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Comparing factor models with price-impact costs J. Financ. Econ. (IF 10.4) Pub Date : 2024-09-21 Sicong Li, Victor DeMiguel, Alberto Martín-Utrera
We propose a formal statistical test to compare asset-pricing models in the presence of price impact. In contrast to the case without trading costs, we show that in the presence of price-impact costs different models may be best at spanning the investment opportunities of different investors depending on their absolute risk aversion. Empirically, we find that the five-factor model of Hou et al. (2021)
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The application of continuous audit and monitoring methodology: A government medication procurement case Int. J. Account. Inf. Syst. (IF 4.1) Pub Date : 2024-09-21 Wenru Wang, Miklos A. Vasarhelyi
In the government procurement process, waste and abuses are hard to avoid, and there are usually latencies between the event occurrence and detection works. The continuous audit methodology has been adopted by many public and private firms to actively monitor transactions and detect possible anomalies. Compared to the adoptions in the private sector, implementations of continuous audit and monitoring
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Exploring accounting and AI using topic modelling Int. J. Account. Inf. Syst. (IF 4.1) Pub Date : 2024-09-21 Brid Murphy, Orla Feeney, Pierangelo Rosati, Theo Lynn
Historically, literature suggests that a variety of accounting roles will be replaced by Artificial Intelligence (AI) and related technologies; however, in recent years there is a growing recognition that accounting can in fact harness AI’s potential to add value to organisations. Commentators have highlighted the need for increased research exploring accounting and AI and for accounting scholars to
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Estimating and testing investment-based asset pricing models J. Financ. Econ. (IF 10.4) Pub Date : 2024-09-20 Frederico Belo, Yao Deng, Juliana Salomao
Investment-based asset pricing models typically predict a close link between a firm’s stock return and its characteristics at any point in time. Yet, previous studies have primarily focused on the weaker prediction that this link holds on average, finding substantial empirical support. We show how to incorporate the time-series predictions in the estimation and testing of investment-based models using
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Conditional risk J. Financ. Econ. (IF 10.4) Pub Date : 2024-09-20 Niels Joachim Gormsen, Christian Skov Jensen
We study the extent to which time-variation in market betas influence estimates of CAPM alphas. Given the observed variation in conditional market betas, market risk premia, and market variance, the required compensation for conditional market risk can, in theory, be as large as the unconditional equity premium. We implement the conditional CAPM using state-of-the-art methods in a broad global sample
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Internalizing Peer Firm Product Market Concerns: Supply Chain Relations and M&A Activity Journal of Accounting Research (IF 4.9) Pub Date : 2024-09-16 FARZANA AFRIN, JINHWAN KIM, SUGATA ROYCHOWDHURY, BENJAMIN P. YOST
We explore whether firms internalize the product market concerns of their economically linked peers by examining merger and acquisition decisions in the context of customer–supplier relations. Given the extensive transfer of capital, knowledge, and information between merging parties, we hypothesize that customers’ competition concerns discourage their suppliers from engaging in vertically conflicted
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Dynamic spillover effects and interconnectedness of DeFi assets, commodities, and Islamic stock markets during crises International Review of Financial Analysis (IF 7.5) Pub Date : 2024-09-19 Ijaz Younis, Anna Min Du, Himani Gupta, Waheed Ullah Shah
Decentralized Finance (DeFi) assets, commodities, and Islamic stock market cointegration are affected by technological innovations, market dynamics, investor behavior, and crises. This study investigates the dynamics of returns and volatility for three DeFi assets, six commodities, and three Islamic stock markets from December 2019, to March, 2023, and identifies higher spillover effects during crises
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Socially Responsible Finance: How to Optimize Impact Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-19 Augustin Landier, Stefano Lovo1
Can a socially responsible fund (SRF) improve social welfare while maximizing assets under management? We consider a two-sector model integrating financial intermediation, emissions’ negative externalities, and investors’ social preferences with regard to value alignment and impact. In scenarios with a high proportion of value-aligned investors, the SRF invests in clean sectors and compels recipients
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The determinants of voluntary disclosure: Integration of eXtreme gradient boost (XGBoost) and explainable artificial intelligence (XAI) techniques International Review of Financial Analysis (IF 7.5) Pub Date : 2024-09-18 Yu-Hsin Lu, Yu-Cheng Lin
