For the first time ever, oil futures were negatively priced on April 20, 2020. We modify an investment model to fit the financial markets context of information processing and arrival. It is able to explain a negative price dip. Its joint interpretation with estimates from GARCH models captures some central institutional setups of the market. We show not only storage uncertainty, in particular, due

This study explores the relationship between Corporate Survival (CS), measured through both an accounting-based model (Altman Z-Score) and a market-based model (Merton Distance to Default), and ESG performance, measured through Refinitiv ESG ratings. Based on an IQR-normalized sample of data from non-financial companies listed on the STOXX 600 European index, the study conducted a fixed-effects regression

We adopt a rich global dataset to extend the conventional forecast-error-based uncertainty measure to the international context and construct a proxy of global macroeconomic uncertainty. Our proxy displays significant independent variations from popular regional or country-specific uncertainty measures, and can serve as an alternative to the global economic policy uncertainty (EPU) index among others

This paper investigates the effect of foreign exchange (FX) option trading volume on the underlying EUR/USD futures market. Our in-sample and out-of-sample tests show that the FX put-call volume ratio can predict future exchange rate changes. Greater put-call volume ratios predict a depreciation of the Euro relative to the US dollar. The predictability is prevalent in times of high uncertainty in the

We develop a model of banking to clarify how contingent convertible bonds (CoCos) affect banks’ financing and investment policies when they face the upper limit of CoCo issuance. We then discuss the optimal conversion ratio of CoCos. In contrast to the frictionless setting, banks with more dilutive terms optimally choose to delay investment and issue first larger and then smaller CoCos. For banks with

This paper investigates the impact of environmental policy stringency (EPS) on labor investment inefficiency using a dataset of firms from 37 countries. Our study contributes to the literature by addressing a gap in understanding how stringent environmental policies influence corporate labor decisions, particularly regarding inefficient labor investments. To deal with potential endogeneity, we employ

Currency momentum portfolios have not generated positive returns after the global financial crisis. We propose conditional currency momentum strategies that incorporate information about the average forward discount, the currency market volatility, and the return dispersion of currency portfolios. Our strategy goes long in the momentum portfolio only when the average forward discount is positive, the

This study investigates the incremental benefits of ESG criteria on investment portfolio performance, with a particular focus on the non-linear attributes of ESG factors. Employing linear regression models, the research establishes that ESG factors contribute supplementary information to investment portfolios, thereby augmenting the models' explanatory power regarding returns. The integration of ESG

Can innovative technologies address the challenge of information asymmetry that has long plagued the financial services industry? This study investigates a three-tier supply chain model, consisting of a core buyer firm, suppliers, and sub-suppliers. It explores the impact of blockchain-enabled financing (BF) on the supply chain finance's structure and governance. Utilizing a circular city model, this

Based on the data from the World Values Survey and the World Integrated Trade Solution for 23 exporting countries (regions) from 1993 to 2021, this paper studies the impact of national risk preference on exports, and investigates the moderating effect of insurance development level on this impact. The results show that national risk preference has a significant positive effect on the exports of exporting

This study explores the impact of the depth of digital trade regulations on bilateral value chain (BVC) cooperation within the framework of regional trade agreements (RTAs) using the University of International Business and Economics global value chain database and the Trade Agreements Provisions on Electronic Commerce and Data database from 2001 to 2014. The number of digital trade provisions in RTAs

Rising competition, expanding service goals, and integrating business channels and banks through innovative digital technologies all contribute to regional FinTech development in the banking sector. This study uses the two-way fixed effects approach and prefectural-level data from 2011 to 2020 to examine the relationship between banking concentration and regional FinTech development. Findings reveal

Digital intelligence has provided companies a great opportunity to develop a distinct and differentiating competitive advantage. Using the difference-in-differences approach, this study investigated the relationship between implementing tax reduction incentives policies and the digitalization and intelligence of A-share listed companies from 2016 to 2022. Results show that implementing a tax reduction

Drawing upon data from Shanghai and Shenzhen A-share listed companies from 2012 to 2022, this study investigates the impact of corporate tax avoidance on firm value in various settings. The findings reveal that tax avoidance can reduce firm value. Nonetheless, high-quality internal control mechanisms reduce the negative impact of tax avoidance on firm value. Furthermore, increasing the proportion of

