We study the novel Markov-switching (MS) Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model, using within-regime volatility dynamics, similar to the recent observable-switching (OS) Beta-t-EGARCH model. We report in-sample results on the Standard & Poor’s 500 (S&P 500) and a random sample of 50 firms from the S&P 500 from March 1986 to July 2024. We compare

Horikawa and Nakagawa (2024) claim that in a complete market admitting statistical arbitrage, the difference between the deep hedging and the replicating portfolio hedging positions is a statistical arbitrage. Deep hedging can thus include an undesirable speculative component. We test whether this remains true in a GARCH-based incomplete market dynamics. We observe that the difference between deep

In this paper, we employ the CARMA(p,q)-Hawkes model to investigate the intraday jumps observed in the corporate bond prices. We introduce a bivariate extension of the model, which deals with the cross-effect of upward and downward price movements. An empirical analysis is conducted on green and brown bonds with analogous characteristics. The findings indicate that higher-order univariate/bivariate

This paper explores the complex relationships between financial inclusion, fintech adoption, the Human Development Index (HDI), and green finance in promoting environmental sustainability within E-7 economies. Using structural equation model, our analysis reveals a significant direct impact of HDI on environmental sustainability, with green innovation serving as a crucial mediator. These findings highlight

This paper investigates how nepotism culture affects SMEs’ innovation behavior. Using a large international datasets of small and medium enterprises, we establish the negative effect of nepotism culture on SMEs’ innovation, and observe the heterogeneous impact based on the presence of informal payments, financial constraints, and female ownership. Our results suggest that nepotism culture hinders highly

This study analyzes the impact of an event on November 11, 2022, when a fake “certified” Twitter account falsely claimed that Eli Lilly's insulin would be provided for free. We examine spillover effects on competitors within the insulin market oligopoly. Our findings reveal that while competitors experienced short-term impacts, these were weaker and of shorter duration compared to Eli Lilly. Spillovers

The impact of a company's environmental, social, and governance performance (ESGP) on firm value is a widely discussed question; however, findings are not conclusive. Using panel analysis on 5,540 listed companies from 43 countries between 2018 and 2022, we explore the impact of composite ESGP and its pillars on firm value. We investigate how country level of economic and sustainability development

Our study examines the impact of corporate site visits on the speed of leverage adjustment. We demonstrate that the visits significantly accelerate leverage adjustment, especially in firms with high analyst forecast dispersion and severe financial constraints. Additionally, corporate site visits act as a catalyst, aiding firms in moving toward their target leverage by reducing information asymmetry

This paper investigates the spillover effects among global climate policy uncertainty (GCPU), global biodiversity attention (GBA) and the stock markets of the G7 and BRICS nations. In the static network, GBA's spillover effects towards stock markets are mild, with the US market experiencing the highest net spillover, while GCPU shows a large and widespread effect on various stock markets. In the dynamic

In this paper, we study the valuation of options with hybrid default risk when the underlying assets are driven by a two-factor stochastic volatility model. The hybrid default model is developed by integrating the reduced-form and structural models, and the correlation between the underlying asset and default risk is considered. In the proposed framework, we adopt the probabilistic approach based on

This paper introduces the perspective of red culture to examine its governance effect on corporate excess leverage. We robustly find that red culture significantly curbs corporate excess leverage. The primary mechanisms are the enhancement of corporate social responsibility and the strengthening of organizational discipline. Furthermore, the effect is more pronounced in state-owned enterprises and

Study explores CEO duality's impact on ESG-EM relationship in six emerging markets. Findings reveal that ESG disclosures constraints accrual earnings management; however, high ESG scores lead to higher real earnings management, indicating possible greenwashing behavior. For three pillars of ESG, we find that firms with environmental disclosures constrain EM, while social disclosures tend to enhance

In recent years, the investment fund industry has had a strong boost around the world, both in assets under management and in the number of funds and participants. This growth in supply and demand could be described as spectacular despite several crises in the financial markets during the last two decades. In this study, we examine and compare a sample of mutual funds across 35 countries for the 1990–2023

This study is based on data from Shanghai and Shenzhen A-share listed companies from 2011 to 2022, exploring the relationship between rookie CEOs and enterprise earnings management and its mechanism of action. The results show that the rookie CEOs have a significantly positive impact on enterprise earnings management. The quality of internal controls plays a negative moderating role in the relationship

This study uses a stochastic dominance approach to investigate portfolio performance based on Environmental, Social and Governance (ESG) criteria. Specifically, we conduct a series of stochastic dominance tests to determine whether high-ESG portfolios outperform low-ESG and market portfolios. The results reveal that, in the short term, no significant dominance relationships exist between high- and

Litigation risk not only raises a company's operational costs but also can result in potential losses. This paper investigates the impact of corporate social responsibility (CSR) performance on litigation risk, using non-financial and non-insurance companies listed on the Shanghai and Shenzhen A-share markets as the research sample. The study's findings indicate that higher CSR performance effectively

We propose a knowledge operator based on the agent’s possibility correspondence which preserves her non-trivial unawareness within the standard state-space model. Our approach may provide a solution to the classical impossibility result that ‘an unaware agent must be aware of everything’.

