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Synthetic cap rate indices (1991-Covid era) Global Finance Journal (IF 2.853) Pub Date : 2024-03-13 Andreas D. Christopoulos, Joshua G. Barratt, Daniel C. Ilut
We introduce a method that combines Euclidean distancing and OLS techniques to project synthetic capitalization rate indices (‘SCXs’) for metropolitan statistical areas in the US. SCXs are projected independently of market prices, asset specific characteristics and geographic location (ex-ante). In contrast to market cap rates, driven by geographic proximity and market comparables, our new method is
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Economic policy uncertainty and the inhibitory effect of firms' green technology innovation Global Finance Journal (IF 2.853) Pub Date : 2024-03-06 Xiaoxiao Zhou, Mengsi Dai, Xiaowei Ma, Vincent Charles, Umer Shahzad, Xin Zhao
Given the potential unforeseen impacts of environmental regulation changes on the innovative activities of micro agents, it is crucial to examine the effects of economic policy uncertainty (EPU) on business development. Several studies have shown that uncertainty acts as a hindrance and can hinder business innovation. This study utilizes data from 807 listed companies spanning from 2007 to 2019 and
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Trade openness and income inequality: The moderating role of institutional quality Global Finance Journal (IF 2.853) Pub Date : 2024-03-05 Hyun-Jung Nam, Bart Frijns, Doojin Ryu
This study examines the effects of trade openness on income inequality and the moderating role of institutional quality in this dynamic within the Association of Southeast Asian Nations. We find the inverted U-shaped relationship between trade openness and income inequality. At a low level of trade openness, an increase in trade openness leads to higher income inequality. Beyond a certain threshold
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Corrigendum to “Private placement, share prices, volume and financial crisis: An emerging market study” [Global Finance Journal Volume 24, Issue 3, 2013, Pages 203–221] Global Finance Journal (IF 2.853) Pub Date : 2024-03-05 M, ., , N, o, r, m, a, z, i, a
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Bridging the gap: Uncovering static and dynamic relationships between digital assets and BRICS equity markets Global Finance Journal (IF 2.853) Pub Date : 2024-02-22 Shoaib Ali, Nassar S. Al-Nassar, Muhammad Naveed
This study uniquely explores the link between nonfungible tokens (NFTs) and the stock markets, providing vital insights for investors to optimize portfolios during global uncertainties such as the health crisis and geopolitical conflicts. We employ the quantile vector autoregression (QVAR) model on daily data from March 14, 2018 to December 23, 2022. Subsequently, the statistics for portfolio analysis
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Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how? Global Finance Journal (IF 2.853) Pub Date : 2024-02-15 Donyetta Bennett, Erik Mekelburg, Jack Strauss, T.H. Williams
We evaluate the impact of a large set of daily sentiment measures for predicting Ethereum (ETH) returns using Machine Learning (ML) methods. We examine ETH predictability and evaluate 5 : , and . ML methods work best? variables robustly predict ETH returns? and does predictability occur? And can we improve predictability? We extract information from fifty sentiment measures from Refinitiv's MarketPsych
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Which witch is which? Deconstructing the foreign exchange markets activity Global Finance Journal (IF 2.853) Pub Date : 2024-02-11 Alexei G. Orlov, Rajiv Sharma
Using regulatory data on transactions and positions, we provide a comprehensive overview of the activity in the foreign exchange (FX) derivatives markets, including futures, swaps, and options, covering exchange-traded and over-the-counter (OTC) products. The heretofore publicly unavailable statistics trace the behavior of dealers, hedge funds, asset managers, pension funds, insurance companies, and
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Does the stock market anticipate events and supreme court decisions in corporate cases? Global Finance Journal (IF 2.853) Pub Date : 2024-02-09 Yehuda Davis, Suresh Govindaraj, Kate Suslava
This paper investigates stock market reactions to judicial events in the United States Supreme Court (SCOTUS) involving at least one public firm. Using a comprehensive dataset of >500 SCOTUS cases from 1948 to 2018, we find that the stock market reacts significantly to both the grant of and the announcement of the final decision. In particular, the stock market reaction to the petitioner and respondent
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Exploring the drivers of investment in Fintech: Board composition and home bias in banking Global Finance Journal (IF 2.853) Pub Date : 2024-02-08 Belinda Laura Del Gaudio, Serena Gallo, Daniele Previtali
