样式: 排序: IF: - GO 导出 标记为已读
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
Gender balance in academia: Evidence from finance departments International Review of Financial Analysis (IF 7.5) Pub Date : 2024-09-02 Emanuele Bajo, Massimiliano Barbi, David Hillier
Females are underrepresented in academic finance departments, especially among senior faculty. Using information on 2910 finance scholars from 387 universities worldwide, we show that although females have become more common in finance departments over the past 30 years, yet only one in ten full professors are women. We explore whether this gap is associated with a lower likelihood of female faculty
-
Exploring fiscal incentives, financial constraints, and firm innovation performance: A multidimensional correlation analysis and mechanism exploration International Review of Financial Analysis (IF 7.5) Pub Date : 2024-08-31 Xinqi Zhang, Yu Deng, Xueping Wu
The article study selects the panel data of 3407 A-share listed companies between 2010 and 2022, aiming at exploring the impact of fiscal incentives on firms' innovation performance and revealing the mediating role of financing constraints. The empirical results show that fiscal incentives have a significant positive impact on both corporate innovation performance and financing constraints; meanwhile
-
Executive power discrepancy and corporate ESG greenwashing International Review of Financial Analysis (IF 7.5) Pub Date : 2024-08-30 Xinlu Zhao, Xiaohui Huang, Fang Liu, Lin Pan
Originating from the theory of organizational hierarchy, the concept of power discrepancy among corporate executives has garnered scholarly attention due to its roots in the unequal distribution of authority and influence within the upper echelons of management. This paper explores the realm of corporate ESG greenwashing, a deceptive practice masking genuine environmental, social, and governance responsibilities
-
Retraction notice to “ Towards sustainable development: How does ESG performance promotes corporate green transformation” International Review of Financial Analysis (IF 7.5) Pub Date : 2024-08-22 Zhen Wang, Erming Chu, Yukai Hao
-
Corporate strategic aggression and environmental investment decisions: Evidence from A-share listed firms International Review of Financial Analysis (IF 7.5) Pub Date : 2024-08-20 Xinyuan Zhang, Jiangqiu Wu, Mohammad Nazri Bin Mohd Nor, Chee Heong Quah
Corporate strategy greatly influences corporate investment activities. This study seeks to better understand the relationship between the level of corporate strategic aggression and environmental investment decisions based on 2011–2020 data. We find that increasing the intensity of strategic aggression effectively increases environmental investment. Moreover, this effect is incentivized by good corporate
-
Who funds zombie firms: Banks or non-banks? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-08-10 Saara Tuuli
Analyses of zombie firms have emphasized the role of bank financing as the reason for zombie survival. This conclusion was made despite no comparative analysis of the sources of external finance for zombie firms. This paper provides the first analysis of that sort using Finnish data. Banks are not found to fund zombie firms by more than other types of funders when shares of the credit market are taken
-
The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-08-08 Amal Ben Hamida, Christian de Peretti, Lotfi Belkacem
This paper studies the potential effect of deviation from Benford’s law on stock return prediction. Departures from the anticipated pattern can act as early indicators of irregular market behavior or possible fraudulent activities, both of which have the potential to impact future price trends. In this study, the deviation is measured by chi-squared test statistics over the first significant digit
-
Index tracking using shapley additive explanations and one-dimensional pointwise convolutional autoencoders International Review of Financial Analysis (IF 7.5) Pub Date : 2024-08-08 Yanyi Zhang, Johannes De Smedt
The aim of index tracking is to mimic the performance of a benchmark index via minimizing the tracking error between the returns of the market index and the tracking portfolio. Lately, various deep learning solutions have been proposed to perform stock prediction or active investment. However, there remains a gap in literature to explore the application of deep learning to index tracking. In this paper
-
How does tail risk spill over between Chinese and the US stock markets? An empirical study based on multilayer network International Review of Financial Analysis (IF 7.5) Pub Date : 2024-08-03 Yingbo Ouyang, Chi Xie, Kelong Li, Tingcheng Mo, Yusen Feng
