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Report of the Editor of The Journal of Finance for the Year 2023 J. Financ. (IF 7.915) Pub Date : 2024-03-16 ANTOINETTE SCHOAR
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BRATTLE GROUP AND DIMENSIONAL FUND ADVISORS PRIZES FOR 2023 J. Financ. (IF 7.915) Pub Date : 2024-03-16
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Report of the Executive Secretary and Treasurer for the Fiscal Year Ending June 30, 2023 J. Financ. (IF 7.915) Pub Date : 2024-03-16
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Looking beyond the hype: The challenges of blockchain adoption in accounting Int. J. Account. Inf. Syst. (IF 5.111) Pub Date : 2024-03-16 Mohsina Akter, Tyge-F. Kummer, Ogan Yigitbasioglu
Blockchain has been hyped and considered a potential game-changer for the recording of accounting transactions as it enables triple-entry accounting and real-time reporting. However, there is very little knowledge of the uptake of blockchain in accounting, and most blockchain accounting research is conceptual, lacking empirical evidence. This study addresses this gap and examines the organisational
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Sentiment trading with large language models Finance Research Letters (IF 10.4) Pub Date : 2024-03-15 Kemal Kirtac, Guido Germano
We analyze the performance of large language models (LLMs) including OPT, BERT, and FINBERT, alongside the traditional Loughran-McDonald dictionary, in sentiment analysis of 965,375 U.S. financial news articles from 2010 to 2023. Our findings reveal that OPT significantly outperforms others, accurately predicting stock market returns with a sentiment prediction accuracy of 74.4%. A long-short strategy
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Can the environmental trading enhance corporate green innovation efficiency? Finance Research Letters (IF 10.4) Pub Date : 2024-03-13 Changyu Wang, Huancheng Wang
This paper examines how environmental trading affects corporate green innovation efficiency. Based on data from 2010 to 2022, this paper adopts carbon trading pilots policy as a quasi-natural experiment and employs a difference-in-difference model to explore the effects and underlying mechanisms. The findings indicate that implementing a carbon trading pilots policy can effectively improve green innovation
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Corporate Digital Transformation and Supply Chain Synergy Effects Finance Research Letters (IF 10.4) Pub Date : 2024-03-13 Huiqing Tian, Tao Shi
This paper investigates the impact of individual enterprises' digital transformation on the digital transformation level of upstream and downstream enterprises in the supply chain. The findings indicate that corporate digital transformation significantly enhances the digital transformation level of upstream and downstream enterprises in the supply chain, demonstrating a synergy effect. Further analysis
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Pension insurance contribution rate and corporate investment efficiency Finance Research Letters (IF 10.4) Pub Date : 2024-03-13 Donghui Pei, Baoqian Wang
This study identifies the pension insurance contribution rate as an important factor affecting corporate investment efficiency. Empirical research findings reveal a significant crowding-out effect between the pension insurance contribution rate and corporate investment efficiency. That is, the higher the pension insurance contribution rate, the more pronounced the crowding-out effect on corporate investment
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Asset Injection and Enterprise Earnings Management Finance Research Letters (IF 10.4) Pub Date : 2024-03-13 Yizhi Tan, Chengjie Yang, Kaihao Qian, Chengxin Jiang
This paper selects listed companies that have made significant asset injections between 2006 and 2022 as a research sample to explore the relationship between listed companies and earnings management after they have made asset injections. It is found that compared with the pre-injection period, the degree of earnings management is higher after capital injection by shareholders holding relatively more
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Population Aging and the Dynamics of the Skill Income Gap: An analysis of a multiple mediation effect Finance Research Letters (IF 10.4) Pub Date : 2024-03-13 Yihe Chu, Yujia Li, Ming Che
This paper investigates how population aging influences the skill income gap via two pathways: the skill supply and skill-biased technical changes. Utilizing both simple and multiple mediating effects models for empirical analysis, this paper discovers that an increase in the old-age dependency ratio and a decrease in the child dependency ratio both elevate the relative supply of skilled labor and
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Corporate ESG performance and human capital investment efficiency Finance Research Letters (IF 10.4) Pub Date : 2024-03-13 Jiayi Song
We discuss the mechanism of the influence of enterprise ESG performance on the efficiency of enterprise human capital investment. Through empirical model research, the paper finds a compelling correlation: the greater the ESG performance, the higher the efficiency of enterprise human capital investment. Furthermore, the study reveals that enterprise ESG performance not only enhances the efficiency
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The price of corporate social irresponsibility in seasoned equity offerings: International evidence The British Accounting Review (IF 4.761) Pub Date : 2024-03-13 Chloe Ho, Eliza Wu, Jing Yu