This paper explores the determinants of banks' investment in fintech innovation, deepening the role of the board of directors and country home bias. Using board data of the listed banks in the US, EU and UK and fintech companies' investment rounds, we create the home bias variable by measuring the distance in kilometres separating the bank and fintech's headquarters. We find two main results. First
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Corporate social responsibility and voting over public goods Global Finance Journal (IF 2.853) Pub Date : 2024-02-08 Andrew A. Samwick, Sophie Wang
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CSR disclosure, political risk and market quality: Evidence from the Russia-Ukraine conflict Global Finance Journal (IF 2.853) Pub Date : 2024-02-06 Danjue Clancey-Shang, Chengbo Fu
In this study, we investigate how market quality diverges between high-ESG and low-ESG firms in stock market in response to the Russia-Ukraine conflict. With an event-study approach, we find that better CSR performance alleviates the market quality deterioration associated with the outbreak of the war for US-listed foreign firms. Such an effect is insignificant for US domestic firms. We also find that
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Corporate political risk and environmental performance Global Finance Journal (IF 2.853) Pub Date : 2024-02-06 Md Safiullah, Md. Nurul Kabir
We investigate the association between firm-level political risk and environmental performance in U.S. firms during the period 2004–2018. We find a negative impact of political risk on overall environmental performance and its three components (a) carbon emissions reduction; (b) production innovation; and (c) resource reduction. Our findings remain robust when we employ firm fixed-effects, propensity
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Corporate governance and CSR disclosure: Evidence from French listed companies Global Finance Journal (IF 2.853) Pub Date : 2024-02-05 Tarek Miloud
This study aims to analyze the determinants of sustainability disclosures. We hypothesize that good corporate governance is associated with better sustainability disclosures, as indicated by compliance with Global Reporting Initiative (GRI) standards. Using a sample from the French SBF 120 index for the period 2006–2017, we find that well-governed firms are more likely to provide sustainability reports
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Do insiders profit from public environmental information? Evidence from insider trading Global Finance Journal (IF 2.853) Pub Date : 2024-02-05 Sadok El Ghoul, Zhengwei Fu, Omrane Guedhami, Yongwon Kim
We examine whether environmental costs impact the profitability of insider trading. We use a sample of 3189 purchase transactions and 10,200 sales transactions from 31 countries over 2011–2018. We uncover evidence that insiders sell their stocks profitably based on public environmental cost information. Further analysis indicates that these results become more pronounced in contexts of high investor
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Measuring the risk appetite of bank-controlling shareholders: The Risk-Weighted Ownership index Global Finance Journal (IF 2.853) Pub Date : 2024-02-02 Luca Bellardini, Pierluigi Murro, Daniele Previtali
This study proposes a measure of the risk appetite of a bank's ownership structure and investigates whether ownership risk propensity is related to performance and default risk. Our indicator, the Risk-Weighted Ownership (RWO), assumes that credit risk is a proxy for shareholders' risk appetite and assigns risk weights based on the Basel standard approach to the stakes held by the top 5, 10, and 20
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Monetary winds of change: Exploring the link between policy shifts and bank profitability in developed and emerging European markets Global Finance Journal (IF 2.853) Pub Date : 2024-02-01 Achilleas Raftis, Christos Karpetis, Stephanos Papadamou, Eleftherios Spyromitros
This paper investigates the complex relationship between monetary policy and bank profitability by analyzing yearly data from 903 credit institutions across 36 European nations throughout the period of 2005 to 2021, utilizing the two-step system GMM technique. We undertake a comparative analysis to investigate the effects of monetary policy on both developed European and Central, Eastern, and Southeastern
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CSR regulation and the working capital management policy Global Finance Journal (IF 2.853) Pub Date : 2024-02-01 Nemiraja Jadiyappa, Rachappa Shette
This study examined the impact of CSR regulation on the working capital management of Indian firms, using the mandatory 2% CSR spending regulation implemented in India in 2015 as a quasi-natural experiment setup. We used the cash conversion cycle (CC_Cycle) as a proxy to measure working capital management, determining that CSR regulation positively impacted the CC_Cycle. Furthermore, cheaper debt from