Financial information transparency is vital for the various users of financial statements. This study employs the Explainable Artificial Intelligence (XAI) approach, utilizing eXtreme Gradient Boost (XGBoost) to explore management's motivations for voluntary disclosure. By transforming financial data into various plots, we introduce a voluntary disclosure model that enhances interpretability through
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Regulatory profiling and endogenous benchmarking International Review of Financial Analysis (IF 7.5) Pub Date : 2024-09-18 Panagiotis Tziogkidis, Dionisis Philippas
Banks' responses to regulatory requirements have a direct effect on their balance sheet mix and their business models. The paper introduces the concept of regulatory profiling, which establishes a nexus between banks' operations and their regulatory choices. Regulatory profiling is a process that identifies an optimal number of regulatory peers sharing similar operational characteristics for a bank
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Balancing education and real estate: The impact of the teacher rotation policy on school district housing prices Finance Research Letters (IF 7.4) Pub Date : 2024-09-18 Yang Zhao, Jingchun Ma, Zhu Lan
In this study, we use Shanghai as a case study, leveraging extensive housing transaction data from its pilot areas to analyze the impact of the teacher rotation policy on the differentiation of school district housing prices within the city. Our findings reveal that the policy significantly reduces housing prices in high-quality school districts, with the most pronounced effect observed in dual school
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Duration-Based Valuation of Corporate Bonds Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-18 Jules H van Binsbergen, Yoshio Nozawa, Michael Schwert
We decompose corporate bond and equity index returns into duration-matched government bond returns and the excess returns over this duration-matched counterfactual, which we term duration-adjusted returns. Compared with previously used excess return definitions (ie, returns in excess of Treasury bills), our decomposition leads to markedly different return patterns and asset pricing implications. In
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Direct lenders in the U.S. middle market J. Financ. Econ. (IF 10.4) Pub Date : 2024-09-17 Tetiana Davydiuk, Tatyana Marchuk, Samuel Rosen
This paper studies the rise of direct lending using a comprehensive dataset of investments by business development companies (BDC). We exploit three exogenous shocks to credit supply, including new banking regulations and a major finance company collapse, to establish that BDC capital acts as a substitute for traditional financing. Using firm-level data, we further document that firms’ access to BDC
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Dynamic portfolio optimization with the MARCOS approach under uncertainty International Review of Financial Analysis (IF 7.5) Pub Date : 2024-09-17 Pengrui Yu, Zhipeng Ge, Xiaomin Gong, Xiao Cao
This paper introduces a dynamic portfolio selection approach that integrates the robustness of interval type-2 fuzzy sets (IT2FSs) with the flexibility of the MARCOS (Measurement of Alternatives and Ranking according to COmpromise Solution) method, offering a novel framework for asset evaluation amidst uncertainty. The IT2FSs enhance the adaptability of asset criteria representation, while the innovative
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The enabling effects of digital technology on the quality of firm development: Insights and implications International Review of Financial Analysis (IF 7.5) Pub Date : 2024-09-17 Dingqing Wang, Hongwei Liao, Xinyue Wang
Firms are the fundamental units driving the development of regional systems, and their enhancement in overall strength determines the effectiveness of industrial collaborative innovation networks, serving as a crucial support for the high-quality development of urban agglomerations. In the digital era, how firms can improve their overall strength to enhance their supporting role in the construction
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Small price bias in the cryptocurrency market. A cognitive bias revealed by emotions on social networks Finance Research Letters (IF 7.4) Pub Date : 2024-09-17 Adriana García Londoño, Santiago Alonso Díaz
Cognitive biases influence cryptocurrency market outcomes. Of relevance for this work, investors react variably to low-priced cryptocurrencies, evident in market outcomes like volatility. We investigate whether low prices also drive emotional responses on Twitter. Results show emotions align with price levels, with stronger reactions to lower prices. We conclude that small prices affect investor emotions
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North Korea's threats and the cost of equity capital: The effect of information environments Finance Research Letters (IF 7.4) Pub Date : 2024-09-17 Yong Mi Kim, Sang Hyuk Lee
We examine how the information environment affects the association between North Korea's threats and the cost of equity financing. Using a sample of Korean publicly-listed firms from 2012 to 2019, we find evidence that the adverse effect of North Korea's threats on the cost of equity capital is more significant for companies in less transparent information environments after controlling for other factors
