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Financial Crises and Political Radicalization: How Failing Banks Paved Hitler's Path to Power J. Financ. (IF 7.544) Pub Date : 2022-06-22 SEBASTIAN DOERR, STEFAN GISSLER, JOSÉ-LUIS PEYDRÓ, HANS-JOACHIM VOTH
Do financial crises radicalize voters? We study Germany's 1931 banking crisis, collecting new data on bank branches and firm-bank connections. Exploiting cross-sectional variation in pre-crisis exposure to the bank at the center of the crisis, we show that Nazi votes surged in locations more affected by its failure. Radicalization in response to the shock was exacerbated in cities with a history of
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What Drives Individual Investors in the Bear Market? The British Accounting Review (IF 5.577) Pub Date : 2022-06-21 Rong Xu, Yaodong Liu, Nan Hu, Jie (Michael) Guo
This study uses a unique dataset from a large anonymous brokerage firm to examine the net investment of individual investors during a bear market. The study’s empirical evidence reveals that individual investors provide liquidity by acting as net buyers. Particularly, male and younger investors tend to have a higher buying intensity than the others during the market downturn. Besides, better performances
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Investment dynamics and forecast: Mind the frequency Finance Research Letters (IF 5.596) Pub Date : 2022-06-21 Juha Kilponen, Fabio Verona
We analyze the in-sample fit and the out-of-sample forecast performance of the investment equation using different proxies for Tobin’s Q, controlling for cash flow, and using their frequency-decomposed components. We show that different frequencies of bond Q and cash flow significantly improve the empirical performance (both in-sample and out-of-sample) of the traditional investment equation. The key
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Do terrorist attacks matter for currency excess returns? Finance Research Letters (IF 5.596) Pub Date : 2022-06-21 Yiye Liu, Liyan Han, You Wu, Libo Yin
This paper provides a novel investigation into how currency excess returns react to terrorist attacks. We construct a terrorism risk factor and demonstrate that it significantly matters to excess returns of both carry trade and individual currencies. Furthermore, we form a currency portfolio by simply buying terrorism-sensitive currencies and selling less terrorism-sensitive currencies, which yields
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Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach Finance Research Letters (IF 5.596) Pub Date : 2022-06-21 Rui Ke, Luyao Yang, Changchun Tan
This paper employs a dynamic peak over threshold (PoT) model to measure and forecast both the lower and upper tail Value at Risks (VaRs) of Bitcoin returns, which offers a new perspective to investigate the tail risk dynamics for Bitcoin. We evaluate the VaR forecasting accuracy of this model compared with that of the GARCH-EVT models based on Student-t, skewed Student-t and Generalized error distribution
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To green or not to green: The influence of board characteristics on carbon emissions Finance Research Letters (IF 5.596) Pub Date : 2022-06-20 Christian Kreuzer, Christopher Priberny
We analyze how board characteristics affect a company’s carbon emissions besides further firm-related and cultural variables, using data on over 6,000 companies located in 46 countries for the period 2009–2019. We identify the boards that are more skilled or have a higher share of female members to emit a lower amount of greenhouse gases. Surprisingly, high CSR board efforts show higher carbon emissions
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Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence Finance Research Letters (IF 5.596) Pub Date : 2022-06-19 Pratap Chandra Pati
This study is the first to measure the informativeness of Chicago Mercantile Exchange(CME)-traded Micro Bitcoin futures (MBT) by exploring its contribution made to the price discovery process and realized volatility spillover of CME Bitcoin futures (BTC) and underlying Bitcoin spot markets. Hasbrouck's information share, and Lien and Shrestha's modified information share suggest that MBT contributes
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Valuation effects of emissions reduction target disclosures Finance Research Letters (IF 5.596) Pub Date : 2022-06-19 Urvashi Khandelwal, Prateek Sharma, Viswanathan Nagarajan
Abstract not available
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Female Representation on Boards and Carbon Emissions: International Evidence Finance Research Letters (IF 5.596) Pub Date : 2022-06-19 Hatem Rjiba, Tharshan Thavaharan
