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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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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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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
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Revisiting the residual momentum in Japan International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-08 Y, a, s, u, h, i, r, o, , I, w, a, n, a, g, a
This study examines whether the residual momentum effect is actually at play in the Japanese stock market. The results confirm that the effects of residual momentum are not significant after adjusting for short-term and long-term reversal effects. We, therefore, establish that there is a problem with the method used to compute residual momentum in previous studies. By using the corrected method to
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Being famous matters: Evidence from cash flow volatility International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-07 Mohamed Shaker Ahmed, Marwa Elnahass
Corporate reputation is a paramount driver of value creation and competitive advantage in the 21st century. Motivated by the importance of cash flows and the under-researched nature of their volatility in the corporate finance literature, we investigate the impact of corporate reputation on cash flow volatility. We developed unique hand-collected data from the Fortune world's most admired companies
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Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-06 Imran Yousaf, Linh Pham, John W. Goodell
We investigate spillovers between leading cryptocurrencies and derivative tokens, a new asset class that facilitates derivative trading on blockchain platforms. Using data on the closing prices of two major cryptocurrencies (Bitcoin and Ethereum) and the 10 largest derivative tokens from December 2020 to February 2023, we find significant spillovers across the markets across all the quantiles, especially
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Credit default swaps and shareholder monitoring International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-06 Qiankun Gu, Dongmin Kong, Fangbo Si, Xi Xiong, Xiaoxu Yu
The paper examines how the initiation of credit default swaps (CDSs) influences shareholders' monitoring intensity. Prior studies show that CDSs decrease lenders' monitoring over the referenced firm (Morrison, 2005; Parlour and Winton, 2013). However, there is scant literature on how shareholders react after the initiation of CDSs. Given that the reduced lenders' monitoring could be detrimental to
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Retail shareholder activism and investment efficiency International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-06 Y, a, n, g, , Z, h, a, o
This study investigates the impact of retail shareholder activism on firm level investment efficiency. I find the online activism significantly improve firms' investment efficiency, and this effect is primarily driven by the mitigation of under-investment problem. The results are valid to a series of robust tests. Mechanism analysis indicates that retail shareholder activism mainly plays its role by
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Does internal whistleblowing enhance firm innovation? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-05 Fuyin Lan, Yu Chen, Zijun Ding, Yonghao Xu
This paper examines whether and how internal whistleblowing enhances innovation. We have discovered that the establishment of an internal whistleblowing system help to increase firms' innovation output, in terms of patent application and citation. Furthermore, our paper draws on the monitoring effect of whistleblowing on CEO, and the evidence shows that whistleblowing reduces executives' misconduct
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Systemic risk prediction using machine learning: Does network connectedness help prediction? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-04 Gang-Jin Wang, Yan Chen, You Zhu, Chi Xie
The global financial crisis not only highlights the important role of financial network connectedness, but also urges regulators pay more attention to systemic risk. We study whether network connectedness helps systemic risk prediction by using machine learning techniques, including -nearest neighbor (KNN), support vector regression (SVR), extreme gradient boosting (XGB), and feedforward neural network
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Occupational health and safety management system and stock price crash risk International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-03 Minghui Yang, Yan Wang, Regin Hammer, Petra Maresova
This study responds to the call of by providing more empirical evidence on stock price crash risk from the employee treatment perspective. With a focus on occupational health and safety management system (OHSMS), we examine whether corporate OHSMS adoption reduces stock price crash risk. We find that OHSMS adoption is negatively associated with crash risk. This negative relationship is more pronounced
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Retreat in order to advance: Environmental performance below legality aspiration and corporate disclosure strategy International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-20 Jintao Zhang, Taoyong Su, Li Meng
Environmental legality threats can drive corporate environmental disclosure. Based on performance feedback theory, this paper proposes that environmental legality is an aspiration of corporate environmental performance. Firms are more likely to change environmental disclosure strategies when environmental performance falls below legality aspiration. By analyzing the impression management of the environmental
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Is corporate social responsibility a matter of trust? A cross-country investigation International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-19 Hui Zhu, Eva Wagner