This study examines the impact of tax incentives for upstream and downstream enterprises on the technological innovation of midstream enterprises from a supply chain perspective. By constructing an econometric model to examine A-share listed companies' financial data, supply chain information, and national tax survey data spanning 2010–2022, the study reveals that tax incentives for downstream enterprises

This study explores the role of financial technology (Fintech) in influencing climate risks within financial markets by introducing the Climate Risk Index in Financial Markets (CRIFM), which measures the return differences between green and traditional markets. Through theoretical analysis and empirical research, we find that the development of Fintech significantly increases climate risk in financial

This study explores the relationship between corporate governance quality (CGQ) and corporate climate risk disclosure (CCRD), which aligns with the 13th Sustainable Development Goal. We apply text mining techniques to compute a unique CCRD score using manually collected annual reports of French SBF-120 nonfinancial firms listed from 2012 to 2022. Using an index-based measure of CGQ, the regression

Carbon trading serves as an effective mechanism and a cost-effective tool for countries to reduce carbon emissions. This study develops a hybrid forecasting model using the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) and temporal convolutional network-long short-term memory network (TCN-LSTM) methods to address the nonlinear and time-variant nature of carbon prices

The disposition effect is a financial puzzle that is often reported in empirical studies. Although several theoretical explanations have been proposed, a unified view has yet to be reached to solve the puzzle. We explain the effect by extending the model of Barberis and Xiong (2009), which is the first to formally link prospect theory and disposition effects using a binomial model of stock prices by

This study investigates the role of auditing in facilitating the effective implementation of goodwill accounting through key audit matters (KAMs). The findings show that excess goodwill increases the likelihood of goodwill being considered as a KAM, and firms with goodwill as a KAM are more likely to recognize goodwill impairment. The positive relationship between excess goodwill and a goodwill KAM

This study investigates the impact of supply shocks on financial leverage (debt-equity ratio) in the U.S. economy from 1998:Q1 to 2024:Q2. The study employs a linear and non-linear Local Projections (LP) and Bayesian Vector Autoregression (BVAR) models to explore dynamic relationships. While the LP models reveal that a supply chain shock negatively affects leverage with statistically significant results

Using an event study approach, this paper examines the impact of the ECB's 2022 climate stress test on the share prices of European banks. We provide novel evidence that investors reacted negatively to both the announcement of the stress test and the publication of the results, even though there was no direct impact on regulatory capital and no detailed disclosure for individual institutions. Our unique

Language shapes its speakers' cognition and decision-making. Consequently, recent studies have examined the effects of linguistic structures like future time reference and gender marking on financial reporting behavior, though the evidence remains fragmented and inconclusive. This paper systematically reviews the academic literature on the effects of linguistic features on financial reporting. Our

This study addresses a pressing yet underexplored issue in environmental economics: understanding the complex interactions between environmental sustainability and key economic drivers such as technological innovation, renewable energy, and economic complexity. Using machine learning (ML) and artificial neural networks (ANNs), the study forecasts environmental quality in Bangladesh and Pakistan by

In July 2020, the Chilean Congress made an unexpected modification to the Constitution, allowing workers to take their mandatory pension savings for the first time since the pension system was established in 1981. Two other withdrawals took place in December 2020 and April 2021. Pension fund administrators had to liquidate assets (stocks and bonds) worth 20% of GDP within a short period. Using dif

In the post-Paris agreement, the clean energy market has grown significantly due to its undeniable environmental sustainability. Therefore, this study aims to predict clean energy stock prices by analyzing ESG stock markets in ten countries using a batter of machine learning (ML) techniques and NGBoost. The analysis integrates Shapley Additive Explanations (SHAP) values to improve interpretability

This paper examines the dynamic connectedness between various measures of volatility indexes (e.g., Engle and Campos-Martins (2023)’s global common volatility index (COVOL), VIX, OVX, GVZ) and worldwide ESG leaders’ equity markets, using an aggregated connectedness approach for the period January 2014 to April 2023. Several novel findings are presented. First, the COVID-19 pandemic has a significant

This article investigates the impact of caps and floors on investment timing and leverage decisions made by firms. By examining their effects on investment timing, firm value, leverage ratios, and credit spreads, this study sheds light on the significant implications of caps and floors. Specifically, the analysis reveals that the impact of a floor on leverage is moderate when it remains below a critical

This paper conducts an in-depth examination of the impact of local government debt on firms' green total factor productivity (GTFP) based on data from A-share listed companies in Shanghai and Shenzhen stock markets, as well as local debt information, spanning from 2012 to 2022. It also explores the mechanism through which financing constraints act as a mediating variable. The research finds that local