This paper examines the effect of board gender diversity on firms’ carbon emissions. Using a sample of firms from 43 countries during the 2005-2019 period, we establish that firms with more gender-diverse boards have a lower carbon footprint. Our results are shown to be robust for a battery of sensitivity checks, including the use of alternative definitions of board gender diversity, multiple estimation
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A note on modelling yield curve control: A target-zone approach Finance Research Letters (IF 5.596) Pub Date : 2022-06-18 Cho-Hoi Hui, Andrew Wong, Chi-Fai Lo
Abstract not available
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Central bank speeches and digital currency competition Finance Research Letters (IF 5.596) Pub Date : 2022-06-18 Stefan Scharnowski
This paper studies how cryptocurrency investors view central bank digital currencies (CBDCs) by exploiting the market reaction to central bank speeches. Prices react asymmetrically to the speeches, increasing more strongly after speeches that take a more positive stance. Similarly, while volatility generally increases, negative CBDC sentiment has a slight amplifying effect. The results indicate that
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On index investing J. Financ. Econ. (IF 6.988) Pub Date : 2022-06-17 Jeffrey L. Coles, Davidson Heath, Matthew C. Ringgenberg
We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An exogenous increase in index investing leads to lower information production as measured by Google searches, EDGAR views, and analyst reports, yet price informativeness remains unchanged. These findings are consistent with an equilibrium in which investors choose to gather private information
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Corrigendum to “Investor attention, information acquisition, and value premium: A mispricing perspective” [International Review of Financial Analysis 79 (2022) 1–21/101976] International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-17 Fawad Ahmad, Raffaele Oriani
Abstract not available
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Distracted analysts and earnings management Finance Research Letters (IF 5.596) Pub Date : 2022-06-18 Thanh Dat Le, Tri Trinh
This study examines whether firms covered by distracted analysts manage their earnings more intensively. We construct a firm-level measure of analyst distraction based on exogenous attention-grabbing events and find that analyst distraction is positively associated with earnings management. Our findings demonstrate that limited attention from analysts can negatively affect corporate financial reporting
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Markowitz meets technical analysis: Building optimal portfolios by exploiting information in trend-following signals Finance Research Letters (IF 5.596) Pub Date : 2022-06-17 André A.P. Santos, Hudson S. Torrent
Technical indicators are widely used by market participants to identify trends in asset prices and in trading volumes. However, it is unclear how to reconcile this approach with a portfolio selection policy that guide investment decisions in many assets at the same time. We bridge the gap between Markowitz approach to mean–variance portfolios and technical analysis by devising a portfolio strategy
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Time-varying causality between stock prices and macroeconomic fundamentals: connection or disconnection? Finance Research Letters (IF 5.596) Pub Date : 2022-06-17 Vincent Fromentin
This study investigates the connection/disconnection between the stock market and macroeconomic fundamentals in the United States from January 1960 to December 2021. Using a recent time-varying Granger causality framework, tests revealed asymmetric bidirectionnal causality. The lead-lag relationships between stock prices and key macroeconomic indicators are more prevalent during recession phases. However
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Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine Finance Research Letters (IF 5.596) Pub Date : 2022-06-16 Yihan Wang, Elie Bouri, Zeeshan Fareed, Yuhui Dai
We evaluate the transmission of returns and volatility in the universe of commodities around the war in Ukraine. The total volatility spillover increases from 35% to 85%, exceeding the level seen during the pandemic. The role of commodities changes in both return and volatility spillover systems. Crude oil becomes a net transmitter of return spillovers whereas wheat and soybeans become net receivers
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Game on: Social networks and markets J. Financ. Econ. (IF 6.988) Pub Date : 2022-06-16 Lasse Heje Pedersen
I present closed-form solutions for prices, portfolios, and beliefs in a model where four types of investors trade assets over time: naive investors who learn via a social network, “fanatics” possibly spreading fake news, and rational short- and long-term investors. I show that fanatic and rational views dominate over time, and their relative importance depends on their following by influencers. Securities