Given the significant political and economic frictions between China and the US, which bring high uncertainty to the global economy, it is crucial to understand how these tensions led to tail risk events and potentially destabilize the stock markets. We construct a multilayer network to examine tail risk spillovers between the stock markets of the two countries and find that (i) the value of total
-
What has inflation targeting done for household consumption? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-29 Nadine McCloud
-
New but naughty. The evolution of misconduct in FinTech International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-29 Marina Brogi, Valentina Lagasio
The financial sector has undergone a significant transformation with the advent of financial technology (FinTech), which has put pressure on the business models of incumbents and has raised several concerns, including some related to instances of misbehavior. This article examines the existing body of literature on misconduct in the FinTech industry, encompassing a range of unethical behaviors, the
-
Monetary policy and uncertainty spillovers: Evidence from a wavelet and frequency connectedness analysis International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-28 George N. Apostolakis, Nikolaos Giannellis
Interconnected financial markets, especially those stemming from changes in monetary policy or shifts in financial, political, or geopolitical conditions, ease the transmission of spillovers. Understanding these dynamics is crucial for policymakers and investors. Therefore, identifying cross-country spillovers across time and frequency domains, along with assessing the role of monetary policy during
-
Is bank competition conducive to corporate ESG performance? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-28 Tiancai Xing, Xue Li, Nianqiao Feng
Financial support is essential for the sustenance and growth of corporations. In the contemporary corporate landscape, the importance of integrating Environmental, Social, and Governance (ESG) principles into strategic frameworks is increasingly recognized, with the role of bank competition in shaping corporate ESG performance becoming especially significant. This paper selects the data of A-share
-
When Hollywood movies steal the show, stock returns dance more with the market! International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-27 Hung X. Do, Nhut H. Nguyen, Quan M.P. Nguyen, Thach V.H. Nguyen, Cameron Truong
Hollywood film releases attract U.S. investors' attention away from the financial markets. This is reflected in lower trading activity and abnormal Google search volume for firm names between film and non-film days. The resultant investor inattention leads to a significantly higher stock return comovement with the market on film release days. Interestingly, films with A-list star actors and blockbuster
-
Local environmental organizations and long-term investor value appropriation International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-27 Chune Young Chung, Gia Han Doan, Kainan Wang
This study uses datasets representing local non-governmental organizations (NGOs) to examine how local environmental organizations enhance long-term investor value appropriation (LIVA). We explore how external and internal firm factors influence the impact of local activism. Our results indicate a positive effect of local activism on LIVA, particularly in contexts where local communities and firm governance
-
Should Basel-style liquidity requirements be set countercyclically? Evidence from a numerical analysis International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-27 Chao Huang, Fernando Moreira, Thomas W. Archibald
We develop a model to compare the changes in banks' equilibrium capital and liquidity holdings under various versions of Basel-style requirements across economic cycles. We find that banks' liquidity is countercyclical while capital buffer is procyclical. Countercyclical liquidity-holding behaviour causes a larger liquidation of loans in economic expansions. We also find that Basel-style liquidity
-
A machine learning approach in stress testing US bank holding companies International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-25 Ahmadou Mustapha Fonton Moffo
This paper assesses the utility of machine learning (ML) techniques combined with comprehensive macroeconomic and microeconomic datasets in enhancing risk analysis during stress tests. The analysis unfolds in two stages. I initially benchmark ML’s efficacy in forecasting two pivotal banking variables, net charge-off (NCO) and pre-provision net revenue (PPNR), against traditional linear models. Results
-
Climate stress testing for mortgage default probability International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-25 Luca Zanin, Raffaella Calabrese, Connor Innes Thorburn