Using panel data from 46 countries, we examine the global relationship between ESG ratings and investment efficiency within the Fazzari-Hubbard-Petersen framework. In developed markets, firms with higher ESG ratings often deviate from traditional investment paths, which may result in resource misallocation. Conversely, in emerging markets, high ESG ratings are linked to reduced financial constraints

Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One popular way is through the creation of indices that act as a signal for the policy maker. While factor modelling in finance and economics has a rich history, most

Our purpose is to check the dynamic asymmetric volatility connectedness among the Green Finance Index and six large US technology stocks. The QVAR connectedness framework, the quantile Granger causality test, the TVP-VAR frequency connectedness framework, and the quantile-on-quantile regression (QQR) function were employed to measure the cross-frequency and quantile risk dependencies among these indices

It is rather a norm for researchers to directly use the log difference of an asset price to compute returns. Just like using lnX+1 to avoid taking the natural logarithm of zero(s). However, this log returns is but a conditional approximation of the actual returns. Nonetheless, can log difference approximations and the lnX+1 common practices produce BLUE estimates? Using the log return as an example

This study examines whether the equity lending supply strengthens or weakens corporate risk-taking behaviors. The evidence shows that ex-ante short selling can unintentionally function as an external governance mechanism to discipline self-interested, risk-averse managers. This showed an increase in long-term risk-taking among U.S. firms from 2006 to 2017. The robustness of our findings is confirmed

Growing risks and potential disruptions in global supply chains underscore the urgent need to enhance supply resilience. This research focuses on relationship-specific investments by suppliers that target resilience enhancement through performance improvements, cost efficiency, and the establishment of trust. Using a real options framework, we construct a coopetition model between suppliers and manufacturers

Our study empirically explores how public interest in biodiversity influences the financial performance of novel investment solutions that specifically promote biodiversity. We consider three distinct metrics capturing public attention to biodiversity: the daily Google Search Volume index for “biodiversity”, the daily media coverage of biodiversity, and the daily visits to the “biodiversity” page on

Employing a sample of 16,718 firms across 38 countries from 2000 to 2022, we find that ex ante attitudes in society toward dishonest behavior, instead of fraudulent acts, are adequate to provoke firm-level stock price crash risk. Specifically, we document that fraud tolerance in society is positively related to crash risk. The result implies that fraud tolerance promotes managerial opportunistic behavior

The ideal model specification for asset price volatility forecasting is still an open question. From a variable transformation perspective, existing studies arbitrarily choose between the raw volatility measure, its square root form, or its natural logarithmic form. In this paper, both the in- and out-of-sample forecasting results support the effectiveness of variable transformation compared to the

This paper examines how financial market participants incorporate corporate culture, an important value-relevant information, into their investment decisions. Utilizing firm-level corporate culture measures derived from the earnings conference call transcripts, we find that firms with stronger cultural values are associated with higher stock liquidity. We identify three channels through which corporate

This paper aims to examine the stochastic behavior of green bond premiums that can characterize the benefits of green bonds. We propose a novel affine model of green bond pricing with mean-reverting interest rates and green bond premiums and a new model parameter estimation method using conventional and green bond prices to capture the stochastic behavior. Then, the model parameter estimation results

This study explores the relationship between macroprudential policies, inflation, and bank risk in emerging economies. Several significant findings emerge based on panel data from approximately 1400 commercial banks across 32 emerging economies over the period 2000–2018. Firstly, a positive correlation is observed between inflation rates and bank risk, suggesting that inflation increases financial

This paper firstly investigates the impact of digitalisation on bank efficiency and then analyses potential non-linearities in this relationship, as well as the possible moderating role played by bank business models, covering a sample of European banks over the period 2006–2021. Our results suggest that IT investments improve bank efficiency - more on the profit side than on the cost side – but that

This paper examines the spillover effect of economic policy uncertainty (EPU) on real effective exchange rate volatility in a sample of 23 countries. We use a multivariate quantile model to measure EPU spillovers for each country and find that EPU spillovers have a significant and positive effect on subsequent exchange rate volatility in both developed and emerging markets. The spillover effect is

This study examines the effects of failed corporate mergers and acquisitions (M&A) on the innovation activities of manufacturing firms. It analyses the mechanism behind this impact by drawing on relevant literature and theories. The analysis is conducted using panel data from 2382 A-share listed manufacturing firms between 2009 and 2022. The findings indicate that following the collapse of corporate

