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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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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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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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Does constant asset allocation dominate buy-and-hold? Finance Research Letters (IF 10.4) Pub Date : 2024-03-07 Moshe Levy
There is a widespread perception that it is optimal to keep portfolio weights constant over time, and that the optimal rebalancing frequency is just a question of the transaction cost. This is not generally true. We show that buy-and-hold is stochastically dominated by any constant allocation strategy. Thus, there are some risk averters, including those requiring a minimal subsistence level, who are
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Research on the impact of the 'Double Reduction' policy on the risk-taking of educational training enterprises Finance Research Letters (IF 10.4) Pub Date : 2024-03-06 Rui Bi, Zhisong Tang
In 2021, after the implementation of a series of 'Double Reduction' policy measures, educational training enterprises quickly fell into an 'industry winter,' urgently needing to find opportunities for survival from the dilemma and seek new transformations and breakthroughs. This study indicates that the Double Reduction policy has promoted the level of risk-taking by educational training enterprises
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What explains the size of Sovereign Wealth Funds? A panel analysis (2008–2018) Finance Research Letters (IF 10.4) Pub Date : 2024-03-05 Anna Balestra, Raul Caruso, Marco Di Domizio
The objective of this study is to explicate the determinants that influence the size of Sovereign Wealth Funds (SWFs), with a particular focus on investigating the consequences arising from a country's engagement in a conflict. We exploit a panel of 28 SWFs for the period 2008–2018. In fact, of particular interest is the inverse correlation estimated between the size of SWFs and the participation of
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Impact of the collapse of silicon valley bank on the banking sector: An analysis based on nonlinear high-frequency networks Finance Research Letters (IF 10.4) Pub Date : 2024-03-05 Jinyan Chen, Chun-Xiao Nie
We analyse the impact of the collapse of Silicon Valley Bank (SVB) on the causal structure using a sequence of high-frequency transfer entropy networks. Calculations show that the event significantly affected the causal structure of the banking sector and that companies with high market capitalisation had stronger influence after the event. Finally, path-based indicators suggest that SVB had significant
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Does managerial ability affect bank loan pricing? Finance Research Letters (IF 10.4) Pub Date : 2024-03-04 Yajun Tang, Li Wang, Haicheng Shu, Tianci Li
This research reveals that the competence of managers significantly shapes bank loan decisions, leading to favorable terms, including lower loan interest rates, for enterprises helmed by capable leaders. Mechanism tests illustrate that the impact of managerial capabilities on bank loan interest rates is achieved by mitigating corporate risk, enhancing the quality of corporate information, and mitigating
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A new estimation of default probabilities based on non-performing loans Finance Research Letters (IF 10.4) Pub Date : 2024-03-04 Roberto Blanco, Elena Fernández-Ortiz, Miguel García-Posada, Sergio Mayordomo
We model the one-year ahead probability of default of Spanish non-financial corporations. While most of the literature defines default based on bankruptcy filings, we define default as having non-performing loans during at least three months in a given year. This broader definition allows to predict firms’ financial distress at an earlier stage, before their financial conditions are too deteriorated
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Managerial ownership and labor income share Finance Research Letters (IF 10.4) Pub Date : 2024-03-02 Huaizhi Shi
This paper investigates the influence of executive compensation on labor income share. I expect that higher managerial shareholding reduces labor income share. Consistent with this conjecture, the empirical evidence suggests that both augmented innovation investment and alleviated bankruptcy costs explain the reduction in labor income share. Our results remain robust by addressing the potential unobserved