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FinTech entrepreneurial ecosystem in India: Role of incubators and accelerators Global Finance Journal (IF 2.853) Pub Date : 2024-01-28 Manmeet Kaur, Wasim Ahmad, K.S. Hari, Ruth Kattumuri
Fintech, a fusion of finance and technology, is changing the global financial landscape. The fast-evolving industry fosters financial inclusion, enabling cost-effective and efficient financial intermediation. The entrepreneurial ecosystem of an economy is pivotal in shaping the prospects of innovations in an economy. This study is an initiative in that direction, evaluating a novel firm-level dataset
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Earnings growth rates in business valuation models: The impossible quaternity Global Finance Journal (IF 2.853) Pub Date : 2024-01-28 Nguyen Kim-Duc, Pham Khanh Nam
We develop formulas for earnings growth rates in business valuation models that justify the timing of reinvestment. First, we show that the cross-reference in the calculation between the reinvestment rate (RIR; i.e., assuming that all reinvestment occurs at the end of each year) and return on invested capital (ROIC; i.e., average invested capital) introduces valuation errors. We then explain the formulas
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Relative performance evaluation with business group affiliation as a source of common risk Global Finance Journal (IF 2.853) Pub Date : 2024-01-26 Yoon K. Choi, Seung Hun Han, Yonghyun Kwon
This study examines relative performance evaluation (RPE) for CEO compensation in business groups called “chaebols” in Korea. We find strong evidence of RPE when peers are member firms within the same business group, particularly when a firm has an established compensation committee or is run by a professional CEO (rather than a family CEO). This result is consistent with the argument that the affiliated
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Foreign investments and firm risk: Evidence from Germany Global Finance Journal (IF 2.853) Pub Date : 2024-01-26 Napaporn Likitwongkajon, Chaiporn Vithessonthi
Using a sample of publicly traded nonfinancial firms in Germany from 2000 to 2020, we empirically test whether the share of foreign investments positively affects firm risk and the cost of debt. Although the share of foreign investments is positively related to operating risk, it is not related to systematic risk, idiosyncratic risk, or industry-adjusted operating risk. Furthermore, the share of foreign
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Information asymmetry in non-US stocks: The compounding and mitigating effects of tax havens and corruption Global Finance Journal (IF 2.853) Pub Date : 2023-12-31 Darius Fatemi, Jang-Chul Kim
This study examines the role of a country's position as a tax haven and its corruption level in the information asymmetry of non-United States (U.S.) stocks listed on the New York Stock Exchange. Based on the findings, non-U.S. stocks from countries with more pronounced attributes of tax havens and corruption levels have a higher probability of information-based trading and lower market liquidity.
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Property crime and lottery-related anomalies Global Finance Journal (IF 2.853) Pub Date : 2023-12-24 Ya Gao, Reza Bradrania
In this paper, we explore the association between property crime rate and lottery demand anomalies. Motivated by criminology literature that suggests a positive relation between crime and risk-taking, we conjecture that gambling propensity in the stock market is stronger (weaker) in regions with higher (lower) property crime rate. Consistent with our conjecture, we show that underperformance of lottery
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Empirical effects of sanctions and support measures on stock prices and exchange rates in the Russia–Ukraine war Global Finance Journal (IF 2.853) Pub Date : 2023-12-18 Jens Klose
What are the effects of sanctions and economic support on stock prices and exchange rates during the Russia–Ukraine war? We address this question using a panel-vectorautoregressions (VAR) model incorporating data from 23 countries besides Russia and Ukraine, spanning from 02/01/2022 to 02/24/2023. Our analysis relies on a detailed database to capture the nuances of sanctions and economic support. The
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Climate risk, ESG performance, and ESG sentiment in US commercial banks Global Finance Journal (IF 2.853) Pub Date : 2023-12-21 Otgontsetseg Erhemjamts, Kershen Huang, Hassan Tehranian
We measure US commercial banks' exposure to and materiality of physical climate risk by examining branch-level data. Our location-specific climate risk measure is pos- itively associated with banks' ESG performance and negatively associated with stake- holders' sentiment regarding ESG issues. Furthermore, banks that experience climate risk shocks, as proxied by NOAA billion-dollar disasters, improve