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Revolutionizing Bitcoin price forecasts: A comparative study of advanced hybrid deep learning architectures Finance Research Letters (IF 7.4) Pub Date : 2024-09-17 Xiangyi He, Yiwei Li, Houjian Li
This paper employs a deep learning network with a comprehensive architecture to forecast Bitcoin prices, enhancing accuracy by integrating two meta-heuristic optimization algorithms, INFO and NRBO. Empirical results demonstrate that the hybrid model significantly outperforms the LSTM in both fit and predictive accuracy across in-sample and out-of-sample data. Notably, the NRBO-CNN-BiLSTM-Attention
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Impact of trade frictions on economic costs and financial risks Finance Research Letters (IF 7.4) Pub Date : 2024-09-16 Zhifang Pan, Zhenqiu Qian, Shihui Cheng
This paper constructs a Difference in Differences (DiD) model using 2018 to 2022 as the study period and April 2018 as the time point of the outbreak of trade friction in order to assess the impact of trade friction on the economic cost and financial risk of enterprises. The findings suggest that increased trade friction leads to higher economic costs and financial risks for firms. Specifically, trade
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A study of the impact of cryptocurrency price volatility on the stock and gold markets Finance Research Letters (IF 7.4) Pub Date : 2024-09-14 Xiangyu Zhang, Zhuming Chen, Shengyu Wang
This paper selects data from January 18, 2018, to May 6, 2024, as a sample to study the impact of cryptocurrency price volatility on the stock and gold markets. The empirical study finds that the price volatility of the cryptocurrency market causes the price of the stock market to fluctuate in the same direction, and the price volatility of the cryptocurrency market causes the price of the gold market
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Financial risks and economic costs of trade sanctions Finance Research Letters (IF 7.4) Pub Date : 2024-09-14 Chengzhi Qiao
This paper selects the panel data of 31 provinces, autonomous regions, and municipalities in China from 2012 to 2022 as a sample. It empirically analyzes the relationship between financial risk and economic costs in the context of trade sanctions and the mediating effect of technological innovation. It is found that the financial risk of trade sanctions significantly increases economic costs and also
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Higher education, population mobility, and the development of the digital economy Finance Research Letters (IF 7.4) Pub Date : 2024-09-14 Dong Wang, Yi Zhao, Hainan Liu
Using panel data from 31 provinces, this study examines the relationship between higher education, population mobility, and digital economy development. Findings reveal that higher education facilitates digital economy development, population mobility facilitates digital economy development, the regional innovation capacity positively moderates the relationship between higher education and digital
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The Brand Premium Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-14 Hamid Boustanifar, Young Dae Kang
We highlight the limitations of using cumulative advertising expenses as an input measure of brand value. Using two output measures—Interbrand’s data and a novel text-based measure—we find that an equal-weighted portfolio of top brands yields an annual abnormal return of 3%. The excess returns are driven by companies that develop their brands internally. Intangible factors proposed in the literature
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Do managers have more incentives to hoard bad news during panic? A study of terrorist attacks and stock price crash risk International Review of Financial Analysis (IF 7.5) Pub Date : 2024-09-13 Xianda Liu, Zi Wei, Sheng Zhao
We identify a robust and significant relationship, both statistically and economically, between the rise in a firm's stock price crash risk and the occurrence of terrorist attacks in the vicinity of the firm's headquarters. The empirical findings support the idea that terrorist attacks often trigger increased performance pressures and elevated investor sensitivities, thereby initiating the information
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Detecting house price bubbles in G7 countries: New evidence and heterogeneous determinants Finance Research Letters (IF 7.4) Pub Date : 2024-09-13 Xiaoming Zhang, Mengqing Zhu, Yiming Tian, Stefano Zedda
In recent years, the high growth of house prices in G7 countries has attracted some attention from all sectors due to the role of the real estate bubble in the global financial crisis of 2008. In this research, we analyzed the house price bubbles and their determinants in G7 countries. Firstly, we detected multiple house price bubbles in G7 countries between 1970 and 2022 and located when the house
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A bibliometric review of Market Microstructure literature: Current status, development, and future directions Finance Research Letters (IF 7.4) Pub Date : 2024-09-13 Anand Krishnan V.K., Meera Davi Chalissery, Sony Thomas