This study examines how social trust influences corporate social responsibility (CSR) across countries. We find a positive relationship between CSR engagement and societal trust. We also document the economic mechanisms explaining how trust affects CSR activities. Our findings are robust to alternative CSR measures, sub-sample analyses, and country-level estimations. Furthermore, the results from
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Intermediate cross-sectional prospect theory value in stock markets: A novel method International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-15 Cheoljun EOM, Yunsung EOM, Jong Won PARK
This study examines the predictive power of performance persistence from the perspective of prospect theory using 12 months of return distributions. Performance persistence stems from unique information that differs from momentum, disposition effect, and firm-specific variables related to the trading behaviors of individual investors. The novel cross-sectional prospect theory value (CSPTV) measurement
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Digital inclusive finance: A lever for SME financing? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-13 Ya Bu, Xin Du, Yuting Wang, Shuyu Liu, Min Tang, Hui Li
This paper systematically investigates the relationship between digital inclusive finance and small and medium enterprises (SMEs) financing constraints. We extrapolate the influence model between them from an economic theory perspective and conduct an empirical test using two-way fixed effects and a mediation effect model. The results show: (1) Digital inclusive finance significantly alleviates the
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Risk factors disclosure and corporate philanthropy International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-13 Xiaowei Sun, Tianyu Zheng, Zehao Wang, Peigong Li
The disclosure of risk factors indicates that firms face uncertainties in their future development. Simultaneously, the revelation of such information can elevate investors' risk perception, potentially leading to the propagation of panic in the market. Consequently, risk factors disclosure may manifest in two distinct effects on corporate philanthropy behaviors. Firms might reduce their levels of
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Supply chain diffusion mechanisms for AI applications: A perspective on audit pricing International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-09 Jiaxin Wang, Mu Zhao, Xiang Huang, Zilong Song, Di Sun
Artificial intelligence (AI) application has had a profound impact on business development. However, it is not clear whether supplier AI application has an impact on customers and its mechanisms. In this paper, we empirically examine the impact of supplier AI applications on customer audit fees using robotics data from the International Federation of Robotics (IFR) as a proxy variable for the level
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Are female directors more inclined to avoid risks? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-08 Zhenjie Wang, Yi Yang, Jiewei Zhang
Female directors can influence different company decisions because of their characteristics. However, there is limited evidence on how female directors affect the tax aggressiveness of enterprises. Using the data of listed companies in China from 2013 to 2019, this paper empirically tests the influence of female directors on tax aggressiveness and its internal mechanism. Our findings show that female
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Federal judge ideology and real earnings management International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-30 Khaled Elmawazini, Emilios Galariotis, Ashrafee T. Hossain, Hatem Rjiba
We examine the impact of liberal judge ideology, as an exogenous proxy for litigation risk, on real earning management. Our main findings suggest that U.S. firms headquartered in circuits that are more likely to be dominated by liberal judges engage in less real earnings management. Our findings are robust to considerations of alternate measures of our main variables and after the exclusion of litigious
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The presence and composition of sustainability committee and waste management practices International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-03 Ammar Ali Gull, Mariela Carvajal, Muhammad Atif, Muhammad Nadeem
Motivated by the recent surge in scholarly enquiries into the role of sustainability committees in corporate social responsibility, this study investigates the relevance of sustainability committees' presence and composition to waste management practices, which is still unknown in the literature. Based on a panel of firms listed in 42 countries from 2002 to 2019, we document a positively significant
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The role of distance and financial development: Evidence from international financial markets International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-02 Wei Li, Xin Wang, Haofei Zhang
This paper analyzes the role of distance and financial development in equity portfolio performance, using panel data on mutual fund holdings in the U.S. stock market from 39 countries. Our paper shows that financial development, represented by financial depth, is positively correlated with returns and returns’ standard deviation. Fund managers from countries with deeper financial markets earn higher
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Non-standard errors in the cryptocurrency world International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-02 Christian Fieberg, Steffen Günther, Thorsten Poddig, Adam Zaremba
Motivated by recent findings from the equity market, we investigate non-standard errors in cryptocurrency research. We examine ten prevalent decisions related to data sources, sample preparation, and portfolio construction, generating 20,736 research designs for 43 sorting variables. Our findings reveal remarkable variation in portfolio performance tied to seemingly trivial choices. The non-standard
