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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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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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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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Cross-exchange crypto risk: A high-frequency dynamic network perspective International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-06 Yifu Wang, Wanbo Lu, Min-Bin Lin, Rui Ren, Wolfgang Karl Härdle
Cross-exchange crypto trading presents inherent risks, particularly for centralized exchanges. Investors observe exacerbating crypto volatility and counterparty risk and would like to quantify these elements of crypto trades. The multiple exchanges require a multivariate view on the structures of risk spillover across exchanges. Here, a Multivariate Heterogeneous AutoRegression (MHAR) model is designed
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Seeking a shock haven: Hedging extreme upward oil price changes International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-01 Thomas Conlon, Shaen Corbet, Yang (Greg) Hou, Yang Hu, Les Oxley
Crude oil is prone to large upward price shocks, creating challenges for personal and corporate budgeting and the economy more broadly. In this paper, we systematically assess a range of possible assets which might function as against large oil price shocks. Empirical tests uncover a rich set of assets which act both as hedges and shock havens, including precious metals, soft commodities and, with
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The black box of natural gas market: Past, present, and future International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-31 Alessia Palma, Andrea Paltrinieri, John W. Goodell, Marco Ercole Oriani
The increasing importance of natural gas in ensuring energy security, coupled with the impact of the COVID-19 crisis and the ongoing Russian-Ukraine war, motivates us to highlight the scholarly evolution of the literature on natural gas. From an initial pool of 53,964 papers, we refine our database, analyzing 1006 papers. By combining bibliometric and content analysis, we identify leading journals
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Investing while lending: Do index funds improve managerial information disclosure? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-30 Yunhe Dong, Haoyi Luo, Zijin Xu, Xing Yang
Securities lending activities have become pervasive among index funds in recent decades, yet its impact on information disclosure remains unclear. In this paper, we jointly investigate the information disclosure impact of both investing and lending activities of index funds, using a sample of the U.S. firms for 2002–2017. On the one hand, we document that securities lending deteriorates the information
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Machine learning and the cross-section of cryptocurrency returns International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-30 Nusret Cakici, Syed Jawad Hussain Shahzad, Barbara Będowska-Sójka, Adam Zaremba
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Bitcoin price volatility transmission between spot and futures markets International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-29 George N. Apostolakis
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Dynamic impacts of multidimensional uncertainty on the renminbi exchange rate: Insights from time-varying analysis International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-28 Man Lu, Wei Wang, Fengwen Chen, Hongmei Li
Using a time-varying model, this study investigates the dynamic impact of multidimensional uncertainty by considering data from the policy, finance, and energy markets on the renminbi (RMB) exchange rate from 2001 to 2022. It analyzes specific influence patterns during critical economic periods. We find that multiple dimensions of uncertainty influence the RMB exchange rate rapidly and that these influences
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Practical forecasting of risk boundaries for industrial metals and critical minerals via statistical machine learning techniques International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-28 Insu Choi, Woo Chang Kim
This study examines the application of machine learning in predicting price risk boundaries for industrial metals and critical minerals, emphasizing the role of statistical dependencies among their yields. Given these commodities’ pivotal role in various industries and their influence on the global economy, accurate forecasting of their price boundaries is critical. Our research employs statistical
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Do green investments improve portfolio diversification? Evidence from mean conditional value-at-risk optimization International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-28 Hachmi Ben Ameur, Zied Ftiti, Waël Louhichi, Mohamed Yousfi
This study investigates how green investment assets improve optimal portfolio diversification in terms of tail downside risk. We use the wavelet conditional value-at-risk ratio to explore the benefits of adding green assets to conventional portfolios. We quantify risk based on the contagion between conventional stock market indices and green environmental assets, including a sustainability index, clean
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A Modigliani-Miller theorem for the public finances of globalized economies International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-28 Biagio Bossone