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Corrigendum to “Managerial market timing under credit risk: How do timed buybacks and stock issuances influence the value of long-term shareholders?” [Global Finance Journal 55 (2023) 100807] Global Finance Journal (IF 2.853) Pub Date : 2023-12-13 Jan Vogt
Abstract not available
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Terror threat and investor sentiment: International evidence Global Finance Journal (IF 2.853) Pub Date : 2023-12-06 Thomas J. Boulton, Corey A. Shank
Terrorism remains a persistent threat to global peace and stability, but its impact extends beyond the realm of security. We examine the impact of terrorism on the important capital market transaction of initial public offerings (IPOs). Consistent with the notion that terrorism dampens investor sentiment, we reveal robust evidence that first-day returns are lower in countries with higher Global Terrorism
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Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations Global Finance Journal (IF 2.853) Pub Date : 2023-12-06 Son Duy Pham, Thao Thac Thanh Nguyen, Xiao-Ming Li
By restoring economic openness, mitigating economic policy uncertainty, and regaining macroeconomic stability, the mass deployment of COVID-19 vaccinations should stabilize foreign exchange (FX) markets. This paper empirically examines the impact of COVID-19 vaccinations on the realized volatility of exchange rates in 30 countries/regions from January 1, 2020, to September 29, 2021. Using the heterogeneous
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Macroprudential regulation and bank risk: The role of shareholders' and creditors' rights Global Finance Journal (IF 2.853) Pub Date : 2023-11-30 Tiago F.A. Matos, João C.A. Teixeira, Tiago M. Dutra
This paper analyzes whether the effect of macroprudential policies on bank risk is channeled through investors' protection using panel data from a sample of 624 banks from 40 countries. We show that investors' protection plays a significant role in the effect of macroprudential policies on bank risk, which translates into higher efficiency for macroprudential policies in countries with highly protected
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Is there a tradeoff between management earnings forecasts and sustainability reporting? Global Finance Journal (IF 2.853) Pub Date : 2023-11-25 Ling Tuo, Zabihollah Rezaee, Lei Gao
This study investigates the relationship between managers' incentives to disclose management earnings forecasts (MEFs) and the Global Reporting Initiative (GRI) sustainability reports; two types of voluntary disclosures that are produced by managers to provide financial and/or nonfinancial information to stakeholders. As the antecedent determinants of these two disclosures overlap, but the related
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Does social trust mitigate insiders' opportunistic behaviors? Evidence from insider trading Global Finance Journal (IF 2.853) Pub Date : 2023-11-14 Yonggang Tian, James S. Ang, Panpan Fu, Chaoqun Ma, Xiuhua Wang
Does social trust restrain or exacerbate the opportunistic behaviors of corporate insiders? On the one hand, insiders susceptible to a high-trust environment will be less opportunistic; on the other hand, unethical insiders may exploit high-trust people to engage in more opportunistic behaviors. This paper tests the two competing hypotheses by investigating how trust surrounding corporate headquarters
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The role of ESG performance in firms' resilience during the COVID-19 pandemic: Evidence from Nordic firms Global Finance Journal (IF 2.853) Pub Date : 2023-11-03 Habeeb Yahya
Firms' corporate social responsibility and environmental sustainability issues have been documented to provide a competitive advantage that enhances financial performance, especially in tightened economic situations. Similarly, studies on countries' economic performance during the COVID-19 pandemic show a significant effect of movement restriction (lockdown) as a spread-containment strategy. This paper
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Forecasting NFT coin prices using machine learning: Insights into feature significance and portfolio strategies Global Finance Journal (IF 2.853) Pub Date : 2023-10-19 Irene Henriques, Perry Sadorsky
With the rise in popularity of Non-Fungible Tokens (NFTs), the demand for NFT coins has also surged. NFT coins are cryptocurrencies that facilitate NFT ecosystems by supporting NFT trading and platform governance. Accurate price predictions of NFT coins are crucial for risk managing volatility and constructing optimal portfolios. This study employs machine learning techniques to predict the daily price
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Equity misvaluation and debt markets Global Finance Journal (IF 2.853) Pub Date : 2023-10-16 May Xiaoyan Bao, Aaron Crabtree, Marc Morris, Huishan Wan