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Internal governance mechanisms and corporate misconduct International Review of Financial Analysis (IF 8.235) Pub Date : 2024-02-01 Nicolas Eugster, Oskar Kowalewski, Piotr Śpiewanowski
This study aimed to provide new evidence linking internal corporate governance mechanisms and corporate misconduct by using a sample of 2,844 public US companies during the period 2007–2019. The results revealed that the optimal size and diversity of boards, including well-functioning audit committees, are negatively correlated with corporate violations. By contrast, it was shown that board members’
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Accrual and real earnings management by rumored takeover targets International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-29 Frederick Davis, Hamed Khadivar
In this study we find evidence of income-increasing accrual and real earnings management occurring up to two quarters prior to the initial publication of a takeover rumor. We also find that post-rumor earnings management depends on both its form (accrual or real) as well as whether the rumor eventuates, observing income-decreasing accrual earnings management when the rumor is not accurate. Moreover
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Impact of climate risk on financial stability: Cross-country evidence International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-21 Zhonglu Liu, Shuguang He, Wenjiao Men, Haibo Sun
There is a growing awareness that climate change is a new source of risk to the financial system, but cross-country evidence on the impact of climate risk on financial stability is lacking. This study empirically investigates the impact of climate risk on financial stability using panel data from 2007 to 2019 in 53 countries. The findings of this study reveal that climate risk negatively affects financial
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Beyond active share: Boosting fund performance through common holdings with same-benchmark mutual funds International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-26 Danxia Wang
This paper provides evidence that equity mutual funds benchmarked to the S&P 500 index keep up with the performance of their same-benchmark peers. To do so, mutual funds form a network linked by shared information through common holdings of non-benchmark stocks. Mutual funds with higher common holdings of non-benchmark stocks generate surplus average returns of 2.2% per year, and have lower volatility
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Global uncertainties and Australian financial markets: Quantile time-frequency connectedness International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-20 Umaid A. Sheikh, Mehrad Asadi, David Roubaud, Shawkat Hammoudeh
Contrary to previous research, this study examines the transmission mechanisms between daily trade policy uncertainty (TPU), geopolitical risk (GPR), global financial stress index (FSI) and the three Australian financial markets (i.e., conventional, sustainable, Islamic stock markets) by using the quantile time-frequency connectedness approach. We also utilize the DCC-GARCH-t copula approach to examine
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VaR and ES forecasting via recurrent neural network-based stateful models International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-20 Zhiguo Qiu, Emese Lazar, Keiichi Nakata
Due to the widespread and quickly escalating effects of large negative returns, as well as due to the increase in the importance of regulatory framework for financial institutions, the accurate measurement of financial risks has become a relevant question in the academia and industry. This paper proposes three novel models based on stateful Recurrent Neural Networks (RNN) and Feed-Forward Neural Networks
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Stock liquidity effect on leverage: The role of debt security, financial constraint, and risk around the global financial crisis and Covid-19 pandemic International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-20 Amir Armanious, Ruoyun Zhao
This study examines the heterogeneity of liquidity effect on leverage and the propensity of zero leverage. Using U.S. public firms from 1990 to 2021, we demonstrate that stock liquidity has significantly negative effects on total debt and secured debt while insignificant effects on unsecured debt. Firms with high stock liquidity reduce the portion of secured debt and increase unsecured debt amidst
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Asymmetric impact of oil price shocks on inflation: Evidence from quantile-on-quantile regression International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-20 Zhenyu Ge, Yang Sun
In this paper, we explore the asymmetric impact of different oil price shocks on inflation after decomposing the shocks into supply shocks, demand shocks, and risk shocks. Using the quantile-on-quantile regression (QQR) approach, we reveal that when inflation is positive, oil supply shocks have a negative impact on inflation, and demand shocks affect it asymmetrically. Positive demand shocks have a
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Bank credit, consumption risk, and the cross-section of expected returns International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-24 Ji Ho Kwon
Although the consumption capital asset pricing model has an unmatched theoretical purity for assets’ risk, the empirical failure of the model stands as a central finding in asset pricing. In an effort to resuscitate consumption-based asset pricing model, we develop and estimate new conditional consumption capital asset pricing models with bank credit growth and bank credit cycle as conditioning variables
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Fintech development and corporate credit risk: Evidence from an emerging market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-17 Changchun Tan, Lingyu Mo, Xiaomeng Wu, Peng Zhou