We examine the impact of poor corporate social responsibility engagement signalled through negative environmental and social (E&S) incidents on equity financing via seasoned equity offerings (SEOs) across 25 countries. The results show that negative E&S incidents significantly aggravate SEO underpricing, thereby increasing the cost of raising equity capital. Managers appear to take the adverse effects
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Equity Incentive Plans and Board of Director Discretion over Equity Grants Journal of Accounting Research (IF 4.446) Pub Date : 2024-03-13 BRIAN CADMAN, RICHARD CARRIZOSA
Equity compensation is granted out of an equity incentive plan that must be approved by shareholders and cedes discretion over equity grants to boards of directors. We predict and find that equity plan proposals give boards more discretion over grants when the firm faces greater labor market forces and more volatile stock returns. When examining votes, we find that shareholders are less likely to support
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Social Trust and the Cost of Equity Finance Research Letters (IF 10.4) Pub Date : 2024-03-12 Xie Heng, Cui Xie-yuan, Cao Nan-nan, Guo Zhou-qi, Zhang Qian-chuan
Social trust is the result and reflection of repeated games between individuals. Is social trust capable of optimizing enterprises’ financing modes? The following results are obtained. (1) The greater the regional social trust level, the lower the cost of equity. (2) Social trust plays a larger role in lowering the cost of equity in state-owned enterprises and enterprises located in regions with strong
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Lending technologies and consumer defaults in times of crisis: Evidence from Brazil Finance Research Letters (IF 10.4) Pub Date : 2024-03-12 Gabriel Barthman, Matheus Moura, Lars Norden
We investigate the role of lending technologies in consumer credit defaults in Brazil before and during the COVID-19 pandemic. First, relationship borrowers are less likely to default than others before the pandemic. Second, this effect persists during the pandemic, but it becomes around 60 percent smaller. Third, we document important heterogenous effects. Relationship borrowers of appliance finance
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Political Risk of Green Public Procurement and Firms’ Green Innovation* Finance Research Letters (IF 10.4) Pub Date : 2024-03-12 Jiaxin Wang, Xiang Huang, Chengxin Liu, Di Sun, Zilong Song
This paper examines the relation between the political risk of green public procurement and green innovation. Using government leadership change as a research setting, we find that political risk in GPP impedes firms’ green innovation. Moreover, firms that rely more on external financing for green innovation are more vulnerable to this risk. Furthermore, the inhibitory effect of political risk in GPP
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Green Institutional Investors’ Shareholding and Corporate Environmental Responsibility Finance Research Letters (IF 10.4) Pub Date : 2024-03-12 Bo Shi, Xiaoran Wang, Xiaowen Jiang, Huikang Yang, Wenzhao Sui
Data on listed companies in China from 2016 to 2022 serve as a research sample to investigate whether shareholding by green institutional investors improves the environmental governance performance and initiatives of listed companies. Shareholding by green institutional investors is shown to improve the environmental performance and initiatives of listed companies. The promotion effect of green institutional
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Independent Directors’ Duty Performance and Corporate Green Innovation Finance Research Letters (IF 10.4) Pub Date : 2024-03-12 Xiaohui An, Jinma Liang, Xinhai Ye, Xizhe Wang
This paper takes independent directors’ duty performance behavior as an entry point to study the impact of the behavior on the performance of listed companies. A-share listed companies from 2011 to 2021 are selected as research samples. Empirical research finds that the higher the proportion of independent directors attending major company meetings in person, the lower the proportion of publicly expressed
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Is macroeconomic tail risk contagious to stock idiosyncratic risk༟ Finance Research Letters (IF 10.4) Pub Date : 2024-03-12 Shouyu Yao, Zezhong Liu, Chunfeng Wang, Alessia Palma, John W. Goodell
We explore whether macroeconomic tail risk (MTR) is contagious at the individual stock level. We find that macroeconomic tail risk exacerbates stock idiosyncratic volatility. An increase in macroeconomic tail risk by one standard deviation is associated with an average increase in idiosyncratic volatility by 5.10%. Further, divergence of opinion intensifies the macro to stock idiosyncratic risk contagion
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Cross-Shareholding, Managerial Capabilities, and Strategic Risk-Taking in Enterprises: A Game or a Win-Win? Finance Research Letters (IF 10.4) Pub Date : 2024-03-12 Shuangjin Wang, Xiaoqian Zhang, Richard J. Cebula, Maggie Foley
In this study from 2007 to 2022, we explore the impact of cross-shareholding investors on the strategic risk-taking of A-share listed companies. The findings highlight that these stakeholders enhance strategic risk-taking through resource effects, advantageous information effects, with resource effects playing the most significant role. Managerial abilities further amplify this impact, showing substantial
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Dynamic Linkages among Bitcoin, Equity, Gold and Oil: An Implied Volatility Perspective Finance Research Letters (IF 10.4) Pub Date : 2024-03-12 Sangita Choudhary, Anshul Jain, Pratap Chandra Biswal