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Commodity Financialization and Information Transmission J. Financ. (IF 7.544) Pub Date : 2022-06-14 ITAY GOLDSTEIN, LIYAN YANG
We provide a model to understand the effects of commodity futures financialization on various market variables. We distinguish between financial speculators and financial hedgers and study their separate and combined effects on the informativeness of futures prices, the futures price bias, the comovement of futures prices with other markets, and the predictiveness of financial trading. We capture the
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Sentiment and uncertainty J. Financ. Econ. (IF 6.988) Pub Date : 2022-06-14 Justin Birru, Trevor Young
Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Accordingly, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. For the cross-section of returns, the predictive ability of sentiment for assets
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Financing Irish high-tech SMEs: The analysis of capital structure International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-14 Conor Neville, Brian M. Lucey
This paper analyses the capital structure of high-tech SMEs based in Ireland examining the determinants which influence the financing options. The main contribution of this paper is to provide analysis on the capital structure financing choices of the high-tech sector, and provide a new insight into the financing of high-tech SMEs through primary data. Regarding the primary data utilised in this paper
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Small Bank Lending in the Era of Fintech and Shadow Banks: A Sideshow? Rev. Financ. Stud. (IF 4.649) Pub Date : 2022-06-14 Taylor A Begley, Kandarp Srinivasan
Amid the emerging dominance of nonbanks, small banks use key financing advantages to persist in the mortgage market. We provide evidence of the heterogeneous impact of two shocks to the supply of mortgage credit: postcrisis regulatory burden and GSE financing cost changes. Small banks exploit regulation disproportionately affecting the largest four banks (Big4) and their ability to lend on balance
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The Rise of Finance Companies and FinTech Lenders in Small Business Lending Rev. Financ. Stud. (IF 4.649) Pub Date : 2022-06-13 Manasa Gopal, Philipp Schnabl
We document that finance companies and FinTech lenders increased lending to small businesses after the 2008 financial crisis. We show that most of the increase substituted for a reduction in bank lending. In counties in which banks had a larger market share before the crisis, finance companies and FinTech lenders increased their lending more. We find no effect of reduced bank lending on employment
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The Effect of Stock Liquidity on the Firm’s Investment and Production Rev. Financ. Stud. (IF 4.649) Pub Date : 2022-06-13 Yakov Amihud, Shai Levi
We propose that stock market liquidity affects corporate investment and production. Illiquidity, which raises firms’ cost of capital, lowers investment in capital assets, R&D, and inventory. This effect holds after we control for endogeneity using exogenous liquidity events, the 2001 decimalization, and the 1997 Nasdaq reform and after employing instrumental variable estimation. Illiquidity affects
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The Effects of Capital Requirements on Good and Bad Risk-Taking Rev. Financ. Stud. (IF 4.649) Pub Date : 2022-06-13 N Aaron Pancost, Roberto Robatto
We study capital requirement regulation in a dynamic quantitative model in which nonfinancial firms, as well as households, hold deposits. A novel general equilibrium channel that operates through firms’ deposits mitigates the cost of increasing capital requirements. In the calibrated model, (a) the optimal capital requirement is 7.3 percentage points higher than in a comparable model in which all
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Digital information systems in support of accountability: The case of a welfare provision non-governmental organisation The British Accounting Review (IF 5.577) Pub Date : 2022-06-11 Caterina Cavicchi, Emidia Vagnoni
The paper aims at exploring how the creation of Fry's (1995) “conversations for accountability” between a welfare provision non-governmental organisation (NGO) and local institutions and private donors shaped the NGO's accountability path. To this end, the role that digital information systems (ISs) played in supporting this path was analysed. In more detail, the paper investigates how the NGO uses
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Asymmetric asset correlation in credit portfolios Finance Research Letters (IF 5.596) Pub Date : 2022-06-11 Yongbok Cho, Yongwoong Lee