In line with the capital structure irrelevance principle of Modigliani and Miller (1958), this article shows that when international capital allocation choices are determined by well-informed, deep-pocketed global financial investors, there are no net gains a government of a highly internationally financially integrated (“globalized”) economy can consistently extract from resorting to one type of deficit
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Do central bankers' characteristics matter for Africa? Ethnic favoritism, fractionalization, and inflation International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-28 Christine Strong, Constant L. Yayi
Using a newly constructed dataset over the period 1984–2017 for 21 African countries, this study investigates the influence of central bankers' personal characteristics, including educational and professional backgrounds, as well as ethnic affiliation, on inflation. The central hypothesis posits that shared ethnic affiliation between the central banker and the head of the executive branch signals an
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It is a small world: The effect of analyst-media school ties on analyst performance International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-27 Yongzhen Guo, Yinghuan Wang
We examine the effect of school ties between sell-side analysts and media executives on the improvement in analysts' performance during the release of informative negative news. Our baseline results and mechanism tests show that analysts obtain fragmented private information to improve their earnings forecast accuracy by taking advantage of the school ties with financial media executives. To establish
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Banking competition, credit financing and the efficiency of corporate technology innovation International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-27 Xiaohua Liu, Qiuhan Zhao
Based on the data spanning 2010 to 2022, this study delves into how banking competition impacts the efficiency of enterprise science and technology innovation by lowering credit costs, enhancing credit availability, optimizing credit allocation, and offering empirical evidence for the significant role of banking competition in influencing corporate technology innovation efficiency. This paper concludes
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Corporate social responsibility and the choice of payment method in mergers and acquisitions International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-26 Hong Vo, Hien T. Nguyen, Hieu V. Phan
This study examines the relationship between corporate social responsibility (CSR) and the choice of payment method in mergers and acquisitions (M&As). We find that acquiring firms' CSR is positively related to cash payments but negatively related to stock payments for acquisition deals, particularly for poorly governed firms with excessive CSR. Further analysis indicates that cash payments are positively
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ESG scores and debt costs: Exploring indebtedness, agency costs, and financial system impact International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-25 Carlos Francisco Alves, Lilian Lima Meneses
This paper provides evidence that conventional risk measures (Merton Distance to Default, Altman -Score, Z-Score and Volatility) fail to capture all the relevant information to assess borrower risk. Moreover, the paper shows that the additional information contained in ESG scores has a negative relationship with the cost of debt, and this relationship is economically significant. In addition, companies
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Enhancing cryptocurrency market volatility forecasting with daily dynamic tuning strategy International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-25 Lingbing Feng, Jiajun Qi, Brian Lucey
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Inflation prediction in emerging economies: Machine learning and FX reserves integration for enhanced forecasting International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-23 Nawazish Mirza, Syed Kumail Abbas Rizvi, Bushra Naqvi, Muhammad Umar
The present study makes two significant contributions to the extended body of literature in the context of International Finance. First, it forecasts the inflation in an emerging economy by employing a combination of traditional forecasting and models to test whether machine learning models outperform traditional forecasting models. Second, it explicitly includes an often-neglected variable i.e. foreign
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CEO overconfidence and the informativeness of bank stock prices International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-23 Anh-Tuan Le, Anh-Tuan Doan, Kun-Li Lin
This study examines the effect of the overconfidence of chief executive officers (CEOs) on the informativeness of banks' stock prices. Using an option-based overconfidence measure, we demonstrate that banks with overconfident CEOs have less informative stock prices. This finding is robust to alternative measures of overconfident CEOs and to addressing endogeneity with propensity score matching, an
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The effects of membership expansion on credit union risk and returns International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-22 Jordan van Rijn
Between 1996 and 2022, regulatory changes led to over a thousand federally chartered credit unions converting to community charters, significantly increasing credit union membership. This study attempts to determine whether these developments improve safety and soundness by enabling credit unions to diversify their loan portfolios, or whether risk increases as the social capital of a tight common bond