Extreme natural disasters, such as tropical cyclones, have a low probability of materialising, but a high social and economic impact, including spillover to financial institutions. We propose a framework for performing a climate-stress testing exercise for the default probability of mortgage loans. We estimated a dynamic credit scoring model based on survival analysis with a relative damage index built
-
Analysis of rare events using multidimensional liquidity measures International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-24 Margarita Zaika, Dragos Bozdog, Ionut Florescu
In this paper we develop a framework to analyze high-frequency (HF) financial transaction data focused on estimating a multidimensional intraday liquidity measure and detecting rare events. Many liquidity measures based on Trade and Quote (TAQ) and Limit Order Book (LOB) datasets are consolidated for this purpose through dimensionality reduction techniques. Several outlier methods based on extreme
-
Heterogeneous impact of economic and political uncertainty on green bond volatility: Evidence from the MRS-GARCH-MIDAS-Skewed T model International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-23 Zhuqing Wang, Xinyu Wang, Qiuying Cheng, Song Shi
Green bonds attract increasing attention as a new eco-friendly investment product. We explore the heterogeneous impact of low-frequency economic and political uncertainty across high or low uncertainty states on green bond volatility in order to accurately analyze the green bond market risk. To this end, we propose a new Markov regime switching GARCH-MIDAS-Skewed T model, in which the regime switching
-
Optimal investment and capital structure under Knightian uncertainty International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-23 Yaoyao Wu, Fan Hu
We extend the standard capital structure and real option models by incorporating Knightian uncertainty. We obtain closed-form solutions for the optimal capital structure and investment decisions. Our findings reveal that in contrast to traditional uncertainty in the form of risk, Knightian uncertainty induces the entrepreneur to take higher firm leverage by issuing more debt, which results in a higher
-
Presenting a new deep learning-based method with the incorporation of error effects to predict certain cryptocurrencies International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-23 Mir Feiz Fallah, Rezvan Pourmansouri, Bahador Ahmadpour
In recent years, with the emergence of blockchain technology, we have witnessed a remarkable increase in the use of digital currencies. However, investing in the digital currency market carries a high level of risk due to the market's erratic behavior and high price fluctuations. Consequently, the need for an appropriate model for intelligent prediction and risk management is perceived. Motivated by
-
Labor investment inefficiency and LGBTQ+-friendliness International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-23 Lisa Schopohl, Andrew Urquhart, Hanxiong Zhang
We study the effect of firms' LGBTQ+ friendliness on their labor investment efficiency and find that an improvement in firms' LGBTQ+ friendliness leads to greater labor investment inefficiencies, and that more LGBTQ+ friendly firms tend to underinvest in labor. However, we show that this relationship diminishes over time as societal and legal support for LGBTQ+ equal rights increases. A variety of
-
Climate litigation and financial markets: A disciplinary effect? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-22 Thomas Dulak, Jean-Yves Gnabo
Climate litigation has witnessed a surge in recent decades, raising questions about its economic and financial implications. This paper investigates the disciplinary effect of climate litigation on corporations, focusing on stock price movements for targeted firms and their industry peers in response to announcements of lawsuit filings and negative court decisions. By using a combined event study and
-
Environment-specific political risk discourse and expected crash risk: The role of political activism International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Sohanur Rahman, Elisabeth Sinnewe, Larelle Chapple
This study examines whether greater discourse on environment-specific political risk (EPR) in earnings conference calls (ECCs) has a favourable effect on firms' information environment affecting stock price crash risk. Under , EPR discourse lowers crash risk, whereas, under , management may exploit information asymmetry leading to greater crash risk. Results from US firm-year observations reveal that
-
Sustainable investments in volatile times: Nexus of climate change risk, ESG practices, and market volatility International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Mirza Muhammad Naseer, Yongsheng Guo, Tanveer Bagh, Xiaoxian Zhu
Climate change poses an unprecedented threat to global stability, presenting complex political, economic, and social risks. As financial markets become increasingly intertwined with sustainability considerations, understanding the implications of climate risk is paramount. This study investigates the relationships between climate change risk (CCRISK), environmental, social, and governance (ESG) factors