This study investigates the efficiency of cryptocurrency markets by examining the presence and exploitability of arbitrage opportunities. Using high-frequency data from the Binance Exchange, we implement a triangular arbitrage strategy, considering Bitcoin, Litecoin, and the U.S. Dollar. We find 4,879 possible arbitrage opportunities. Although these findings suggest potential inefficiencies, transaction

We present a rational expectation equilibrium model to explore how ESG rating disagreement impacts stock returns. Our findings reveal that high disagreement in ESG rating is associated with high return volatility risk, which potentially leads to increased stock returns. Our empirical results confirm a positive impact of ESG disagreement on stock returns, reinforcing our theoretical findings. The mechanism

Using the Ethereum Merge upgrade — a transition from Proof-of-Work (PoW) to Proof-of-Stake (PoS) — as a natural experiment, this study identifies a cooperation channel driven by informed PoS validators, in contrast to the energy-intensive competition among PoW miners. We document that PoS achieves more efficient consensus through shorter block times and higher transaction throughput, and find increased

This article mainly explores the moderating effect of financial freedom on the effectiveness of government intervention in financial stability. To find more effective and accurate intervention measures, this article compares government intervention from two aspects: fiscal policy, represented by government spending and monetary policy, represented by monetary freedom. Financial stability is no longer

This article develops a dual-oligopoly differential game model to analyze how technological impacts influence product market competition. This model undertakes a systematic examination of the strategic balancing act enterprises engage in when confronted with technological innovation opportunities, weighing market returns against information disclosure costs in the context of IPO decision-making. The

This paper explores the relationship between financial derivatives and wealth inequality. While previous studies have acknowledged a connection between finance and inequality, the precise nature of this relationship remains uncertain. Our study aims to contribute to this discourse by isolating the impact of financial derivatives on wealth distribution, controlling for other financial factors. Using

This study explores the impact of the New Budget Law, representing local government debt governance, on corporate credit discrepancies. Findings indicate that the New Budget Law can reduce corporate credit mismatch allocation based on the data from 2011 to 2023. Furthermore, the positive effects are achieved by reducing financing costs, increasing the availability of corporate finance, and reducing

This study investigates the correlation between the trans-regional investment of high-tech firms and digital transformation. We employ a two-fixed model based on listed firms from 2011 to 2022 to investigate the effects and fundamental mechanisms. Findings suggest that digital transformation can encourage high-tech firms to invest in trans-regional markets. This investment is accomplished by reducing

This study addresses the bilateral matching of data assets with expected levels in digital innovation ecosystems, incorporating regret-avoidance behavior. First, given the potential hesitation between two parties throughout the matching process, expressing preference information using probability hesitant fuzzy sets is reasonable. Second, the Lance scoring function best captures the gap in expectation

This study found that the more data assets held by a company, the higher its level of green innovation. This result was still significant after the instrumental variable method, exogenous policy shock mitigation endogeneity and a series of robustness tests. Data assets promote green innovation by alleviating the constraints on corporate financing and increasing the efficiency of green research and

We investigate the dual influence of fintech and financial inclusion on diverse sustainable development goals, including SDG 2, 3, 4, 8 and 9, based on panel data of 86 countries. A quantile regression analysis shows that fintech has a favorable influence on education at higher quantiles. Additionally, Fintech and financial inclusion positively enhance GDP (SDG 8) and internet (SDG 9) upto 50th quantiles

Drawing on data from agribusinesses spanning 2000 to 2022, we uncover the non-linear effects of digital inclusive finance breadth and depth on their digital transformation. First, a U-shaped relationship exists between the breadth and depth of digital inclusive finance and the digital transformation of agribusinesses. Second, cash flow moderates the U-shaped relationship between the breadth of digital

Environmental, social, and governance (ESG) ratings are fundamental tools; however, their underlying methodologies often involve complex aggregation processes. Although research on ESG has been expanding, the influence of specific indicators and categories on overall ESG scores remains insufficiently explored. This paper examines the contributions of social and environmental outcome and impact indicators