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Cryptocurrency anomalies and economic constraints International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-21 Christian Fieberg, Gerrit Liedtke, Adam Zaremba
The asset pricing literature documents a growing list of predictable patterns in the cross-section of cryptocurrency returns. But can they be forged into viable trading profits? We answer this question by examining the interplay between economic restrictions and return predictability in cryptocurrency markets. We find that size and volume anomalies originate from micro-cap coins of negligible economic
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Presidential economic approval rating and trade credit International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-21 Augustine Tarkom, Lukai Yang
Trade credit has become crucial for businesses, financial institutions, and policymakers due to the significant role it plays in the economy and financial management. In this paper, we discuss how an important public opinion index, the Presidential Economic Approval Rating (PEAR), impacts a firm's decision to supply trade credit. We find convincing evidence that PEAR is positively correlated with trade
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Do vocal cues matter in information disclosure? Evidence from IPO online roadshows in the SSE STAR market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-21 Shengpeng Zhang, Yaokuang Li, Yu He, Ruixin Liang
In this study, we investigate whether vocal cues expressed by management in IPO online roadshows in the SSE STAR Market play an information role. Using deep learning techniques, we classify the emotional tendencies of vocal cues in IPO online roadshows and construct quantitative proxy variables. After a series of empirical analyses, we find that vocal emotions are positively associated with first-day
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Determinants of corporate credit ratings: Does ESG matter? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-20 Lachlan Michalski, Rand Kwong Yew Low
We perform an empirical evaluation of fourteen multinomial classifiers in the prediction of credit ratings on a large dataset consisting of macroeconomic, firm-level financial, and environmental, social, and governance (ESG) variables. Random forests and extremely randomized trees exhibit the highest predictive power for US and global firms. We show that environmental and social responsibility variables
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To be green or not to be: How governmental regulation shapes financial institutions' greenwashing behaviors in green finance International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-20 Changyu Liu, Jing Wang, Qiang Ji, Dayong Zhang
Green finance provides important economic support for environmental protection and carbon reduction. However, some financial institutions engage in greenwashing behaviors (GWBs), which raise funds through green finance products (GFPs) without investing in green projects and falsely disclosing environmental information. The GWBs of financial institutions result in tremendous pressure on governmental
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Operational analysis of crowdfunding on business: A perspective of product competition International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-20 Ju Wei, Xiaomin Gong, Xiao Cao
With the emergency expansion of applying crowdfunding as a marketing tool for financing, a creative product, crowdfunding has been treated as a marketing-operations interface model to develop new products. However, the broad questions of whether and how the characteristics of crowdfunding affect product development strategies in the post-funding market have received limited attention in prior literature
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Volatility spillovers and hedging strategies between impact investing and agricultural commodities International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-19 Ameet Kumar Banerjee, Md Akhtaruzzaman, Ahmet Sensoy, John W. Goodell
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From concept to capital: Investigating the influence of green innovation on equity financing in BRICS economies International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-19 Qianqian Chen
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Across the faultlines: A multi-dimensional index to measure and assess board diversity International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-19 Tamer Elshandidy, Matthew Bamber, Hossam Omara
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Network centrality, information diffusion and asset pricing International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-19 Miao Yu, Xiaolu Hu, Angel Zhong
This paper empirically investigates the asset pricing implications of trade network topology in the Australian equity market, emphasizing its role in economic shock propagation and information dissemination. We explore the influence of industries' network positions on the paradigm of risk and return. Empirical results demonstrate that industries located in the centre of the trade network, benefiting
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Zoom in on momentum International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-18 Junyong Kim