This study proposes a novel time-varying credit risk model to describe the cyclicality and asymmetry of asset correlation in credit portfolios. Our proposed model is developed based on a GJR-GARCH type volatility and copula-based conditional dependence. We prove that our model outperforms the regulatory model for the U.S. credit portfolios with strong empirical evidence of cyclical and asymmetric asset
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User cost of foreign monetary assets under dollarization Finance Research Letters (IF 5.596) Pub Date : 2022-06-06 Boniface P. Yemba
We use a Capital Asset Price Model (CAPM) model to derive the formula of user cost for foreign monetary asset whose rates of return are subject to foreign exchange risk premia. Our formula shows that only domestic non-monetary asset can be used as the benchmark asset. In fact, under dollarization the local currency’ assets offer a higher risk premium and return over the dollar denominated one because
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Fixed Income Conference Calls J. Account. Econ. (IF 5.817) Pub Date : 2022-06-10 Gus De Franco, Thomas Shohfi, Da Xu, Zhiwei (Vivi) Zhu
We study the determinants and the informational role of firms’ fixed income conference calls, a unique form of voluntary disclosure that deviates from the traditional multi-purpose firm disclosures intended for all stakeholders. We find that fixed income calls are more likely to be held by firms that have more debt, lack credit ratings or have publicly traded equity, are foreign, or are experiencing
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By what way women on corporate boards influence corporate social performance? Evidence from a semiparametric panel model Finance Research Letters (IF 5.596) Pub Date : 2022-06-11 Maria Giuseppina Bruna, Rey Đặng, L'hocine Houanti, Jean-Michel Sahut, Michel Simioni
Given the contrasting empirical results of the literature, the question of the influence of the presence of women on corporate boards of directors (WOCB) on the corporate social performance (CSP), we revisit this problem by developing a semi-parametric approach to capture the non-linear effects of this relationship. The results show that sociological diversity, organizational learning, and pluralistic
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Audit quality and seasoned equity offerings methods International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-05 Man Dang, Premkanth Puwanenthiren, Cameron Truong, Darren Henry, Xuan Vinh Vo
Using a sample of U.S. seasoned equity offering (SEO) during the period 2002–2017, we document that audit quality is associated with SEO issuance method choice. Specifically, firms with higher quality auditors are more likely to adopt the accelerated offerings issue method instead of using other seasoned equity offering methods. We also identify that audit tenure and industry audit specialization influence
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Narcissistic leaders do not share! The relationship between top managers' narcissism and the distribution of value added Finance Research Letters (IF 5.596) Pub Date : 2022-06-08 Carlos F. Alves, Maria João Guedes
Stakeholder theory implies that firms' economic and social purpose is to create value for all their stakeholders, without favoring any group. However, the distribution of the value created is a matter of choice for each firm. Thus, it may reflect the top managers' characteristics. Accordingly, this paper examines whether the narcissism of top managers impacts the creation and distribution of value
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Temporal aggregation of the Aumann–Serrano and Foster–Hart performance indexes International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-10 Jiro Hodoshima, Toshiyuki Yamawake
We investigate the temporal aggregation of the Aumann–Serrano (AS) and Foster–Hart (FH) performance indexes considered by Kadan and Liu (2014). We provide sufficient conditions for the two indexes to be closed under temporal aggregation, that is, for the two indexes to have the same values when the observations are aggregated. Here, we present empirical examples using U.S. stock data and the four anomalies
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The disappearance of the zero-earnings discontinuity: SOX, dotcom boom or gradual decline? Finance Research Letters (IF 5.596) Pub Date : 2022-06-09 Patrick Chardonnens, Peter Fiechter, Martin Wallmeier
The zero-earnings discontinuity in the US disappeared around the time when the Sarbanes–Oxley Act (SOX) became effective, suggesting that SOX may have reduced the small loss avoidance by firms. In this paper, we examine a potential confounding effect arising from the dotcom boom at the turn of the millennium. Many newly listed dotcom firms had no revenues but high market capitalizations. Therefore