-
Cash is queen? Impact of gender-diverse boards on firms' cash holdings during COVID-19 International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Ahmed A. Elamer, Vinay Utham
This study examines the role of gender-diverse boards in preserving cash holdings during crises. Using a sample of UK firms during the COVID-19 period, we find that firms with more female directors had higher cash holdings. This increase in cash reserves is primarily driven by reduced board compensation, reflecting the careful stewardship associated with gender-diverse boards. Interestingly, we find
-
Family firm governance and working capital management policy International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Liu Hong, Bharat A. Jain, Yingying Shao
Drawing from agency and behavioral theories, we evaluate whether and how family firm governance influences working capital management policy and its contribution to shareholder value. Our results indicate that family firms pursue a conservative working capital management policy to capitalize on the competitive benefits of balance sheet liquidity. Moreover, we find that the market value of working capital
-
How do the gold intra-day returns and volatility react to monetary policy shocks? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Basel Awartani, Syed Mujahid Hussain, Nader Virk
In this paper, we use high frequency data to obtain novel asymmetry results in the short-term response of gold to monetary policy shocks. The gold returns and volatility 5 min after the shock are found to be more sensitive to looser than tighter FOMC rate announcement changes. This is explained by the increased appeal of gold during uncertainties and as a safe haven following negative monetary shocks
-
Financial literacy and FinTech market growth around the world International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Reem Ahmed AlSuwaidi, Charilaos Mertzanis
Leveraging new data on fintech financing from the Bank of International Settlements, this study establishes a strong, positive association between financial literacy and the growth of the FinTech market across 114 countries from 2013 to 2019. We construct a new education policy-based measure of financial literacy based on the extent to which financial education is planned and subsequently integrated
-
Dynamic dependence between quantum computing stocks and Bitcoin: Portfolio strategies for a new era of asset classes International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Sami Ben Jabeur, Giray Gozgor, Hichem Rezgui, Kamel Si Mohammed
Quantum computing and digital currencies еmеrgеs as an еssеntial arеa of inquiry within thе rеalms of science, technology, and finance. A pivotal yеt lеss еxplorеd aspect of this area pеrtains to thе dеvеlopmеnt trajеctory of quantum computing rеsеarch in enhancing financial markets trading and as diversification portfolio instrument. This research investigates the different portfolio strategies and
-
Does CEO agreeableness personality mitigate real earnings management? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Shan Liu, Xingying Wu, Nan Hu
Despite efforts to mitigate aggressive financial reporting, earnings management remains challenging to parties interested in inhibiting its dysfunctional effects. Using linguistic algorithms to assess CEO agreeableness personality from their unscripted texts in conference calls, we find that it is a determinant that mitigates a firm's real earnings management. Furthermore, such an effect is more pronounced
-
Bank-tax-interaction, carbon emission reduction investment and financing decisions for SMEs International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Ting Lu, Pengfei Luo
In this paper, we integrate bank-tax interaction (BTI) into a dynamic model in which the small- and micro-sized enterprises (SMEs) face debt issuance constraints and the challenge of low-carbon transformation. We analyze the interplay between investments in carbon emission reduction and financing decisions. The model generates the following implications: Firstly, BTI effectively removes the debt issuance
-
FinTech and sustainable development: A systematic thematic analysis using human- and machine-generated processing International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Morshadul Hasan, Ariful Hoque, Mohammad Zoynul Abedin, Dominic Gasbarro
We conducted a systematic literature review (SLR) by integrating FinTech with the the United Nations' (UN) Sustainable Development Goals (SDGs). By focusing on three dimensions (inclusive finance, economy, and environment), we identify how FinTech may influence sustainable development. We innovate using human- and machine-generated processing to develop themes, making systematic literature reviews