This study examines whether equity misvaluation is associated with credit risk. Credit risk can be argued as not being associated with equity misvaluation because equity misvaluation is noisy information relative to a borrower's intrinsic value. Instead, we hypothesize a nonlinear relationship between credit risk and firm misvaluation. We examine new bond issues between 1990 and 2018. Our results show
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An examination of green bonds as a hedge and safe haven for international equity markets Global Finance Journal (IF 2.853) Pub Date : 2023-10-04 Boru Ren, Brian Lucey, Qirui Luo
Green bonds are a type of fixed-income instrument that specifically designed to fund environmentally friendly projects. Investigating the performance of green bonds is essential to gain insights into the risk-return characteristics and dynamics within sustainable finance and their potential role in portfolio diversification. In this paper, we comprehensively examine the ability of green bonds to act
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The dynamics of market efficiency of major cryptocurrencies Global Finance Journal (IF 2.853) Pub Date : 2023-10-01 Faheem Aslam, Bilal Ahmed Memon, Ahmed Imran Hunjra, Elie Bouri
The exponential growth of Fintech innovation has increased the interest in cryptocurrency market informational efficiency given that cryptocurrencies and their underlying blockchain technology represent a profound yet ambiguous facet of Fintech. In this context, this paper examines the dynamic changes in the market efficiency of six major cryptocurrencies using the multifractal detrended fluctuation
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Dynamic connectedness, spillover, and optimal hedging strategy among FinTech, Sukuk, and Islamic equity markets Global Finance Journal (IF 2.853) Pub Date : 2023-10-04 Mustafa Raza Rabbani, Syed Mabruk Billah, Muneer Shaik, Mashuk Rahman, Rhada Boujlil
The paper investigates the dynamic connectedness, spillover, and optimal hedging strategy of the FinTech, Sukuk, and Islamic equity markets. The CAViaR approach, TVP-VAR Frequency connectedness, and network connectedness approaches are used. We also apply the MVP, MCP, and MCoP approaches to construct portfolios based on the Fintech, Sukuk, and Islamic equity indices. We then compute hedge effectiveness
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Attention based dynamic graph neural network for asset pricing Global Finance Journal (IF 2.853) Pub Date : 2023-10-02 Ajim Uddin, Xinyuan Tao, Dantong Yu
Recent studies suggest that networks among firms (sectors) play a vital role in asset pricing. This paper investigates these implications and develops a novel end-to-end graph neural network model for asset pricing by combining and modifying two state-of-the-art machine learning techniques. First, we apply the graph attention mechanism to learn dynamic network structures of the equity market over time
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Liquidity spillovers in the global stock markets: Lessons for risk management Global Finance Journal (IF 2.853) Pub Date : 2023-10-01 Jorge A. Muñoz Mendoza, Guillermo Ferreira, Vicente A. Márquez Sanders
This paper investigates the liquidity spillovers between 56 stock markets for the period from January 2, 2007 to August 12, 2022. Using high-dimensional data, we estimated a LASSO-VAR model to calculate liquidity spillovers across the diverse stock markets. Our results reveal that stock markets are significantly connected through the liquidity channel. This connectedness is mainly explained by variations
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Pricing of European currency options considering the dynamic information costs Global Finance Journal (IF 2.853) Pub Date : 2023-09-30 Wael Dammak, Salah Ben Hamad, Christian de Peretti, Hichem Eleuch
Dynamic costs arising from the variable impact of information on asset pricing present a challenge for accurate European currency option pricing. The Garman and Kohlhagen model, though influential in the literature, does not adequately account for these costs. This study extends the model by integrating an intensity function into the interest rates to measure dynamic information costs. Inspired by
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Greasing the wheels of irreversible investment: International evidence on the economic effects of corruption Global Finance Journal (IF 2.853) Pub Date : 2023-09-27 Kenneth Yung, Qiuye Cai, Deqing Diane Li
Firm- and industry-specific investments are irreversible. Irreversibility makes investment more sensitive to risk. Firms are reluctant to engage in irreversible investment (IRRE) in the face of uncertainty. Corruption provides firms with a mechanism to grease the wheels of irreversible projects. In this study, corruption is proxied by the corruption perception index (CPI). Low levels of perceived corruption