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Natural gas volatility predictability in a data-rich world International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-03 Fei Lu, Feng Ma, Pan Li, Dengshi Huang
This study employs macroeconomic variables and economic indices to forecast natural gas volatility. The out-of-sample results show that the forecasting performance of the macroeconomic variables outperforms the economic indices. Additionally, the forecasting performance of the mixed data sampling model, which combines the least absolute contraction and the selection operator (MIDAS-LASSO), is better
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Development vs. political views of government ownership: How does it affect investment efficiency? Finance Research Letters (IF 5.596) Pub Date : 2022-06-03 Ahmad Ghazali, Karren Lee-Hwei Khaw, Fauzi Bin Zainir
This study connects the development view and political view of government ownership with the firm life cycle theory to explain firms’ investment efficiency. We find that government ownership of firms in the introduction and decline stages is driven by the development view that improves investment efficiency. However, consistent with the political view, higher government ownership worsens firms' investment
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The potential use of robo-advisors among the young generation: Evidence from Italy Finance Research Letters (IF 5.596) Pub Date : 2022-06-04 Eleonora Isaia, Noemi Oggero
In this paper, we investigate the potential demand of robo-advisory among Millennials and the Generation Z. Using data from a survey that we designed and fielded in Italy, we show that individuals with an advanced level of financial knowledge are more likely to be potential users of robo-advisors. We also find that only online activities that entail a financial component, such as buying online and
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Not only skill but also scale: Evidence from the hedge funds industry International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-08 Maher Kooli, Min Zhang
This paper empirically tests a two-levels model of decreasing returns to scale using a sample of hedge funds. The two-levels model assumes that a fund's gross alpha is a decreasing function of both the fund scale and the style scale measured by the aggregate size of peers in the hedge fund style. We find that a fund-level model underestimates the impact of diseconomies of scale on the gross alpha by
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Fund trading divergence and performance contribution International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-06 Ruth Gimeno, Laura Andreu, José Luis Sarto
Considering that the most distinct trading decisions are crucial to evaluate the ability of fund managers to add value, this paper aims to examine the trading divergence level among mutual funds and to capture its determinants and its performance consequences. We propose a measure that is more informative than the traditional overlap metrics, providing evidence of a positive and significant trend of
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CDS Trading and Analyst Optimism The British Accounting Review (IF 5.577) Pub Date : 2022-06-06 Chen Zhao, Yubin Li, Suresh Govindaraj, Zhaodong (Ken) Zhong
This paper investigates whether and how the initiation of Credit Default Swaps (CDS) trading affects analyst forecast optimism. First, we document that the initiation of CDS trading curbs analyst forecasts optimism. Second, we find that the dampening effect of CDS on analyst optimism is stronger for firms with negative news and for firms with poorer financial performance or higher leverage, supporting
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Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-06 Qian Ding, Jianbai Huang, Hongwei Zhang
We explore the time-frequency spillovers among carbon, fossil energy and clean energy markets, and consider the casual effects of climate change attention. The spillover effects among carbon, fossil energy and clean energy markets are time-varying. Carbon market is a net receiver of spillovers from the oil market and clean energy markets in the short term, but it becomes a net transmitter of spillovers
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The Value of Differing Points of View: Evidence from Financial Analysts’ Geographic Diversity Rev. Financ. Stud. (IF 4.649) Pub Date : 2022-06-06 William C Gerken, Marcus O Painter
Using satellite imagery of retail firms parking lots to measure time-varying local firm-specific performance, we document that analysts incorporate local information into their forecasts. Analysts rely more on local signals when less firm-wide information is available. This incorporation of noisy local firm information has firm-level implications. Examining across industries, we find causal evidence