Bitcoin Implied Volatility, derived from the recently launched options on Bitcoin, provides a new forward-looking measure of uncertainty in financial markets. This paper explores its long-run and short-run relationships with the implied volatilities of equity, gold, and oil. The NARDL model reveals a long-run relationship among Bitcoin volatility and others. Kyrtsou-Labys Nonlinear Causality tests
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Financial frictions and inter-firm wage dispersion: A structural estimation Finance Research Letters (IF 10.4) Pub Date : 2024-03-12 Weichao Zhu, Xiao Yun, Huimei Yang
Based on the stylized facts about financial frictions, this paper proposes a general equilibrium model to show that firms can transmit heterogeneous financial costs to workers through wage-bargaining in the labor market with search frictions. In the equilibrium, both financial frictions and search frictions induce inter-firm wage dispersion. Structural estimation indicates that the model accounts for
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Political polarization in financial news J. Financ. Econ. (IF 8.238) Pub Date : 2024-03-12 Eitan Goldman, Nandini Gupta, Ryan Israelsen
Comparing coverage of the same corporate financial news by the conservative and the liberal , we find strong evidence of political polarization in their reporting on both the intensive and extensive margins of coverage. We show that this politics-induced disagreement in corporate financial news leads to an increase in abnormal trading volume for the most politically extreme firms. Our results highlight
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Corporate social irresponsibility and the occurrence of data breaches: A stakeholder management perspective Int. J. Account. Inf. Syst. (IF 5.111) Pub Date : 2024-03-12 Zabihollah Rezaee, Gaoguang Zhou, Luofan (Luther) Bu
Ever-increasing data breach incidents are destroying firms’ operations and financial sustainability. We examine the association between corporate social irresponsibility (CSIR) and data breach incidents, stock market reactions to these incidents, and how the affected firms respond to data breaches. Using a sample of 24,456 observations from 2005 to 2018, we find a positive and significant association
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Emerging digital technologies and auditing firms: Opportunities and challenges Int. J. Account. Inf. Syst. (IF 5.111) Pub Date : 2024-03-12 Sonia Vitali, Marco Giuliani
This article aims to analyse the impacts of new technologies, namely robotic process automation (RPA) and artificial intelligence (AI), on auditing firms. In particular, we focus on the companies’ everyday activities, organisational structure, hiring practices, and the competitive gap between Big4 and non-Big4 auditing firms. To this end, the article is based on a field study involving 14 auditing
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Can management tone predict the firm's decision on supply chain configuration? Finance Research Letters (IF 10.4) Pub Date : 2024-03-11 Da Zhang, Yuxia Wang
This paper investigates the relationship between management tone and a firm's decision on supply chain configuration. We find that during the years 2010 through 2020, a more positive management tone is associated with a lower supply chain concentration. We establish causality through the IV-2SLS approach. In addition, we find that this relationship is more pronounced for firms with greater operational
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Impact of tokenization on financial investments: exploring connectedness through the case of transport and travel/tourism sectors Finance Research Letters (IF 10.4) Pub Date : 2024-03-11 Imran Yousaf, Rami Zeitun, Shoaib Ali, Alessia Palma
The advent of tokenization has transformed the financial landscape of the transportation and tourism industries, creating novel investment opportunities in travel and tourism tokens. This study investigates the interplay between transport and travel/tourism tokens using a quantile vector autoregressive (VAR) approach. Our findings indicate that the return connectedness varies across different quantiles
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Regulating cash holdings: Assessing lost returns in mutual funds✰ Finance Research Letters (IF 10.4) Pub Date : 2024-03-11 Shoham Ben-Rubi, Yevgeny Mugerman, Zvi Wiener
Mutual funds have traditionally attracted retail investors seeking diversified market exposure. While the focus has historically been on asset liquidity and quality, recent attention has turned to assessing fund liquidity and the risks of asset fire sales. Our study analyzes Israeli mutual funds’ daily holdings and flows over an extensive eight-year period, revealing a significant issue: fund managers
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Do entrepreneurs use cryptocurrency to hedge against their business risk? Finance Research Letters (IF 10.4) Pub Date : 2024-03-11 Yosef Bonaparte
This paper studies if entrepreneurs use cryptocurrency to hedge against business risk. Cryptocurrency is a newly emerging asset class that distinct from other traditional asset classes and less been analyzed from the entrepreneur's perspective. To implement the analyses, we address the endogeneity issue of being an entrepreneur using parents background and show that entrepreneurs prefer risk diversification
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Can digital finance boost corporate green innovation Finance Research Letters (IF 10.4) Pub Date : 2024-03-11 Qing Xue, Xiangqin Liu