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The daily rise and fall of the VIX1D: Causes and solutions of its overnight bias Finance Research Letters (IF 10.4) Pub Date : 2024-03-02 Stefan Albers, Lars N. Kestner
This paper explores the unique intraday dynamics of the VIX1D. We identify a distinct overnight bias, that causes the index to consistently rise during trading hours and to fall overnight. This bias stems from the index’s calculation methodology, particularly the use of business time and dynamic weighting of next-term options, which include overnight variance risk premiums. It overlaps with and is
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Productive services agglomeration: An accelerator of manufacturing servitization output? Finance Research Letters (IF 10.4) Pub Date : 2024-03-01 Xiaoyu Xie, Chunjuan Wang
This study empirically investigates the impact of productive service agglomeration on manufacturing servitization and the heterogeneity of this impact. We found that (1) the productive service industry's agglomeration facilitates manufacturing servitization with a heterogeneous feature. Furthermore, (2) agglomeration of the private productive service sector is more conducive to promoting manufacturing
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More is less? Wealth effects of Italian stocks to the increase in allowed voting rights Finance Research Letters (IF 10.4) Pub Date : 2024-03-01 Bruno Fiesenig, Dirk Schiereck
To address the steadily declining numbers of listed companies, several European countries are going to allow the issuance of dual class shares. However, there is skepticism among corporate governance experts whether this is an attractive option to increase the number of IPOs. To evaluate this new rule, the Italian stock market offers a unique natural experiment. We investigate the wealth effect for
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Stock price crash prediction based on multimodal data machine learning models Finance Research Letters (IF 10.4) Pub Date : 2024-03-01 Yankai Sheng, Yuanyu Qu, Ding Ma
This study introduces multimodal data machine learning framework to predict stock crashes. It encapsulates market data, graph data cultivated from industry affiliations through node2vec, and text data derived from sentiment analysis. The LightGBM is utilized, marking an improvement by 7.13% over preceding studies, achieving 75.85% balanced accuracy. An innovative long-short portfolio construction approach
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Navigating uncharted skies: The role of pilot CEO in FinTech adoption Finance Research Letters (IF 10.4) Pub Date : 2024-03-01 Shiang Liu, Liang Sun
Employing the pilot credentials of chief executive officers (CEOs) as a proxy of the proclivity for venturing into uncharted territories and pursuing novel experiences, this study finds that pilot CEOs are associated with higher intensity of FinTech adoption. This positive association is more pronounced in firms with a powerful CEO and less significant in financially constrained firms, suggesting that
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Labor unions and financial statement comparability Finance Research Letters (IF 10.4) Pub Date : 2024-03-01 Richard Borghesi, Kiyoung Chang, Jong Chool Park, Hakjoon Song
We demonstrate that managers of highly unionized firms make accounting decisions that result in diminished financial statement comparability, thereby enhancing their leverage in collective bargaining. We corroborate using a difference-in-differences approach which leverages the introduction of right-to-work laws as an exogenous shock that weakens labor union bargaining power. We also find that the
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What are the determinants of the financial and social performance of MFIs in Togo? Does gender borrower matter on financial performance? Finance Research Letters (IF 10.4) Pub Date : 2024-03-01 K, o, k, o, u, , A, d, a, l, e, s, s, o, s, s, i
Using the panel generalized method of moments, we scrutinize the key factors of financial and social performance of Microfinance institutions (MFIs) in Togo. We report that a higher increase in equity leads to MFIs' financial sustainability while an increase in debt leads to unsustainability. Furthermore, the increase in staff expenditure and operational efficiency decreases financial performance.