-
Commodity sectors and factor investment strategies International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-20 Kei Nakagawa, Ryuta Sakemoto
Commodity sectors exhibit heterogeneous characteristics owing to their limited supply and demand. To analyze these sector heterogeneities, we construct commodity factor portfolios without using a single sector and investigate whether commodity sectors play an important role in determining the risk premiums of commodity futures. We construct an equally weighted portfolio that includes momentum, basis
-
Twitter and cryptocurrency pump-and-dumps International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-19 David Ardia, Keven Bluteau
We study the relation between the promotion of a cryptocurrency on Twitter and its return dynamics around pump-and-dump events. By analyzing abnormal returns, trading volume, and tweet activity, we uncover that Twitter effectively garners attention for pump-and-dump schemes, leading to notable effects on abnormal returns before the event. Our results indicate that investors relying on Twitter information
-
Chaos, overfitting and equilibrium: To what extent can machine learning beat the financial market? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-19 Yaohao Peng, João Gabriel de Moraes Souza
In this paper, we applied 10 technical analysis indicators to predict stock price movement directions using support vector machines, investigating the effects of hyperparameter variations on the out-of-sample classification performance and the profitability of the resulting trading strategies. We collected daily data between January 1st, 2018, and March 31st, 2023 for the 30 firms that compose the
-
How good are banks’ forecasts? International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-19 Lotta Heckmann-Draisbach, Christoph Memmel
We analyse the financial forecasts small and medium-sized German banks provided in several waves of a quantitative survey, called LIRES, and compare them with the results the banks actually realized. Based on this unique data set, we find that the predictions are relevant, especially concerning the net interest income for the next year, and persistent, but neither unbiased nor rational. We also find
-
Representative investors versus best clienteles: Performance evaluation disagreement in mutual funds International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-19 Stéphane Chrétien, Manel Kammoun
This paper develops a diagnostic tool for candidate performance measures that accounts for investor disagreement in mutual funds. We compare the evaluation for best clienteles, specified by an upper admissible performance bound, to the one for representative investors implicit in eleven models. The results show that linear factor models misrepresent best clientele alphas, with a disagreement that relates
-
Connectedness in the global banking market network: Implications for risk management and financial policy International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-18 Jorge A. Muñoz Mendoza, Carmen L. Veloso Ramos, Carlos L. Delgado Fuentealba, Iván E. Araya Gómez, Sandra M. Sepúlveda Yelpo, Edinson E. Cornejo Saavedra
Previous studies have analyzed the banking market connectedness using aggregate indices or a small sample of banks but ignore that the linkages may be affected by systemic and idiosyncratic factors. We analyze the connectedness between 205 banks from 42 countries between January 02, 2007, and December 29, 2023. Using a two-step approach, we first removed common global factors from the banking stock
-
Performance of active portfolio managers when the benchmark is not observable International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-18 Luis Chavez-Bedoya
-
The impact of COVID-19 on global financial markets: A multiscale volatility spillover analysis International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-18 Zishu Cheng, Mingchen Li, Ruhong Cui, Yunjie Wei, Shouyang Wang, Yongmiao Hong
This paper presents a comprehensive multiscale analysis of volatility spillover mechanisms among diverse financial markets utilizing a novel combination of Normalized Adaptive Multivariate Empirical Mode Decomposition (NA-MEMD) and Time-Varying Parameter Vector Autoregressive (TVP-VAR) model. Our analysis spans Bitcoin, crude oil, gold, foreign exchange, emerging stock markets, and developed stock
-
The financial health of a company and the risk of its default: Back to the future International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-18 Francesco Dainelli, Gianmarco Bet, Eugenio Fabrizi
We theorize the financial health of a company and the risk of its default. A company is financially healthy as long as its equilibrium in the financial system is maintained, which depends on the cost attributable to the probability that equilibrium may decay. The estimate of that probability is based on the credibility and uncertainty of the company’s financial forecasts. Accordingly, we have developed