This paper explores the impact of digital finance (DF) on firms’ green innovation (GI) and finds that the development of DF is related to more GI. Besides, this effect is more notable in non-state-owned firms, firms in high-tech industries, or firms faced with a lower degree of market competition and non-east areas in China. We also find that DF can boost corporate GI by alleviating financing constraints
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Diversification, hedging, and safe-haven characteristics of cryptocurrencies: A structural change approach International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Shu-Han Hsu, Po-Keng Cheng, Yiwen Yang
This study investigates the influence of structural change on the diversification, hedging, and safe-haven characteristics of Bitcoin and Ethereum against various financial assets such as gold, the US Dollar Index, stock indices, oil, and commodity indices from August 7, 2015, to August 15, 2022, using the DCC–ARMA–GARCH models with the CUSUM test. Our results indicate that cryptocurrencies have the
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Vulnerability of a developing stock market to openness: One-way return and volatility transmissions International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Aminu Hassan, Masud Usman Ibrahim, Ahmed Jinjiri Bala
Drawing from two independent literature sources on vulnerability and stock price volatility, we show that the high magnitude and persistence of stock return volatility evident in the Nigerian Exchange Group (NGX) are, at least in part, indications of vulnerability to openness, which paves the way for the transmission of external shocks. Using a uniquely modified set of bivariate asymmetric GARCH models
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Cybersecurity and executive compensation: Can inside debt-induced risk aversion improve cyber risk management effectiveness? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Asligul Erkan-Barlow, Trung Nguyen
This study contributes to the emerging literature on the determinants and the consequences of cyberattacks by examining the impact of inside debt compensation on a firm's likelihood of experiencing a cyberattack and on attacked firms' cash holdings, R&D investments, and asset tangibility. We provide compelling evidence that inside debt compensation reduces the probability of experiencing a cyberattack
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Why does price deviate from net asset value? The case of Singaporean infrastructure REITs International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Calvin Kumala, Zhen Ye, Yite Zhu, Qiulin Ke
This paper examines the determinants of the changes in premiums to Net Asset Value (NAV) in infrastructure REIT (infra-REIT) share prices in Singapore over the 2017–2021 period. Samples of 11 listed Singaporean REITs (S-REITs) are selected to create a balanced panel data for the analysis. Our finding shows that infrastructure S-REITs have generally been trading at premiums to their NAVs. The first
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Does downside risk in the stock market differ by legal origin? The impact of property rights and the rule of law on stock markets International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Y, o, s, u, k, e, , T, o, m, i, t, a
Downside risk in stock prices is a significant focus in stock investment. This study investigates how the legal origin of each country affects its property rights and the rule of law, and how these property rights and the rule of law affect the downside risk of the stock market differently. Value-at-risk (VaR), estimated by the rate of return on a stock market index, is used as the downside risk of
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The power of a name: Exploring the relationship between ICO name fluency and investor decision making International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Feilian Xia, James Thewissen, Prabal Shrestha, Shuo Yan
This study examines the impact of the fluency of Initial Coin Offering (ICO) project names on fundraising and post-ICO performance. Analyzing 8,878 ICOs from July 2012 to July 2021, we find a robust and positive correlation between name fluency (e.g., projects with succinct and English-like names) and fundraising success. Moreover, we find that this relationship is heightened for ICOs with popular
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The impact of the Russia–Ukraine war on volatility spillovers International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-11 Tony Sio-Chong U, Yongjia Lin, Yizhi Wang
This paper investigates the impact of the Russia–Ukraine war on the transmission of volatility among financial markets. We first demonstrate that the Russia–Ukraine war instigates significant volatility spillovers across the stock market, currency market, commodity market, and energy market. By conducting frequency dynamic analysis, we find that the long-term responses have a predominant influence
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Accounting fraud detection using contextual language learning Int. J. Account. Inf. Syst. (IF 5.111) Pub Date : 2024-03-11 Indranil Bhattacharya, Ana Mickovic
Accounting fraud is a widespread problem that causes significant damage in the economic market. Detection and investigation of fraudulent firms require a large amount of time, money, and effort for corporate monitors and regulators. In this study, we explore how textual contents from financial reports help in detecting accounting fraud. Pre-trained contextual language learning models, such as BERT