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Can the readability of an annual report forecast negative earnings surprises? Finance Research Letters (IF 10.4) Pub Date : 2024-03-01 Hong-Quan Li, Yang Yang
This study examines the relationship between the readability of an annual report and negative earnings surprises. Using logit regression, we find that less clear reports can predict unexpected negative earnings. This relationship persists even after accounting for deviations greater than 50 %. Furthermore, this effect is more pronounced for firms with less balanced shareholder equity and nonstate-owned
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Employee education level and the cost of equity capital Finance Research Letters (IF 10.4) Pub Date : 2024-03-01 Ziyue Wang, Zhizhu Yuan
This study examines the capital market benefits of employee education level and finds a significant and negative relation between a firm's employee education level and cost of equity capital. Our empirical results remain unchanged after applying different measures of variables and addressing endogeneity concerns. Cross-sectional tests show that our main results are more pronounced in firms which treat
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SFDR Article 9: Is it all about impact? Finance Research Letters (IF 10.4) Pub Date : 2024-03-01 Lisa Scheitza, Timo Busch
We investigate more than 1,000 investment funds that are classified under Article 9 of the EU Sustainable Finance Disclosure Regulation (SFDR). Using the G7’s new typology of sustainable investments, we show that Article 9 funds pursue varying degrees of ambition: while 60 % follow an impact-oriented strategy, we identify 40 % that instead pursue a general Environment, Social, and Governance (ESG)
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Impact of cross-border capital flows on foreign exchange market stability Finance Research Letters (IF 10.4) Pub Date : 2024-02-29 Donghui Peng, Ying Ye, Qionghao Chen
This study explores the impact of cross-border capital flows on foreign exchange market stability. The research reveals that, in the long term, depreciation pressures arising from the withdrawal of cross-border capital inflows outweigh appreciation pressures arising from increased cross-border capital inflows. The impact of positive changes in cross-border capital outflows is significantly more significant
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Green innovation's impact on corporate financing: New insights from BRICS economies Finance Research Letters (IF 10.4) Pub Date : 2024-02-29 Lu Li, Shiqi Zhou, Wei Xu, Jiapeng Dai
Enterprises are increasingly adopting green innovation strategies to reduce their environmental footprint and enhance their competitive positioning. However, how this shift towards sustainability influences corporate financing is less known in the literature. Therefore, this study aims to investigate the impact of green innovation on corporate financing in BRICS countries. Using data from 2010 to 2022
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Does religiosity affect stock investors’ herding behaviour? Global evidence Finance Research Letters (IF 10.4) Pub Date : 2024-02-29 Samah El Hajjar, Bartosz Gebka, Darren Duxbury, Chen Su
We investigate if religiosity promotes herding among stock market investors. In a global sample of 21 markets over the period 2006–2018, increasing religiosity fosters herding only when the absolute religiosity level is relatively high. At low levels, an increase in religiosity has the opposite effect, promoting anti-herding. Our finding that changes in religiosity, depending on its level (high versus
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Does bitcoin still enhance an investment portfolio in a post Covid-19 world? Finance Research Letters (IF 10.4) Pub Date : 2024-02-29 Michael Gorman, W. Keener Hughen
We investigate the ability of bitcoin to enhance investment portfolios of traditional assets. We find evidence of a structural break in the correlation and volatility processes around the onset of the Covid-19 pandemic. The correlations between bitcoin and traditional assets have increased, thereby reducing bitcoin’s diversification benefits. As a result prior studies using data from pre-2020 may have
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Digital transformation, financial literacy and rural household entrepreneurship Finance Research Letters (IF 10.4) Pub Date : 2024-02-29 Jingwen Li, Haoliang Wang, WeiNi Soh
This paper empirically investigates the impact of digital transformation on the performance of rural household entrepreneurship. It is found that digital transformation promotes rural household entrepreneurship performance. Financial literacy plays a role as a moderating variable between the two. Heterogeneity analysis shows that the facilitating effect of digital transformation on rural household
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Does risk perception influence individual investors' crowdfunding investment decision-making behavior in the metaverse tourism? Finance Research Letters (IF 10.4) Pub Date : 2024-02-29 Linqiang Wang, Xiuhuan Feng, Luning Zang