We present a bibliometric literature review of the research conducted in the field of Market Microstructure over the past two decades. Covering 981 articles from the Web of Science (WOS) database published from 2004–2023, we summarise the publication trends and identify the most important contributors to the field. We map the conceptual structure and identify the popular themes using the Bibliometrix
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Are Bankruptcy Professional Fees Excessively High? Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-13 Samuel Antill
Chapter 7 is the most popular bankruptcy system for U.S. firms and individuals. Chapter 7 professional fees are substantial. Theoretically, high fees might be an unavoidable cost of incentivizing professionals. I test this empirically. I study trustees, the most important professionals in chapter 7, who liquidate assets in exchange for legally mandated commissions. Exploiting kinks in the commission
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Global Evolution of Environmental and Social Disclosure in Annual Reports Journal of Accounting Research (IF 4.9) Pub Date : 2024-09-13 Yan Lin, Rui Shen, Jasmine Wang, Y. Julia Yu
We study environmental and social (E&S) disclosures in annual reports. Using the word embedding model to examine over 210,000 annual reports from 24,271 public firms in 30 international countries/regions between 2001 and 2020, we create an E&S dictionary that allows us to document trends in annual report E&S disclosure. Specifically, we find: (1) increases in length and boilerplate language and (2)
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Competition, Product differentiation and Crises: Evidence from 18 million securitized loans J. Financ. Econ. (IF 10.4) Pub Date : 2024-09-12 Peter Haslag, Kandarp Srinivasan, Anjan V. Thakor
RMBS sponsors contributed to the rise of new product features in securitized mortgages prior to the 2008 financial crisis. Using a regulatory shock to sponsor competition , we show securitization influences the design of mortgage contracts, empirically demonstrating a unique, feedback loop of product differentiation from the derived security (MBS) to the underlying asset (loans). Product differentiation
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Pricing of sustainability-linked bonds J. Financ. Econ. (IF 10.4) Pub Date : 2024-09-12 Peter Feldhütter, Kristoffer Halskov, Arthur Krebbers
We examine the pricing of sustainability-linked bonds (SLBs), where the cash flows depend on the bond issuer achieving one or more Environmental, Social and Governance (ESG) goals. Investors are willing to accept a 1–2bps lower yield due to the bond’s ESG label, providing evidence of investors caring about environmental impact. Furthermore, we find the average probability of missing the target is 14%–39%
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The role of platform stakes in equity crowdfunding success Finance Research Letters (IF 7.4) Pub Date : 2024-09-12 Sofia Johan, Robert S. Reardon
This study examines the influence of platform characteristics — ownership stakes and underwriting fees — on the outcomes of equity crowdfunding campaigns and their ability to attract subsequent funding. Analyzing data from 2016 to 2022 across all U.S. equity crowdfunding platforms, our findings reveal that while platform ownership stakes positively correlate with immediate campaign success and follow-on
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New accounting standards and the performance of quantitative investors J. Account. Econ. (IF 5.4) Pub Date : 2024-09-12 Travis Dyer, Nicholas Guest, Elisha Yu
We examine quantitative investors’ ability to navigate a common and occasionally material change to the financial data generating process: new accounting standards. Returns of quantitative mutual funds temporarily decrease relative to funds that rely more heavily on human discretion following the implementation of a few standards that significantly change key financial statement variables; however
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Evaluating ESG Investment Profitability: From the Perspective of Sophistication in Investment Decision-Making Finance Research Letters (IF 7.4) Pub Date : 2024-09-11 Xiaomeng Lu, Xianjun Zhang, Fusen Guo, Feng Li
Environmental, Social, and Governance (ESG) investments are widely discussed in the stock market. Further, the debate on ESG investment profitability has garnered significant scholarly attention. This study examines the relationship between ESG investments and equity investment return (EIR) and whether this relationship is affected by investors' sophistication. The results suggest that while ESG investors
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Public debt determinants: A time-varying analysis of core and peripheral Euro area countries Finance Research Letters (IF 7.4) Pub Date : 2024-09-11 Mario Di Serio
This study employs a Bayesian Interacted Panel VAR model to estimate time-varying Generalized Forecast Error Variance Decomposition, analyzing how key determinants affect debt in Core and Peripheral Euro Area countries. Results highlight varying effects of determinants across periods and subgroups.