This study adopts advanced causal machine learning (ML) techniques to investigate the impact of country-level corruption on the market valuation of firms’ environmental, social, and governance (ESG) performance. By employing double-debiased machine learning (DML) and linear regression analysis, we find that ESG performance positively influences firm value. This positive relationship is more pronounced

As global economic integration deepens, the internationalization of enterprises has emerged as a crucial strategy for market expansion and enhanced competitiveness. In this landscape, trade digitization is an emerging trend that is progressively reshaping international trade, with significant implications for the speed of enterprise internationalization. This paper explores the intrinsic relationship

We examine the interlinkages between cryptocurrency prices, the energy consumption of crypto mining, and the resulting CO2 emissions, considering the conditioning impact of geopolitical risk (GPR). Employing multivariate quantile-on-quantile regression (MQQR), we find that cryptocurrency price fluctuations significantly impact both cryptocurrency mining and its attendant environmental impact, particularly

This study exploits new quantitative data to investigate the reduction effect of the city’s low-carbon policy intensity on corporate carbon emissions, revealing the pivotal role of formal carbon regulations. Potential mechanisms are explored from corporate sustainable transformation strategies, and some heterogeneity is presented.

This paper delves into the correlation between multiple credit ratings and the financing costs associated with asset securitisation, utilising data spanning from 2012 to 2022 pertaining to credit, corporate asset-backed securities, and asset-backed notes. The research reveals that incorporating multiple credit ratings, as opposed to relying solely on a single rating, favourably impacts the accessibility

In this paper, we empirically explore the impact of financial constraints on firms’ efficiency. To this end, we estimate a stochastic production frontier model, addressing input endogeneity and incorporating “environmental” variables that may impact efficiency. Using four distinct financial constraint indexes, we show that firms facing such constraints may be more efficient. This can be attributed

We test a trading strategy based on SEC Form 4 insider trading filings in the post Sarbanes–Oxley Act period. Using intraday data, we analyze whether a prompt reaction to the announcement would earn abnormal returns. We find positive but lower abnormal percentage returns than in previous studies for short holding periods, but they vanish and even become negative when limiting the tradable dollar amount

This study employs generative adversarial network (GAN) models to forecast 5-minute foreign exchange (FX) rate returns. Compared to the Long Short-Term Memory (LSTM) model, GAN demonstrates a significant economic advantage. Notably, the GAN that incorporates limit order events outperforms those that consider liquidity and market order variables. Additionally, the GAN with limit orders achieves tangible

We study how external economic and market uncertainty factors affect investors’ risk aversion. Utilizing TVP-VAR framework, we examine the impact of economic policy uncertainty (EPU), monetary policy uncertainty (MPU), geopolitical risk (GPR), and investor sentiment (Sent) on the risk aversion index (RAI). Our analysis reveals that (i) EPU and MPU are primary transmitters of shocks, significantly influencing

As the 2024 U.S. presidential election looms, the intersection of cryptocurrency and political finance has garnered significant interest. This study explores the new crypto category of PolitiFi, which merges politics and finance and is linked to political figures and agendas. Our analysis underscores the strategic deployment of these tokens to enhance visibility, shape narratives, and appeal to younger

Do investors perceive climate risk at the portfolio level in mutual funds? By combining detailed fund portfolio data with firm management discussion and analysis (MD&A) and annual reports, we construct a portfolio-level climate risk metric for funds and assess its impact on fund flows. Our findings reveal that investors, driven by precautionary concerns, tend to withdraw from funds with higher portfolio

This study examines the effects of economic policy uncertainty, categorical economic policy uncertainties, and pandemic uncertainty on the cash holdings of firms operating in the US healthcare industry. The SYS-GMM methodology is applied for 466 firms from 2001 to 2022. The results show that all uncertainties positively affect cash holdings contemporaneously, albeit at different magnitudes. Monetary

We investigate how digital financial inclusion, the Belt and Road Initiative, and the Paris Agreement influence the energy transition grid cost. We propose two new Kendall and Spearman wavelet cross-quantile correlation methods and utilize data from June 1, 2018, to July 31, 2024. Our findings indicate that digital financial inclusion, the Paris Agreement, and artificial intelligence significantly

This paper investigates the differential impact of human versus machine SEC filing downloads on trading activity in the OTC market. Human downloads drive immediate, significant increases in trading volume, especially for filings requiring qualitative interpretation, whereas machine downloads produce delayed and muted effects, mainly impacting standardized filings. These findings underscore the essential