-
Estimation error and partial moments International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-18 David Nawrocki, Fred Viole
While partial moments like semivariance, lower and upper partial moments have seen acceptance by both academics and investment professionals, there are some who consider these measures to be ad hoc measures of investment performance. This paper seeks to provide the academic foundation for the use of partial moments as a field of nonparametric statistics. The basic foundation is Chebyshev's inequality
-
Cross-country risk spillovers of ESG stock indices: Dynamic patterns and the role of climate transition risks International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-17 Kun Guo, Yichong Li, Yunhan Zhang, Yingtong Chen, Yanran Ma
-
Stock Liquidity Sidedness and Share Repurchase International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-16 Sabri Boubaker, Arman Eshraghi, Yifan Liu
We show that stock liquidity sidedness plays a vital role in share repurchase decisions. Specifically, we investigate whether share repurchases are affected differently by upside and downside liquidity, which respectively correspond to positive and negative return days. Using a sample of U.S. publicly-listed firms over four decades, we demonstrate that upside liquidity has a larger effect on repurchase
-
Objective acceptability indexes International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-15 Shengli Zhao
-
Real estate depreciation and cash policy for innovative firms International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-15 Zhao Rong, Fei Leng, Jun Ma, Jinlan Ni
Real estate price drop during the financial crisis period tends to weaken firms' borrowing capacity. To buffer the adverse impact of financial shock on R&D activities, innovative firms turn to their internal cash reserves to substitute external credit. By examining U.S. listed innovative firms during 2008–2012, we find that a $1 decrease in real estate value leads $0.70 decrease in cash holdings of
-
Spillover effects of financial deregulation: The unintended consequences of the OCC preemption rule on mortgage lending practices International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-15 Di Wu, Abdoul G. Sam, Xiangrui Wang
In 2004, the Office of the Comptroller of the Currency (OCC) adopted a preemption rule that clarified and codified the preemption standards applicable to national banks. This study investigates the impact of the federal preemption of state anti-predatory lending (APL) laws on the lending practices of national banks in the home mortgage market and the overstatement of buyer income on mortgages originated
-
Exchange rate stability and expectation management under heterogeneous expectations International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-15 Xiaoping Li, Nan Wang, Jihong Duan, Wenming Shi
This study develops a heterogeneous agent model comprising fundamentalists, chartists, carry traders, and stabilizers to determine the RMB exchange rate. The stabilizers act as agents of the central bank and relevant government agencies to manage expectations when the exchange rate appreciates or depreciates excessively. Using the unscented Kalman filter method, our study finds that the principal parameters
-
Shared analyst coverage, 52-week high, and cross-firm return predictability International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-15 Mei-Chen Lin
-
Multinational corporations and share pledging of the controlling shareholder International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-15 Chufu Wen, Fenghua Wen, Diyue Lin, Lili Zhao
We identify the difference in share pledging of the controlling shareholders between multinational corporations (MNCs) and domestic corporations (DCs). Specifically, we find that the controlling shareholders' share pledge rate of MNCs are significantly lower compared with that of DCs. Moreover, we draw the conclusion that the alleviation of financial constraints prompts controlling shareholders in
-
An investigation of sentiment analysis of information disclosure during Initial Coin Offering (ICO) on the token return International Review of Financial Analysis (IF 7.5) Pub Date : 2024-07-10 Pornpanit Rasivisuth, Maurizio Fiaschetti, Francesca Medda
Initial Coin Offerings (ICOs) have emerged as vital sources of equity funding, yet there is mixed evidence so far about the relationship between ICO returns and non-financial information (e.g., ICO ratings, whitepapers, and sentiment). Our study, based on data from 391 tokens, reveals a mismatch between ICO ratings and actual token returns. We find that raw ICO characteristics and sentiment analysis