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War discourse and global equity returns Finance Research Letters (IF 7.4) Pub Date : 2024-09-11 Jiazhen Wang, Yvonne Fang, Xiaolu Hu, Angel Zhong
This study investigates the asset pricing implications of war risks in global stock markets. We employ a novel war discourse index developed by Hirshleifer et al. (2023a), which captures market attention to war through news. Extending this approach to both developed and emerging markets, we uncover a significantly positive relation between war risks and global stock market excess returns, which is
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Bank heterogeneity and financial stability J. Financ. Econ. (IF 10.4) Pub Date : 2024-09-10 Itay Goldstein, Alexandr Kopytov, Lin Shen, Haotian Xiang
We propose a model of the financial system in which banks are individually prone to runs and connected through fire sales. Strategic complementarities within and across banks amplify each other, making heterogeneity in bank risks a key factor shaping the fragility of each bank and the entire system. As long as different banks are interconnected, an increase in heterogeneity stabilizes all banks. Reductions
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Negative performance feedback and firms’ CSR strategy selection: Conformity or differentiation? Finance Research Letters (IF 7.4) Pub Date : 2024-09-10 Sailin Zhu, Xin Zhang
Drawing on the behavioral theory of the firm (BTOF), studies debate about whether underperforming firms will engage in more corporate social responsibility (CSR). In this study, we categorize CSR into CSR conformity and CSR differentiation, and find that underperforming firms are more likely to increase CSR conformity but decrease CSR differentiation. Furthermore, market strategy deviation strengthens
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The impact of climate policy uncertainty on the Italian financial market Finance Research Letters (IF 7.4) Pub Date : 2024-09-10 Caterina Di Tommaso, Matteo Foglia, Vincenzo Pacelli
In this paper, we develop the Climate Policy Uncertainty Index (CPU) for the Italian context based on news from major Italian newspapers. The CPU index exhibits distinct movements around major national and international climate events. We also investigate the effects of CPU on the Italian financial market. The results provide evidence that a shock CPU has a negative impact on financial market performance
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The Parabolic Relationship of Tax Avoidance and Cost of Public Debt Finance Research Letters (IF 7.4) Pub Date : 2024-09-10 Mariya Letdin, Cathryn M. Meegan, Miles A. Romney
We find that, contrary to prior findings, tax avoidance has a non-linear relationship with cost of debt. Debtholders reward increasing tax avoidance with decreasing bond yields for “undersheltering” firms until reaching a minimum yield. Beyond that minimum yield, as tax avoidance increases, debtholders penalize firms with increasing costs of debt. We use secondary bond market as our empirical setting
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The nexus between local government debt risk, real estate sector, and financial stability Finance Research Letters (IF 7.4) Pub Date : 2024-09-10 Yulong Li
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Syndicated Lending, Competition, and Relative Performance Evaluation Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-09 Thomas Schneider, Philip E Strahan, Jun Yang
Relative performance evaluation (RPE) intensifies competitive pressure by tying executive compensation to the profits of rivals. We show that these contracts make loan syndication harder by reducing banks’ willingness to participate in loans underwritten by banks named in their RPE contracts. Lead arranger banks, which are more frequently named in RPE, hold larger shares of the loans they syndicate
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The Technical Default Spread Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-09 Emilio Bisetti, Kai Li, Jun Yu
We study the quantitative impact of lender control rights on corporate investment, asset prices, and the aggregate economy. We build a general equilibrium model in which the breaching of a loan covenant (technical default) entails a switch in investment control rights from borrowers to lenders. Lenders optimally choose low-risk projects, thus mitigating borrowers’ risk-taking incentives and lowering
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Student Loans, Access to Credit, and Consumer Credit Demand Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-09 Alvaro Mezza, Daniel Ringo, Kamila Sommer