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High Inflation: Low Default Risk and Low Equity Valuations Rev. Financ. Stud. (IF 4.649) Pub Date : 2022-06-06 Harjoat S Bhamra, Christian Dorion, Alexandre Jeanneret, Michael Weber
We develop an asset pricing model with endogenous corporate policies that explains how inflation jointly affects real asset prices and corporate default risk. Our model includes two empirically founded nominal rigidities: fixed nominal debt coupons (sticky leverage) and sticky cash flows. These two frictions result in lower real equity prices and credit spreads when expected inflation rises. A decrease
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The life of the counterparty: Shock propagation in hedge fund-prime broker credit networks J. Financ. Econ. (IF 6.988) Pub Date : 2022-06-04 Mathias S. Kruttli, Phillip J. Monin, Sumudu W. Watugala
Using novel credit data, we show that hedge fund borrowing is significantly overcollateralized, primarily with rehypothecable securities. An idiosyncratic liquidity shock to a major prime broker significantly decreases credit to connected hedge funds. The dominant channel behind this shock transmission is credit supply reduction rather than precautionary demand reduction. Funds posting more rehypothecable
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The effects of overnight events on daytime trading sessions International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-03 Hyuna Ham, Doojin Ryu, Robert I. Webb
This study investigates the association between overnight and daytime-trading session returns in U.S. equity markets over the last 14 years and interprets it using the overreaction hypothesis. To identify the effects of overnight overreactions on daytime trading sessions, we control for daily investor sentiment, firms' fundamental variables, and risk factors. Our results suggest that investors tend
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UK Vice Chancellor compensation: Do they get what they deserve? The British Accounting Review (IF 5.577) Pub Date : 2022-06-03 Brian Lucey, Andrew Urquhart, Hanxiong Zhang
The compensation received by UK Vice Chancellors (VCs) has been on an upward trend in recent years and attracted a lot of negative media attention. In this paper, we examine whether VCs receive the compensation they deserve. Using a panel dataset covering the academic years 2007/2008 to 2018/2019, we develop a model to predict expected VC compensation to determine whether VCs are over- or undercompensated
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U.S. grain commodity futures price volatility: Does trade policy uncertainty matter? Finance Research Letters (IF 5.596) Pub Date : 2022-05-30 Dexiang Mei, Yutang Xie
The outbreak and continuation of the COVID-19 pandemic have affected the trade policies of various countries and influenced global food security. This paper aims to use U.S. major grain commodity futures price and trade policy uncertainty (TPU) index data to examine the impact of TPU on the volatility of U.S. grain futures prices under the GARCH-MIDAS framework. The in-sample estimates confirm the
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Tax Policy and Abnormal Investment Behavior J. Financ. (IF 7.544) Pub Date : 2022-05-30 QIPING XU, ERIC ZWICK
This paper documents tax-minimizing investment, whereby firms tilt capital purchases toward fiscal year-end to reduce taxes. Between 1984 and 2016, average investment in fiscal Q4 exceeds the fiscal Q1 through Q3 average by 36%. Q4 spikes occur in the U.S. and internationally. Research designs using variation in firm tax positions and the 1986 Tax Reform Act show tax minimization causes spikes. Spikes
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Marijuana Liberalization and Public Finance: A Capital Market Perspective on the Passage of Medical Use Laws J. Account. Econ. (IF 5.817) Pub Date : 2022-06-02 Stephanie F. Cheng, Gus De Franco, Pengkai Lin
We find that the staggered passage of state-level laws that legalize marijuana for medical use increases states’ borrowing costs by 7 to 9 basis points. Consistent with economic theory on substance use suggesting that marijuana legalization increases local consumption of the drug (by expanding its availability and reducing its perceived risks), we predict and find that increased consumption represents
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Earnings Virality J. Account. Econ. (IF 5.817) Pub Date : 2022-06-02 Brett Campbell, Michael Drake, Jacob Thornock, Brady Twedt
We examine the determinants and market consequences associated with earnings announcements going viral on social media, a phenomenon we label “earnings virality.” Using a comprehensive panel of historical Twitter data, we find that the typical earnings announcement receives relatively little social media coverage, but others go viral on social media, quickly reaching the feeds of millions of people
