Financ. Econ. (IF 10.4) Pub Date : 2024-06-25 Michael Boutros, Nuno Clara, Francisco Gomes
In the U.S., student debt is currently the second largest component of consumer debt. Households are required to repay these loans early in their lifecycle, when marginal utility is particularly high. We study alternative contracts that offer partial or full payment deferral until later in life. We calibrate an economy with the current contracts, and then solve for counterfactual equilibria. The alternative