Portfolios sorted by momentum show stronger return monotonicity than those formed using other anomalies. Compared with other strategies, the performance of such a momentum strategy improves monotonically with the number of portfolios. These improvements are significant beyond the influences of the usual pricing factors. Momentum factors based on more portfolios span those based on fewer portfolios
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Does a consistently capitalized R&D ratio improve information effects of capitalized development expenditures? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-18 Joe (Joonghi) Cho, Heejung Kim
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Fintech and financial sector: ADO analysis and future research agenda International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-18 Priya Choudhary, M. Thenmozhi
This study provides a comprehensive systematic literature review on fintech and adds valuable insights to the growing fintech knowledge. Based on PRISMA, we identified 141 research papers published in A and A* Journal categories from 2008 to 2022. The review shows that the fintech literature could be classified into four major thematic areas: inter-dynamics between banks and fintech, fintech business
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Does greenwashing affect Company's stock Price? Evidence from Europe International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-17 Emanuele Teti, Leonardo L. Etro, Lorenzo Pausini
The purpose of this paper is two-fold: (1) investigate on the existence of market reactions to greenwashing announcements in Europe and (2) analyse whether corporate environmental performance measured by ESG ratings does play a role in differentiating market reactions once greenwashing news have been published. We use as reference The Corporate Climate Responsibility Monitor 2022 to identify greenwashing
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Prescreening bank failures with K-means clustering: Pros and cons International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-16 Dror Parnes, Alper Gormus
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Prediction of realized volatility and implied volatility indices using AI and machine learning: A review International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-16 Elias Søvik Gunnarsson, Håkon Ramon Isern, Aristidis Kaloudis, Morten Risstad, Benjamin Vigdel, Sjur Westgaard
In this systematic literature review, we examine the existing studies predicting realized volatility and implied volatility indices using artificial intelligence and machine learning. We survey the literature in order to discover whether the proposed methods provide superior forecasts compared to traditional econometric models, how widespread the application of explainable AI is, and to outline potential
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Examining the impact of a central bank digital currency on the access to banking International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-16 Kwamie Dunbar, Daniel N. Treku
This study examines the potential social change associated with technological innovations such as a central bank digital currency (CBDC), via the CBDC's ability to reduce the level of a nation's unbanked and underbanked households. We use data on the United States' unbanked and underbanked populations from the Federal Deposit and Insurance Agency. Our results reveal that an increased public awareness
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Economic policy uncertainty and managerial short-termism International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-16 Eun Hye Jo, Jung Wha Lee
Economic policy uncertainty (EPU) has been on the rise worldwide in recent decades and affects macroeconomic and firm performance severely. This exacerbates short-termism among managers, who are more likely to pursue immediate benefits during times of uncertainty. It is therefore important for policymakers, managers, and investors to understand the effects of EPU. This study examines the relationship
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Reflections of public perception of Russia-Ukraine conflict and Metaverse on the financial outlook of Metaverse coins: Fresh evidence from Reddit sentiment analysis International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-15 Indranil Ghosh, Esteban Alfaro-Cortés, Matías Gámez, Noelia García-Rubio
The present work endeavors to thoroughly examine the dependence of daily closing prices of Metaverse coins on external social media sentiment on Russia's military invasion of Ukraine and the potential benefits of Metaverse technology. We collate the worldwide media chatter on the Ukraine war and uncover the dynamic association with four Metaverse coins by applying wavelet coherence analysis. Subsequently
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From dawn to dusk: The relationship between CEO career horizon and ESG engagement International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-15 David Cabreros, Gabriel de la Fuente, Pilar Velasco
This study investigates the influence of a CEO's career horizon on a firm's engagement in ESG. Given the private benefits which CEOs can extract from this strategy, we argue that a firm's willingness to pursue additional ESG efforts is likely to mirror CEOs' desire to strengthen their personal reputation and curb their perceived risk exposure at each stage of their career horizon. Drawing on the prospect
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Real-time forecast of DSGE models with time-varying volatility in GARCH form International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-15 Semih Emre Çekin, Sergey Ivashchenko, Rangan Gupta, Chien-Chiang Lee