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Fire-sale risk in the leveraged loan market J. Financ. Econ. (IF 6.988) Pub Date : 2022-05-31 Redouane Elkamhi, Yoshio Nozawa
Using detailed loan holding data of Collateralized Loan Obligations (CLOs), we document empirical evidence for the fire sale of leveraged loans due to leverage constraints on CLOs. Constrained CLOs are forced to sell loans downgraded to CCC or below, and thus loans widely held by constrained CLOs experience temporary price depreciation. This instability is exacerbated by diversification requirements
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Analysis of risk correlations among stock markets during the COVID-19 pandemic International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-03 JunFeng Wu, Chao Zhang, Yun Chen
The outbreak of the COVID-19 pandemic significantly negatively impacted the global economy and stock markets. This paper investigates the stock-market tail risks caused by the COVID-19 pandemic and how the pandemic affects the risk correlations among the stock markets worldwide. The conditional autoregressive value at risk (CAViaR) model is used to measure the tail risks of 28 selected stock markets
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Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach International Review of Financial Analysis (IF 5.373) Pub Date : 2022-06-03 Wenting Zhang, Xie He, Shigeyuki Hamori
This study analyzes the dynamic connectedness between the ESG stock index, the renewable energy stock index, the green bond stock index, the sustainability stock index, and the carbon emission futures by employing a novel method: the DCC-GARCH-based dynamic connectedness approach. Given the strong volatility spillover among these indexes, we adopt the DCC-GARCH t-copula model to calculate these indexes'
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The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic Finance Research Letters (IF 5.596) Pub Date : 2022-06-02 Zaghum Umar, Afsheen Abrar, Adam Zaremba, Tamara Teplova, Xuan Vinh Vo
We study the relationship between return and volatility of non-fungible tokens (NFT) segments and media coverage during the outbreak of the COVID-19 pandemic in a connectedness framework. We document media coverage as a net transmitter of spillover for both the return and volatility of NFT segments. We find that NFTs representing the Utilities segment is a major transmitter of spillover. Our findings
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Horizon Bias and the Term Structure of Equity Returns Rev. Financ. Stud. (IF 4.649) Pub Date : 2022-06-01 Stefano Cassella, Benjamin Golez, Huseyin Gulen, Peter Kelly
We label the degree to which individuals are more optimistic at long horizons relative to short horizons as the horizon bias. We examine whether time-series variation in the horizon bias can explain the time-series variation in the equity term structure. We use analyst earnings forecasts to measure the degree of the horizon bias in the stock market. Consistent with the intuition from a stylized present
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The Incidence of Student Loan Subsidies: Evidence from the PLUS Program Rev. Financ. Stud. (IF 4.649) Pub Date : 2022-06-01 Mahyar Kargar, William Mann
How much do students benefit from student loan subsidies? We investigate this question, exploiting a natural experiment: a demand shock due to the 2011 tightening of credit standards in the PLUS program. We first establish that the Bennett hypothesis is best explained by colleges charging large markups over their marginal costs, rather than by advantageous selection. Then we use our results to estimate
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Bank Bonus Pay as a Risk Sharing Contract Rev. Financ. Stud. (IF 4.649) Pub Date : 2022-05-31 Matthias Efing, Harald Hau, Patrick Kampkötter, Jean-Charles Rochet
We argue that risk sharing motivates the bankwide structure of bonus pay. In the presence of financial frictions that make external financing costly, the optimal contract between shareholders and employees involves some degree of risk sharing whereby bonus pay partially absorbs negative earnings shocks. Using payroll data for 1.26 million employee-years in all functional divisions of Austrian, German
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Cryptocurrency returns under empirical asset pricing International Review of Financial Analysis (IF 5.373) Pub Date : 2022-05-26 Kwamie Dunbar, Johnson Owusu-Amoako
This study examines the predictability of cryptocurrency returns based on investors' risk premia. Prior studies that have examined the predictability of cryptocurrencies using various economic risk factors have reported mixed results. Our out-of-sample evidence identifies the existence of a significant return predictability of cryptocurrencies based on the cryptocurrency market risk premium. Consistent