This paper provides novel evidence that increased student loan debts, caused by rising tuitions, increase borrowers’ demand for additional consumer debt, while simultaneously restricting their ability to access it. The net effect of student loan debt on consumer borrowing varies by market, depending on whether the supply or demand channel dominates. In loosely underwritten credit markets, increased
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Specialization and performance in private equity: Evidence from the hotel industry J. Financ. Econ. (IF 10.4) Pub Date : 2024-09-07 Christophe Spaenjers, Eva Steiner
Using granular data on U.S. hotel investments over the past two decades, we show that industry-specialist PE firms achieve higher net income from operations and higher capital gains from sale than generalist PE firms for comparable properties. Those results are driven by specialists implementing more and larger cost savings without compromising revenues. Fundamentally, specialists utilize their hotel-specific
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Tail risks in household finance Finance Research Letters (IF 7.4) Pub Date : 2024-09-06 Omid M. Ardakani, Rawan Ajina
We introduce a measure to quantify shared information within household financial portfolios under extreme events. We employ mutual information and copula entropy to capture tail dependencies among investment assets. We then study the impact of socio-economic factors on proactive financial behaviors using data from the 2022 Survey of Consumer Finances and highlight the necessity for tail-informed diversification
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Compensation stickiness and firms' innovative capacity Finance Research Letters (IF 7.4) Pub Date : 2024-09-05 Zhe Tao, Hanchao Liu
This paper selects data from A-share listed companies in Shanghai and Shenzhen from 2010 to 2022 for empirical analysis. The empirical findings show that pay stickiness has a significant negative impact on the innovation ability of enterprises. There is a difference in the impact of pay stickiness on the innovation ability of state-owned enterprises and non-state-owned enterprises; the independence
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Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models Finance Research Letters (IF 7.4) Pub Date : 2024-09-05 Marcos Escobar-Anel, Lars Stentoft, Xize Ye
This paper examines which VIX maturity to use in affine GARCH model estimation, when the objective is to do option pricing. Utilizing the Model Confidence Set approach repeatedly, we rank the best VIXs across different dynamic models. Our results highlight the importance of estimating with VIXs and show that with the appropriate VIX a reduction of up to 38% in option pricing errors can be obtained
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Proxy Advisory Firms and Corporate Shareholder Engagement Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-05 Aiyesha Dey, Austin Starkweather, Joshua T White
We study how Institutional Shareholder Services (ISS) affect firms’ engagement with shareholders. Our analyses exploit a quasi-natural experiment using say-on-pay voting outcomes near a threshold that triggers ISS to review engagement activities. Firms receiving ISS treatment exhibit swift and substantive increases in extensive and intensive margins of engagement, especially when their boards have
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A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-05 Amit Goyal, Ivo Welch, Athanasse Zafirov
Our paper reexamines whether 29 variables from 26 papers published after Goyal and Welch 2008a, as well as the original 17 variables, were useful in predicting the equity premium in-sample and out-of-sample as of the end of 2021. Our samples include the original periods in which these variables were identified, but end later. More than one-third of these new variables no longer have empirical significance
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Machine Learning for Continuous-Time Finance Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-05 Victor Duarte, Diogo Duarte, Dejanir H Silva
We develop an algorithm for solving a large class of nonlinear high-dimensional continuous-time models in finance. We approximate value and policy functions using deep learning and show that a combination of automatic differentiation and Ito’s lemma allows for the computation of exact expectations, resulting in a negligible computational cost that is independent of the number of state variables. We
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Deposit insurance and credit union earnings opacity The British Accounting Review (IF 5.5) Pub Date : 2024-09-05 Lemonia M. Rempoutsika, Dimitris K. Chronopoulos, Linh Nguyen, John O.S. Wilson