Recent research shows that time-varying volatility plays a crucial role in non-linear modeling. Contributing to this literature, we suggest an approach that allows for straightforward computation of DSGE models with time-varying volatility, where the volatility component is formulated as a GARCH process. As an application of our approach, we examine the forecasting performance of this DSGE-GARCH model
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Friends in media: Implications of media connections for analyst forecast optimism International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-13 Md Miran Hossain, Babak Mammadov, Hamid Vakilzadeh
We investigate the effect of corporate executives' connections with financial media on analyst forecast optimism. Some studies document that managers use their connections to benefit the firm. Alternatively, other studies show that managers use their connections to benefit themselves at the expense of the firm. Thus, it is difficult to predict ex-ante whether executives use their media connections
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The impact of corporate governance on the information content of earnings and cash flows: Evidence from Brazil International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-13 Jose Miranda-Lopez, Isho Tama-Sweet
We use the unique capital market structure that Brazil established in 2000 to investigate how different governance listing segments impact the relative and incremental information content of earnings and cash flows. Brazilian firms are classified into different listing segments on the stock market depending of their voluntary compliance with corporate governance regulations. We find that earnings provide
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COVID-19 mortality risk premium and the interest rate on mortgage loans International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-13 Balbinder Singh Gill
I investigate the impact of COVID-19 on the housing market, with a focus on mortgage interest rates. Rising COVID-19 fatalities result in higher mortgage interest rates. I use the Gaussian Copula approach to establish causality between COVID-19 fatalities and mortgage interest rates. Finally, I present a thorough examination of the mechanisms by which COVID-19 fatalities influence mortgage interest
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Connectedness between healthcare cryptocurrencies and major asset classes: Implications for hedging and investments strategies International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-13 Ritesh Patel, Mariya Gubareva, Muhammad Zubair Chishti, Tamara Teplova
This paper studies dynamic connectedness between four prominent healthcare cryptocurrencies, namely MediBloc, MediShares, Medicalchain, and Dentacoin, and bond, equity, and commodity markets along with USD and Bitcoin. The daily data span from February 2018 to April 2023. We applied the quantile VAR method and the wavelet quantile correlation approach to measure the connectedness. The quantile VAR
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Are “too big to fail” banks just different in size? – A study on systemic risk and stand-alone risk International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-13 Zongyuan Li, Rose Neng Lai
This study shows that investment decisions drive tail risks (i.e., systemic risk and stand-alone tail risk) of TBTF (Too-Big-to-Fail) banks, while financing decisions determine tail risks of non-TBTF banks. After the Dodd-Frank Act, undercapitalized non-TBTF banks continue to gamble for resurrection, and their stand-alone tail risk become more sensitive to funding availability and net-stable-funding-ratio
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Nonlinear behavior of tail risk resonance and early warning: Insight from global energy stock markets International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-13 Qichang Xie, Tingwei Fang, Xueyun Rong, Xin Xu
This article calculates the tail risk of the global energy market and explores the nonlinear behavior of tail risk resonance at the global, regional and national levels from a dynamic perspective. Moreover, we apply various machine learning models to perform the experimental training on the drivers that affect tail risk resonance to establish a risk warning system. By simulation training and evaluation
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Executive characteristics as moderators: Exploring the impact of geopolitical risk on capital structure decisions International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-12 Mona Yaghoubi
This study examines the relationship between geopolitical risk and firms’ capital structure decisions, focusing on the moderating effects of executive characteristics. Using US corporations data from 1992 to 2020, we find that firms adopt more conservative capital structure choices in response to higher exposure to geopolitical risk. Furthermore, we investigate how executives’ age and gender influence
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Bitcoin replication using machine learning International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-12 Richard D.F. Harris, Murat Mazibas, Dooruj Rambaccussing
Cryptocurrencies are characterized by high volatility and low correlations with traditional asset classes, and present an intriguing investment opportunity. However, their inherent risks and regulatory uncertainties make direct investment challenging for many investors. This paper addresses this challenge by proposing a replication framework that employs machine learning to create synthetic portfolios
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Investor network and stock return comovement: Information-seeking through intragroup and intergroup followings International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-12 Shan Lu, Jichang Zhao