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Be nice to the air: Severe haze pollution and mutual fund risk Global Finance Journal (IF 2.853) Pub Date : 2023-09-06 Suvra Roy, Harvey Nguyen, Nuttawat Visaltanachoti
Motivated by the significant impacts of environmental risks on economic decisions and the increasing roles of mutual funds in financial markets in recent decades, this study examines the impact of ambient pollution on mutual funds' risk outcomes. Our fund fixed-effect regression estimates use manually collected propriety data from several datasets, showing that polluted air increases tracking errors
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Busy board and corporate debt maturity structure Global Finance Journal (IF 2.853) Pub Date : 2023-08-22 Md Ruhul Amin, Sharif Mazumder, Elvan Aktas
Prior literature has examined the effectiveness of the busy board by evaluating two competing hypotheses: quality point of view and busyness point of view. In response to these views, we argue and validate social identity theory, in the sense that, to maintain their entrenchment, managers of firms with busy boards tend to avoid monitoring from short-term debtholders by reducing short-term debt financing
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Time-varying asymmetric spillovers among cryptocurrency, green and fossil-fuel investments Global Finance Journal (IF 2.853) Pub Date : 2023-08-25 Linh Pham, Toan Luu Duc Huynh, Waqas Hanif
Cryptocurrency is a financial innovation that brings many potential benefits, yet it has been criticized for its negative environmental impacts. To fully reap the benefits from this financial innovation, it is important to understand its relationship with low- and high‑carbon-intensive financial assets. This paper investigates the time-varying and asymmetric spillovers among cryptocurrency, green and
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Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability Global Finance Journal (IF 2.853) Pub Date : 2023-08-19 Leandro dos Santos Maciel
This paper uses multifractal detrended fluctuation analysis to evaluate price efficiency dynamics and relate them to stock price predictability in the Brazilian equity market. The main findings are (1) multifractality is confirmed before and after the coronavirus disease (COVID-19) pandemic, rejecting the random walk hypothesis; (2) stock returns are generally antipersistent, with large (small) values
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Extreme negative events and corporate acquisitions: Terrorist attacks Global Finance Journal (IF 2.853) Pub Date : 2023-08-18 Chia-Wei Huang, Chih-Yen Lin
We examine the effect of extreme negative events on the perception of corporate managers and their merger and acquisition decisions. As terrorist attacks cause fear and anxiety, leading to political or private benefit to the perpetrator, and are not executed to affect corporate policy decision-making, these events represent clean, exogenous shocks to the crucial assumption and create appropriate conditions
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Firm performance & effective mitigation of adverse business scenarios Global Finance Journal (IF 2.853) Pub Date : 2023-08-20 Gurupdesh Pandher, Jerry Sun
An important question for firm management and markets is whether superior capabilities to mitigate the impact of adverse business scenarios lead to higher firm valuation and performance. We address this question by identifying empirical hypotheses from a new channel of the shareholder value maximization theory of risk management and evaluate them by using a new broadly applicable methodology based
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Powerful CEOs and investment efficiency Global Finance Journal (IF 2.853) Pub Date : 2023-08-19 Md Raihan Uddin Chowdhury, Feixue Xie, Md Mahmudul Hasan
This study investigates whether chief executive officers (CEOs) with excessive power make efficient investment decisions. We employ a comprehensive measure of CEO power and find that highly powerful CEOs tend to reduce investment efficiency by increasing overinvestment. This inefficiency is more pronounced with strong information asymmetry, agency problems, and product market competition. We also find
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Big is beautiful: The impact of bank–borrower relationship and sponsor size on credit spreads and underwriting fees in commercial real estate lending Global Finance Journal (IF 2.853) Pub Date : 2023-08-06 Ricarda Haffki, Ferdinand Mager, Kerstin Hennig
This study uses a granular dataset to examine the impact of relationships between banks and borrowers and sponsor sizes on the credit spread and the associated underwriting fees of commercial real estate loans. This study focuses on commercial real estate banks that keep the loans on their books and do not use commercial mortgage-backed securities to transfer the credit risk to the capital market.