This study examines the impact of deposit insurance coverage on credit union earnings opacity. For identification, we employ the provisions outlined in Section 136 of the Emergency Economic Stabilization Act, which raised the upper limit of deposit insurance coverage from $100,000 to $250,000. Using variation in insured deposits brought about by the differential impact of the change to deposit insurance
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The impact of CEO hedging on corporate ESG performance: Evidence from the United States Finance Research Letters (IF 7.4) Pub Date : 2024-09-04 Yanuo Wang, Zhengying Xie, Haipeng Geng, Jorry Croce
Corporate ESG performance is increasingly recognized as crucial for sustainable development, yet the impact of CEO behavior on this metric remains understudied. This paper investigates how CEO hedging affects corporate ESG performance, addressing a significant gap in the literature. Using data from U.S. listed companies from 2013 to 2021, we employ regression analysis and propensity score matching
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Environmental policies on the systematic risk of critical metals companies Finance Research Letters (IF 7.4) Pub Date : 2024-09-04 Boris Pastén-Henríquez, Pablo Tapia-Griñen, Jorge Sepúlveda-Velásquez
The increase in natural disasters due to climate change has prompted the adoption of measures to mitigate it, like the use of renewable energy sources. This study suggests that the transition risk associated with these policies will rise the demand for critical metals, increasing the systematic risk for companies that produce them. Using Bayesian structural time series, we find evidence suggesting
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Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-04 Marianne Andries, Thomas M Eisenbach, Martin C Schmalz
Inspired by experimental evidence, we amend the recursive utility model to let risk aversion decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and retain appealing features of the long-run risk framework, notably its success at explaining asset pricing moments. In addition, our model addresses two challenges to the standard model. Calibrating the agents’ preferences
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Sexism, Culture, and Firm Value: Evidence from the Harvey Weinstein Scandal and the #MeToo Movement Journal of Accounting Research (IF 4.9) Pub Date : 2024-09-04 KARL V. LINS, LUKAS ROTH, HENRI SERVAES, ANE TAMAYO
During the revelation of the Harvey Weinstein scandal and the reemergence of the #MeToo movement, firms with a nonsexist corporate culture, proxied by having women among the five highest‐paid executives, earn excess returns of 1.3% relative to firms without female top executives. These returns are driven by changes in investor preferences toward firms with a nonsexist culture. Institutional ownership
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Can legal construction in the securities market strengthen corporate audit quality: Evidence from the implementation of new securities act International Review of Financial Analysis (IF 7.5) Pub Date : 2024-09-03 Jierong Chen, Zhoumin Gou, Kunyu Zhao
Improving the legal structure of China's securities market depends on revising the Securities Law. Using data from A-share listed companies from 2015 to 2022, this paper uses the difference-in-differences (DID) approach to investigate the effect of implementing the New Securities Law on the audit quality of companies. The revelation shows how much the New Securities Law can improve the caliber of company
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Credit Cycles, Expectations, and Corporate Investment Rev. Financ. Stud. (IF 6.8) Pub Date : 2024-09-03 Huseyin Gulen, Mihai Ion, Candace E Jens, Stefano Rossi
We provide a systematic empirical assessment of the Minsky hypothesis that business fluctuations stem from irrational swings in expectations. Using predictable firm-level forecast errors, we build an aggregate index of irrational expectations and use it to provide three sets of results. First, we show that our index predicts aggregate credit cycles. Next, we show that these predictable credit cycles
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On the EPA's Radar: The Role of Financial Reports in Environmental Regulatory Oversight Journal of Accounting Research (IF 4.9) Pub Date : 2024-09-03 BIN LI, ANNIKA YU WANG
This paper investigates the role of corporate financial reports in the Environmental Protection Agency's (EPA) regulatory activities. By tracking the EPA's direct retrieval of SEC filings, we identify three key findings. First, the EPA retrieves a large volume of financial reports, especially from firms in high‐pollution industries. Second, the EPA is more likely to access financial reports during