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Production complementarity and information transmission across industries J. Financ. Econ. (IF 8.238) Pub Date : 2024-03-10 Charles M.C. Lee, Terrence Tianshuo Shi, Stephen Teng Sun, Ran Zhang
Economic theory suggests that production complementarity is an important driver of sectoral co-movements and business cycle fluctuations. We operationalize this concept using a measure of production complementarity proximity () between any two companies. We show firms from different industries but are closely aligned in exhibit strong co-movement in their operating, investing, and financing activities
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Unsmoothing Returns of Illiquid Funds Rev. Financ. Stud. (IF 8.414) Pub Date : 2024-03-09 Spencer J Couts, Andrei S Gonçalves, Andrea Rossi
Funds investing in illiquid assets report returns with spurious autocorrelation. Consequently, investors need to unsmooth these funds’ returns when evaluating their risk exposures. We show that funds with similar investments share a common source of spurious autocorrelation not fully resolved by traditional unsmoothing methods and thereby leading to underestimation of systematic risk. Thus, we propose
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How do depositors respond to banks' discretionary behaviors? Evidence from market discipline, deposit insurance, and scale effects International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-09 Dung Viet Tran, Nazim Hussain, Duc Khuong Nguyen, Trung Duc Nguyen
We investigate how depositors respond to the U.S. bank's discretionary behaviors. We document higher deposit rates for banks that engage more in earnings management, suggesting evidence of market discipline. The quantile regressions, which dissect bank behavior at the right tail of deposit costs distribution, point out that the leveraged effect of earnings management is more significant in low- and
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Reforming the Eurozone financial system: A system-dynamics approach International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-09 N.D. van Egmond, B.J.M. de Vries
In order to assess the effectiveness of the non-standard monetary policies of the European Central Bank (ECB) in maintaining (price-)stability in the Eurozone financial system, we have developed a system-dynamics model. It combines a neoclassical growth model with a stock-flow model of the Eurozone financial sector at a high level of aggregation. With endogenous money creation, the multidirectional
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Brand capital and debt choice International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-09 Nurul Alam, Sabri Boubaker, Xiaomeng Charlene Chen, Mostafa Monzur Hasan
This paper investigates the effect of brand capital on firms' choices of debt structure. Using a sample of publicly listed U.S. firms between 2001 and 2019, we find that firms with higher levels of brand capital rely less on bank debt financing. This finding is robust to the use of alternative regression models and alternate measures of brand capital and bank debt financing. Employing an industry-level
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Human-AI collaboration to mitigate decision noise in financial underwriting: A study on FinTech innovation in a lending firm International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-09 Swati Sachan, Fatima Almaghrabi, Jian-Bo Yang, Dong-Ling Xu
Financial institutions have recognized the value of collaborating human expertise and AI to create high-performance augmented decision-support systems. Stakeholders at lending firms have increasingly acknowledged that plugging data into AI algorithms and eliminating the role of human underwriters by automation, with the expectation of immediate returns on investment from business process automation
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Economic uncertainty, public debt and non-performing loans in the Eurozone: Three systemic crises International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-09 Veton Zeqiraj, Constantin Gurdgiev, Kazi Sohag, Shawkat Hammoudeh
Recent systemic crises, from the Global Financial Crisis to Covid19 pandemic, have put geoeconomic uncertainty to the forefront of financial services decision-making and planning. Yet, to-date, research connecting economic policy uncertainty to banking sector risks and performance metrics is lacking. This paper examines the relationship between the Economic Policy Uncertainty Index on the non-performing
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Impact of climate risk shocks on global food and agricultural markets: A multiscale and tail connectedness analysis International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-09 Rabeh Khalfaoui, John W. Goodell, Salma Mefteh-Wali, Muhammad Zubair Chishti, Giray Gozgor
We examine the time-frequency nexus between climate change, agricultural and food markets over normal and extreme market conditions by employing advanced methods such as quantile cross-spectral analysis and wavelet quantile correlation. To identify how climate change affects food and agricultural market price returns, we examine daily data from January 1, 2019, to May 9, 2022, using two climate change
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Quantile time-frequency spillovers among green bonds, cryptocurrencies, and conventional financial markets International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-09 Mingguo Zhao, Hail Park
This paper adopts the quantile time-frequency connectedness approach to investigate the dynamic spillovers among green bonds, cryptocurrencies, and conventional financial markets at different frequencies and market conditions. The empirical results show that, firstly, total spillovers are primarily driven by short-term and exhibit a significant increase during periods of economic turmoil. Secondly