Vast amounts of firm-specific information are now available to investors on social media. One primary conduit for investors to seek for these information is through forging following links in their social networks. In particular, intragroup followings spread news of a specific stock while intergroup followings circulate stories of other stocks. Whether this following behavior contributes to information
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Uncertainty shocks, investor sentiment and environmental performance: Novel evidence from a PVAR approach International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-12 Wissal Zribi, Talel Boufateh, Bechir Ben Lahouel, Christian Urom
This paper contributes to the ongoing literature on the relationship between uncertainty, investor sentiment, and environmental performance in three different ways. First, we applied the Global Malmquist-Luenberger productivity index (GMLPI) within a Slacks-Based Measure-Directional Distance Function (SBMDDF) framework with both desirable and undesirable outputs to construct our environmental performance
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The effect of regime-switching transaction costs and cash dividends on liquidity premia International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-12 Jiwon Chae, Bong-Gyu Jang, Taeyoon Kim
We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor’s optimal strategy. With reasonably calibrated parameters, we show that counter-cyclical transaction costs substantially raise liquidity premium while pro-cyclical dividends amplify this effect. More importantly, we observe that cash dividends can no longer play a role as a liquidity
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Do stress and overstatement in the news affect the stock market? Evidence from COVID-19 news in The Wall Street Journal International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-12 Federico Carlini, Vincenzo Farina, Ivan Gufler, Daniele Previtali
This study investigated the effect of media coverage on financial markets in response to COVID-19-related news. By collecting data from the United States Centers for Disease Control and Prevention, we study the effect of coverage and tone on stock markets. In particular, we attempted to measure media overstatements by comparing the number of articles and stress words with the number of COVID-19 cases
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Strategic liquidity provision in high-frequency trading International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-12 Takaki Hayashi, Katsumasa Nishide
We construct a Kyle (1985)-type market model in which fast and slow traders are present. We perform numerical calculations after deriving the equilibrium condition, described as a simultaneous equation system. A major finding is that the fast trader, who has an advantage in trade frequency, acts as a liquidity provider, taking the opposite position against the slow trader if the difference in frequency
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A pricing model system for small and micro loan insurance considering limited claims International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Bin Hu, Yan-Ping Hu
Based on various limited claim modes and the idea of option pricing, we build a pricing model system for small and micro loan insurance that conforms to the actuarial principle. It is found that different limited claim modes endow loan insurance contracts with various option attributes, which can be used to price small and micro loan insurance. Moreover, under the conditions of setting the upper and
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Carbon intensity and market pricing: An asymmetric valuation International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Massimo Mariani, Alessandra Caragnano, Francesco D'Ercole, Domenico Frascati
We explore the extent to which differences in carbon intensity play a role in firms' market valuation. Our findings reveal that lower carbon intensity is associated with higher market valuation across all industries. Notably, our within-industry analysis unveils an asymmetrical valuation effect when comparing firms with carbon intensity below and above their industry averages: investors reward the
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What accounts for the effect of sustainability engagement on stock price crash risk during the COVID-19 pandemic—Agency theory or legitimacy theory? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Junru Zhang, Chen Zheng, Yuan George Shan
In this study, we conduct a textual analysis of the third-party disclosure of corporate sustainability news focused on the Standard and Poor's 500 firms in the United States market during the first and second quarter of 2020. We find a positive relationship between corporate sustainability news release and firm-specific stock price crash risk. This finding is surprising, but it indeed aligns with agency
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Bursting the bitcoin bubble: Do market prices reflect fundamental bitcoin value? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Andrea Podhorsky
This paper develops a theoretical model of the bitcoin market and demonstrates that the bitcoin’s volatile and explosive price path is a consequence of the Bitcoin protocol’s system of supply management. The model implies that the marginal cost of mining the target supply of bitcoins is the fundamental value of the bitcoin since it corresponds to an equilibrium in the Bitcoin protocol and the rent-seeking