This study investigates the impact of environmental, social, and governance (ESG) performance on reputational penalties imposed on companies involved in corporate fraud. We introduce the concept of the expectation gap between ESG performance and subsequent fraudulent behavior to explain how the media enforces reputational penalties as a response to image reversal. Our results indicate that higher ESG

This study investigates whether political news from Donald J. Trump affects European stock markets. We use realized volatility and the HAR-RV model to examine the effect of Trump's tweets on the stock market volatility in Germany, France, and the UK during his last presidential term. Results indicate that Trump's tweets positively impact volatilities in European stock markets, with these impacts increasing

This study examines the impact of Generative AI (GAI) financing on financial development (FD) across 21 countries using cross-sectional data from 2020 to 2022. Employing both simple linear regression and two-stage least squares (2SLS) to address endogeneity, we find that GAI financing significantly contributes to financial development, with stronger effects observed in Asian and non-European regions

This paper explores the dynamics of financial connectedness in Vietnam and examines how interconnectedness among financial institutions – across banking, insurance, and securities sectors – affects the stability and resilience of the financial system. Using the network framework of Diebold and Yılmaz (2014), we present several key findings: first, we observe a consistently high level of interconnectedness

Prior work provides conflicting evidence on whether macro-finance variables can be used to improve predictability of aggregate volatility relative to the naïve benchmark. This paper contributes to this literature by introducing boosted neural networks as a novel statistical approach that learns from its errors and incorporates nonlinearity. This technique is utilized to reexamine the forecasting ability

This study examined the impact of board independence on corporate governance and the mediating role of financial asset allocation. Data analysis of nonfinancial A-share companies in Shanghai and Shenzhen from 2015 to 2022 indicates that board independence positively correlated with corporate governance level; this was partially mediated by financial asset allocation. The findings can optimize board

We assess whether the CNN “Fear and Greed” Index can be used to predict returns on equity indices and gold. Using static tests, we find that the Fear and Greed Index Granger causes returns on the S&P 500, Nasdaq Composite and Russell 3000 indices in the first sample period (2011–2020), but not gold returns. Analysis from 2021 to 2024 indicates the Fear and Greed index Granger causes S&P 500 and Nasdaq

This paper studies the relation between the monetary policy rate and the natural rate of interest in the euro area and the United States across the periods of conventional monetary policy (CMP) and unconventional monetary policy (UMP). The unobserved time series of the natural rate of interest is estimated at the monthly frequency at which the relation between the policy rate and the natural rate is

This study explores key considerations for interpreting feature influence and importance in Machine Learning (ML) for financial models that commonly assume linearity. Simulations demonstrate that ML techniques, including Random Forest, XGBoost, and CatBoost, may produce misleading feature importance ranks when the underlying model is linear. We empirically examine the Fama–French five-factor model

This paper explores the effects of knowledge-intensive business services (KIBS) clustering and digital financial inclusion on economic growth quality as well as their synergistic interactions. The results indicate that KIBS clustering positively impacts growth quality but excessive clustering can lead to resource competition that hinders development. Digital financial inclusion mitigates this negative

Employing the Method of Moments Quantile Regression alongside fixed effects (FE) for robustness and incorporating an interaction term between technological advancement (TA) and financial inclusion (FIN), the results reveal that while TA enhances environmental quality, the FIN∗TA weakens this positive effect across quantiles. GDP and TO consistently show negative impacts on LCF. EP, however, emerges

This study used event study methodology to examine the impact Hindenburg Research short-seller reports on targeted firms. The results show negative abnormal returns in firms when those reports reveal bad news about malpractices and misconduct. Our results show a higher negative stock market reaction to the Hindenburg reports when target firms are small, have higher leverage, higher Tobin's Q, and corporate

The State-owned Equity Funds is a investment fund set up by the State to guarantee social security measures. Using data from publicly listed firms on the Shanghai and Shenzhen A-share markets from the year of 2007 to 2022, this paper empirically investigates the impact of State-owned Equity Funds investments on corporate innovation. Furthermore, it explores the mediating role of reduced debt costs

Truncation—the absence of deep out-of-the-money option price observations—exhibits significant underlying return predictive and forecasting power. Incorporating truncation into S&P500 spot return models improves both in-sample predictive accuracy and out-of-sample forecasting performance. The close relationship between truncation, underlying returns, and option-implied moments offers a potential explanation

Focusing on the multi-stage complex logistics distribution process of distribution centers, this study proposes and establishes a characteristic state model, analysis, and control methods for logistics distribution centers. These are combined with system dynamics simulation methods for logistics systems to conduct an in-depth study on the optimization and control of distribution center operations.