In the dynamic landscape of the metaverse's rapid growth, the involvement of individual investors in crowdfunding has emerged as a pivotal force propelling innovation in the tourism sector. This study, amalgamating the Technology Acceptance Model (TAM) and Theory of Planned Behavior (TPB) while incorporating the Benefit-Risk Analysis (BRA), establishes a comprehensive integrated model influencing the
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Does digital inclusive finance affect the credit risk of commercial banks? Finance Research Letters (IF 10.4) Pub Date : 2024-02-28 Jia Ruan, Ruishi Jiang
This paper adopts the data of commercial banks from 2011 to 2021 to carry out the research on the impact of digital inclusive finance on the credit risk of commercial banks. The results show that, first, digital inclusive finance reduces credit risk of commercial banks, and has a greater mitigating effect on credit risk of national banks than regional banks. Second, economic policy uncertainty makes
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Environmental sustainability and the time-varying changing dynamics of green and brown energy ETFs Finance Research Letters (IF 10.4) Pub Date : 2024-02-28 A, m, e, e, t, , K, u, m, a, r, , B, a, n, e, r, j, e, e
Over the last decade, increased awareness about environmental sustainability raised additional focus on green assets as a popular investment vehicle for reaching a carbon-free world. In this study, we analyze whether the dynamics of interconnectedness between ecologically sustainable, green energy, and brown ETFs have changed with the changing market conditions induced by the pandemic and a war scenario
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Fixed vs. adjustable-rate mortgages and attention Finance Research Letters (IF 10.4) Pub Date : 2024-02-28 Marcos González-Fernández, Francisco José Sáez Trujillo, Carmen González-Velasco
The aim of this paper is to analyze the attention of households to fixed-rate and adjustable-rate mortgage loans depending on the evolution of interest rates. We hypothesize that a high level of general interest rates would lead to a higher attention to adjustable-rate mortgages. Using Google Trends tool to capture this attention, we demonstrate using VAR models that upsurges in interest rates precede
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Dividend smoothing and financial transparency Finance Research Letters (IF 10.4) Pub Date : 2024-02-28 Tatiana Salikhova, Alexander Ugarov, Svetlana Orlova
The study explores the effect of financial transparency on dividend smoothing behavior. We analytically show that dividend smoothing should increase when shareholders cannot observe cash flow realizations. Using exogenous variation in financial transparency created by the SOX, we find that less transparent firms as measured by higher dispersion of analyst forecasts and lower excess audit fees reduced
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Risk quantification and validation for green energy markets: New insight from a credibility theory approach Finance Research Letters (IF 10.4) Pub Date : 2024-02-23 Khreshna Syuhada, Arief Hakim
We aimed at constructing the Credible VaR (Credible ES) forecast for a target green energy instrument by combining its VaR (ES) forecast and the expected VaR (expected ES) forecast for all green energy instruments. Using return data for eleven sectoral green energy indices, we revealed the tendency of their risks to decline following the Paris Agreement but then substantially increase during COVID-19
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Is a tax deductibility of R&D investment always good for a firm? The case of IPO underpricing Finance Research Letters (IF 10.4) Pub Date : 2024-02-22 Jing Zeng, Xinglin Liu, Kam C. Chan
We examine the impact of an R&D tax deduction policy on initial public offering (IPO) underpricing. Our findings suggest that IPO firms subject to the tax deduction policy (treatment firms) exhibit higher underpricing than those not subject to the tax deduction policy (control firms). The results are robust to alternative metrics of underpricing. We attribute to the worsening information asymmetry
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The influence of financial asset allocation on the innovation and investment of high-tech enterprises Finance Research Letters (IF 10.4) Pub Date : 2024-02-21 Shuangshuang Liu
This study's results suggest that financial asset allocation leads to increased innovation investment by high-tech enterprises. The allocation of different types of financial assets produces opposite impact results. Short-term financial assets inhibit innovation investment by high-tech enterprises, while the allocation of long-term financial assets promotes innovation investment. This finding remains
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Geopolitical risk, CEO power, and corporate lobbying: Do powerful CEOs lobby more? Finance Research Letters (IF 10.4) Pub Date : 2024-02-13 Ahmed W. Alam, Ashupta Farjana, Reza Houston
We offer the first empirical evidence on the impact of geopolitical risk (GPR) on corporate lobbying behavior. Using a US sample, we show that firms, on average, scale down their lobbying expenditures when global and US-specific GPR increase. Geopolitical acts have a more negative impact than geopolitical threats. These outcomes remain resilient after controlling for firm-level political action committee