This paper analyzes the impact of fintech development on the credit risk of non-financial firms. Using the city-level fintech development index constructed based on data from Ant Finance Service Group, we find that: (1) non-financial firms in cities with better fintech services have lower credit risk; (2) two channels identified are financial constraints and corporate investment efficiency; (3) the
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Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-18 Yuejing Wang, Wuyi Ye, Ying Jiang, Xiaoquan Liu
Given close ties between energies and economic growth and evidence in the literature that fundamental information helps improve the pricing efficiency of energy products, in this study we examine volatility prediction for the U.S. energy sector considering the impact of economic variables. In particular, we develop a hybrid model that combines the GARCH-MIDAS model and LSTM neural network. This particular
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The mutual funds puzzle and the elusive von Neumann-Morgenstern preference relation International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-21 Doron Nisani, Amit Shelef, Ralph Sonenshine, Or David
This research studies the Mutual Funds Puzzle from the viewpoint of an economic agent that satisfies the von Neumann-Morgenstern preference relation. We postulate that the probability of a fund manager to outperform the market decreases in a growing market. To examine this supposition, we prove that a risk-averse investor's behavior is consistent with the binary econometric model and develop a ranking
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Financial market integration: A complex and controversial journey International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-20 M. Donadelli, I. Gufler, A. Paradiso
In this article, we develop a comprehensive review of the literature on financial integration (FI). More specifically, we focus on all those empirical and theoretical works aimed at, first, measuring FI levels overtime, and then examining the effects of rising FI on growth, macroeconomic stability, and risk sharing. Our literature review indicates the presence of clear-cut and unanimous empirical evidence
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Trade debts and bank lending in years of crisis International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-20 Davide Dottori, Giacinto Micucci, Laura Sigalotti
We provide a causal investigation of the substitutability between trade indebtedness and bank loans following credit supply shocks, using a large sample of Italian firms at the time of the sovereign debt crisis. We find a negative and significant elasticity of trade debt to bank loans, consistently with the pecking order theory. This allows firms to rebalance their financial structure, increasing their
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Does systemic risk in the fund markets predict future economic downturns? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-18 Dong-hai Zhou, Xiao-xing Liu
This paper is the first attempt to focus on the measurement of systemic risk in the China's fund market and the forecasting power of systemic risk under different conditions on the macroeconomic indicators of the whole distribution. Our findings are as follows. First, stock and ETF funds are the least resilient to risks that could trigger a systemic fund market crisis, while money fund are the most
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The financial impact of financial fair play regulation: Evidence from the English premier league International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-14 Mobolaji Alabi, Andrew Urquhart
In response to the ailing financial situation of European football clubs, UEFA introduced Financial Fair Play (FFP) regulation in 2011 to guide clubs towards profitability and sustainability. In this study, we empirically test whether the break-even requirement (BER) of FFP has improved the financial performance of English Premier League (EPL) clubs exposed to the regulation. We find strong evidence
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A taxonomy for decentralized finance International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-14 Thomas Puschmann, Marine Huang-Sui
Decentralized Finance (‘DeFi’) has gained tremendous momentum over the past three years by using novel approaches to disintermediating financial institutions in the provision of financial services. However, empirical research in this field is still rare, and a more comprehensive understanding of the domain is a missing component in academic research. This paper develops a taxonomy based on a comprehensive
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Recession-proof marketing? Unraveling the impact of advertising efficiency on stock volatility International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-13 Bakr Al-Gamrh, Tareq Rasul
The current study examines how corporate advertising efficiency (estimated using data envelopment analysis) is impacted during economic recessions. The study then investigates how advertising efficiency affects stock price volatility in recession and non-recession times. Drawing on the resource-based view and contingency theory, this study utilizes generalized method of moments (GMM) estimation to
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Country-level heterogeneity in foreign institutional investment horizons and firm value International Review of Financial Analysis (IF 8.235) Pub Date : 2024-01-12 Imad Rahim, Rehman U. Mian, Affan Mian
Extant literature on the influence of short- or long-term foreign institutional investors on corporate valuation and strategic decisions implicitly assumes their monitoring role to be homogeneous across all portfolio countries. This paper examines the valuation impact of country-level heterogeneity in foreign institutional investment horizons using a large sample from 32 countries. Our findings show