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Green bonds: Do investors benefit from third-party certification? Global Finance Journal (IF 2.853) Pub Date : 2023-07-30 Duygu Zirek, Omer Unsal
This study investigates whether green-bond certification benefits climate-risk-concerned investors. We compare the performance of green bonds and their degree of compliance with the Green Bond Principles and find that certification appears to play no role in bond performance—bonds with different certification tiers are indistinguishable from others. However, bond characteristics, such as issuer type
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Dynamics of mining markets: Equilibrium implications for professional and casual miners Global Finance Journal (IF 2.853) Pub Date : 2023-07-04 Luca Pezzo, Lei Wang, Seungho Shin, Duygu Zirek
We design a simple equilibrium model to analyze the dynamics of the mining market in the presence of professional and casual miners. The model endogenously recovers two major unobservable drivers: the supply of computing power, and the dynamics of the fixed costs of mining. We calibrate the model to the market of Bitcoin and Ethereum and find that positive shocks to the supply of computing power (technological
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Internal alliance and firm risk Global Finance Journal (IF 2.853) Pub Date : 2023-06-28 Liang Sun
This paper studies the impact of internal alliances, measured by the fraction of top non-CEO executives and directors appointed during the current CEO's tenure, on firm risk. We find that firms with more executives or directors hired after the current CEO takes office are associated with higher-risk levels. This positive association is more prominent for rural and financially unconstrained firms, as
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Information acquisition and market liquidity: Evidence from EDGAR search activity Global Finance Journal (IF 2.853) Pub Date : 2023-06-28 Afshin Haghighi, Lei Zhang, Barry Oliver, Robert Faff
We find that information acquisition is associated with an improvement in market liquidity. An empirical analysis of search activity using EDGAR as a proxy for information acquisition shows a theoretical gap in market microstructure models. We also find that EDGAR search is associated with nonsynchronicity, more efficient pricing, and negatively associated with the PIN measure. These results demonstrate
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Organizational mode choices of multinational banks abroad Global Finance Journal (IF 2.853) Pub Date : 2023-06-28 Oskar Kowalewski
We investigate the determinants of organizational modes adopted by multinational banks abroad using a unique database of 98 parent banks and their organizational modes in 169 countries from 2005 to 2015. Our findings reveal that multinational banks operate in various organizational modes abroad, including multiple modes in a single host country; however, subsidiaries are the dominant mode of operation
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Do market, resource and knowledge distance impact inbound cross-border acquisition? Global Finance Journal (IF 2.853) Pub Date : 2023-06-25 Chandrika Raghavendra, Taimur Sharif, Rampilla Mahesh, Miklesh Prasad Yadav, Mohammad Zoynul Abedin
With the increasing phenomena of cross-border acquisition (CBA) activities in emerging economies (EE), evidence about “distance” factors that make these economies attractive to home country firms is sparse. Given this background, we employ major locational advantage distance measures such as market, resource, and knowledge distances and examine their impact on the value and number of inbound CBAs in
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Do different streams of capital flows affect asset prices differently? Global Finance Journal (IF 2.853) Pub Date : 2023-06-22 Nur Ain Shahrier, Zaheer Anwer, M. Kabir Hassan
This paper explores the impact of six types of gross capital flows (debt, equity, and banking gross inflows and outflows) on two dimensions: (1) extreme episodes of surges, stops, flights, and retrenchments, and (2) the probability of boom-busts in ASEAN-4 asset markets for the period 1993–2018. To this end, we first decompose gross capital inflows and outflows from Balance of Payments 5 and 6 and
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Risk implications of dependence in the commodities: A copula-based analysis Global Finance Journal (IF 2.853) Pub Date : 2023-06-15 Prachi Jain, Debasish Maitra
The study aims to quantify the risk between oil and a broad sample of commodities using copulae tools to model the dependence structures. Using daily returns of commodity futures from October 3, 2005, to January 21, 2022, we find that in contrast with conventional wisdom, a C-Vine outperforms D- and R-Vine in modeling the multivariate dependence structure among commodities. We then compare the efficiency
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How quickly do investors react to analyst reports? Evidence from reports released outside trading hours Global Finance Journal (IF 2.853) Pub Date : 2023-06-15 Kotaro Miwa
This study analyzes whether the publication timing of reports released outside trading hours affects subsequent price drift to determine if investors respond immediately to analyst reports. Significant price drifts are observed for revisions in target prices, especially when a report is released within two hours before the market opens. Furthermore, the influence of publication timing is crucial when