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Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy Finance Research Letters (IF 10.4) Pub Date : 2024-02-12 Hiroaki Horikawa, Kei Nakagawa
In this study, we explore the links between deep hedging and delta hedging using a statistical arbitrage strategy. Specifically, we show that hedging that minimizes loss risk combines delta hedging with a statistical arbitrage strategy. The numerical experiments in a simple Black–Scholes world also verify these results. Moreover, it is known that the existence of statistical arbitrages can hamper proper
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The Role of Emotional Factors in the Acceptance of Digital Currency: An Extended Study of a Technology Acceptance Model Finance Research Letters (IF 10.4) Pub Date : 2024-02-12 Ling AN, Yaohua Wang, Yan Yan, Chao Ma
This study examines consumer adoption of the electronic Chinese yuan (e-CNY) using the technology acceptance model (TAM) and emotional design principles. The findings suggest that perceived usefulness, ease of use, credibility, and emotional design influence consumers’ willingness to use e-CNY. Data from 28 pilot projects show that these factors are affected by herd behavior and socioeconomic status
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Targets’ earnings management and ownership decisions in M&A: Can less be more ? Finance Research Letters (IF 10.4) Pub Date : 2024-02-11 Héctor Fabio Perafán-Peña, Belén Gill-de-Albornoz Noguer, Begoña Giner
In a sample of 1,097 European merger and acquisitions (M&A) deals, we find that the targets exhibiting higher levels of accruals earnings management (AEM) relate to lower ownership stakes offered by acquirers. Real earnings management (REM) measures do not relate to ownership decisions. This research contributes to broadening our knowledge about accounting information's role in the intricacies of M&A
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The evolution of portfolio financing equilibrium in a risk-averse supply chain under a partial trade credit policy Finance Research Letters (IF 10.4) Pub Date : 2024-02-09 Zhiyuan Zhen, Lan Jiang, Qiang Yan
This paper considers a two-echelon supply chain consisting of one supplier and one retailer, where the retailer is a small and medium-sized enterprise constrained by both capital availability and risk aversion. To balance high default risks and low-order products, the supplier only offers partial trade credit financing (TCF) to its retailer, which needs to seek equity financing (EF) or bank credit
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De facto seniority in the primary market for corporate bonds Finance Research Letters (IF 10.4) Pub Date : 2024-02-09 Ju Hyun Kim
This paper documents the existence of de facto seniority in the primary market for corporate bonds. Analysis of Korean data from 2018 to 2021 shows that investors require larger yield spreads for debt with later maturities in an issuance cohort. This relation is robust to controlling for macroeconomic conditions, important issue characteristics, the stated use of proceeds, and alternate fixed effects
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Evolution of stock market efficiency in Europe: Evidence from measuring periods of inefficiency Finance Research Letters (IF 10.4) Pub Date : 2024-02-09 J. Bock, S. Geissel
This study introduces novel measures to quantify periods of market inefficiency, enabling precise analysis of their evolution over time and effective comparisons across markets or groups of markets. These measures are applied to an extensive dataset comprising stock indices from 25 European countries from 2007 to 2022. The empirical findings reveal a 20% increase in market inefficiency across Europe
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Sustainable success: How high ESG ratings affect stock market responses to earnings surprises Finance Research Letters (IF 10.4) Pub Date : 2024-02-09 Renxuan Wang, Xuewu Wang, Zhipeng Yan
Using a broad sample of earnings announcements by firms with available Thomson Reuters Refinitiv ESG ratings data, we find more pronounced stock market reaction to earnings announcements by firms with higher ESG ratings. We interpret this as evidence consistent with the information credibility hypothesis as opposed to the information preemption hypothesis. We further examine the stock market response
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Not all the news fitting to reprint: Evidence from price-volume relationship Finance Research Letters (IF 10.4) Pub Date : 2024-02-09 Zuochao Zhang, Dehua Shen
This paper investigates whether investors appropriately react to original news and reprinted news through the lens of price-volume relationship. We mainly find that: (1) none of these two types of news exhibit contemporaneous relationships with return volatility, suggesting the rejection of Mixture of Distribution Hypothesis; (2) there exists a significantly negative (positive) lead-lag relationship