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Modeling Conditional Factor Risk Premia Implied by Index Option Returns J. Financ. (IF 7.915) Pub Date : 2024-03-09 MATHIEU FOURNIER, KRIS JACOBS, PIOTR ORŁOWSKI
We propose a novel factor model for option returns. Option exposures are estimated nonparametrically, and factor risk premia can vary nonlinearly with states. The model is estimated using regressions with minimal assumptions on factor and option return dynamics. We estimate the model using index options to characterize the conditional risk premia for factors of interest, such as the market return,
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Missing values handling for machine learning portfolios J. Financ. Econ. (IF 8.238) Pub Date : 2024-03-08 Andrew Y. Chen, Jack McCoy
We characterize the structure and origins of missingness for 159 cross-sectional return predictors and study missing value handling for portfolios constructed using machine learning. Simply imputing with cross-sectional means performs well compared to rigorous expectation-maximization methods. This stems from three facts about predictor data: (1) missingness occurs in large blocks organized by time
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When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-08 Sitara Karim, Muhammad Shafiullah, Muhammad Abubakr Naeem
This study investigates the potential for extreme risk spillovers across developed stock markets using a machine learning approach. We utilize a novel methodology, proposed by , that combines extreme value theory with artificial neural networks to quantify the likelihood and magnitude of risk spillovers among twenty-three major developed stock markets for the period encompassing January 1991 to July
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Volatility connectedness on the central European forex markets International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-08 Peter Albrecht, Evžen Kočenda
We perform a comprehensive assessment of volatility connectedness between the currencies of Central European (CE) countries using high-frequency data from 2009 to 2022. We provide evidence of asymmetries in connectedness that are dominated by negative volatility, especially during periods of economic distress. We also detect statistically significant economic or political events that lead to increased
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Connectedness across meme assets and sectoral markets: Determinants and portfolio management International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-08 Ahmed H. Elsayed, Mohammad Enamul Hoque, Mabruk Billah, Md. Kausar Alam
This study examines the dynamic connectedness and risk spillovers between meme coins, meme stocks, and sectoral markets under different investment horizons. Further, we explore the effects of global uncertainty and risk factors on patterns of dynamic connectedness as well as the benefits of portfolio diversification under different investment strategies. Empirical results indicate that the short-,
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Cybersecurity data breaches and internal control International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-08 Fuzhao Zhou, Jianning Huang
The present study provides novel evidence of the effects of data breaches on firms' subsequent internal control. We find data breaches to be negatively associated with subsequent disclosure of internal control material weakness (i.e., improved internal control), and CEO dismissal to be an effective mechanism for improving internal control. We further find that data breaches can magnify the accounting
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Data breach disclosures and stock price crash risk: Evidence from data breach notification laws International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-08 Hung Cao, Hieu V. Phan, Sabatino Silveri
Exploiting the staggered adoption of data breach notification (DBN) laws, which obligate firms to disclose data breaches when they occur, as an exogenous shock to data breach disclosures, we find that the adoption of these laws leads to higher future stock price crash risk. The positive relation between DBN laws and crash risk is more pronounced for firms with weaker corporate governance, higher financial
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Do foreign currency risk management strategies increase value in family business? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-08 Salma Mefteh-Wali, Nazim Hussain
This paper examines the existence and the magnitude of conflict between family owners and minority shareholders within family firms by assessing the impact of foreign currency (FC hereafter) risk management strategies on firm value. From a secondary agency perspective, we theorize and find evidence that FC risk management policies in family firms are suboptimal and do not create value. Our findings
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The information content of SPAC securities International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-08 T, o, m, , N, o, h, e, l
Special Purpose Acquisition Companies (SPACs) have taken the initial public offering (IPO) market by storm. SPACs were 2/3 of all IPOs in 2021 and have continued to be a significant portion of IPOs since. A unique feature of SPACs is that the SPAC shares trade for weeks/months after a target has been announced, but before the proposed deal is consummated, giving a window into the market's sentiment