We present a multi-objective portfolio optimization framework that accounts for both systemic risk arising from overlapping portfolios and individual risk. To address non-convexity in the objective function, we introduce an Evolutionary Search algorithm that enables efficient exploration of the solution space. Applying our framework to EBA data on sovereign exposures, we find that minimizing systemic

We examine the effect of hurricanes on the stock market, specifically on US energy companies. Unlike in the previous literature, we identify the timing and severity of hurricane events using the attention they receive online. Using our improved measure of hurricane events, we estimate dynamic common correlated effect panel models with daily and intraday stock returns over the last two decades and find

Using data from A-share listed companies from 2011 to 2022, this paper uses the two-way fixed effects technique to investigate the relationship between social trust and corporate financialization. The finding shows that implementing regional social trust can help the business financialization process faster. Reducing cash dividends, improving managers' incentive to seek remuneration, and easing financing

This article uses market volatility effects to answer the question of which leaders matter to financial markets. We use a unique large dataset of over 22,000 management change announcements from S&P 500 companies together with an augmented Fama and French 5-factor model. Rolling ARCH panel regressions identify how idiosyncratic changes in daily stock price volatility are associated with changes in

Drawing upon city-level data spanning from 2011 to 2021, this paper delves into the implications of digital financial inclusion's development on mitigating urban environmental pollution. Our findings underscore the efficacy of digital inclusive finance in significantly reducing urban pollution. This effect is primarily attributed to digital inclusive finance's ability to foster urban innovation capacity

In accordance with stakeholders' theory and the reputation-building hypothesis, environmental, social and governance (ESG) disclosure and voluntary earnings guidance are important ways of enhancing a firm's transparency. Using data of U.S. publicly listed companies from 2002 to 2021, we find that the level of ESG disclosure (measured with Bloomberg and machine learning (ML) ESG disclosure scores) is

This study examines the aggressiveness of orders submitted by retail investors trading on the same exchange but from different time zones. Individuals located to the west of the exchange's time zone and, therefore, behind in time are less aggressive in their order submission than investors located in the exchange's time zone. We attribute this observation to the difference in time available for processing

Faced with the increasing risk of supply chain disruption, more firms are using mergers and acquisitions or investments to expand their core business's upstream and downstream supply chain and improve their vertical integration. In this vertical integration trend, the cost of capital for core firms is crucial to coordinating the entire supply chain. We manually collected input-output matrix data of

We investigate the introduction effect of ProShares bitcoin strategy ETF (BITO) on investor structure and market quality in Chicago Mercantile Exchange bitcoin futures. We find that the BITO introduction significantly changes the investor structure in bitcoin futures, with ETF asset managers being the major long-side participants against the short-side hedge funds. Furthermore, market participants

We investigate interaction effects in cryptocurrency markets by constructing and evaluating double-sorted portfolios based on 40 different characteristics. Using a dataset of over 500 major coins and tokens from 2017 to 2023, we identify numerous significant interactions. The most pronounced effects arise from the interplay of liquidity, risk, and past return measures. An out-of-sample long-short strategy

We developed EmTract, an open-source tool designed to extract investor emotions from financial social media data. We contribute a novel dataset of 10,000 financial social media messages annotated with emotion labels and improve the DistilBERT model by incorporating 4861 tokens, including emojis and emoticons. This augmentation improved the model’s accuracy by over 3 percentage points compared to the

Utilizing data from non-financial listed companies in Shanghai and Shenzhen A-share markets spanning from 2008 to 2021, and with a particular emphasis on the issuance of the Green Credit Guidelines in 2012, this study delves into the actual ramifications of the green credit policy on enterprises' environmental protection investments through the application of the difference-in-differences method. The

Climate considerations are rising on the agenda of central banks worldwide. Given the importance of the general public's trust for the success of central bank policy, the objective of our study is to examine how this trust may change in response to green central bank measures. We rely on an independently conducted survey of 1000 Hungarian adults and apply multinomial and ordered logistic regressions

Given evidence of low abnormal returns to ESG stock investment, growth in ESG focused stock investment suggests a wider utility from holding higher ESG performance stocks. We add detail and granularity through a double-sorted portfolio approach across two ESG measures and 24 anomalies. Traditional anomaly factor sort strategies may be enhanced by ESG information to produce an annualised ESG tilted