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To Fight or Not to Fight: A Study on the Likelihood of Investor-State Disputes between Two Countries Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-07-25 Pankaj Kumar Maskara, Emre Kuvvet
ABSTRACT This study investigates the importance of the relative positioning of foreign investors’ country and that of the host country in investor-state disputes. We find that investors accustomed to strong institutions at home are more likely to file a dispute against a host state with poorer institutions. Investment disputes are less likely among politically aligned nations and when the host country
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Flights-to-quality from EM Bonds to safe-haven US Treasury Securities: A time-frequency Analysis Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-07-25 Mariya Gubareva, Zaghum Umar, Tamara Teplova, Xuan Vinh Vo
ABSTRACT We study 2001–2020 flight-to-quality episodes encompassing two planetary-scale crises: the Global Financial Crisis (GFC) of 2007–2008 and the coronavirus-triggered global meltdown. We focus on time-frequency lead-lag nexuses between holding emerging market (EM) debt and investing in relatively risk-free US Treasuries. Wavelet coherency along with the phase-difference approach is used. Our
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Firm Innovation and Employment in South Africa: Examining the Role of Export Participation and Innovation Novelty Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-07-20 Karmen Naidoo, Marta Bengoa, Erika Kraemer-Mbula, Fiona Tregenna
ABSTRACT This paper studies the effects of process innovation and product innovation on firm-level employment in South Africa. We contribute through two novel extensions, analyzing how export status and the degree of novelty of innovation affect the innovation-employment relationship. We find process innovation to be more employment generating than product innovation. Furthermore, both process and
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How to Prevent Time Preference Risk: Evidence from Tax Avoidance Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-07-20 Jing-Wen Chang, Huang-Ping Yen, Sijia Luo
ABSTRACT This paper investigates whether future time reference in languages affects corporate tax avoidance. Consisting of 265,652 firm-year observations, we cover 42 countries during the 1989 to 2020 periods. The results show that those firms have relatively low cash effective tax rates when their country’s language does not distinguish grammatically between future and present events. Thus, adopting
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The Interconnectedness between COVID-19 Uncertainty and Stock Market Returns in Selected ASEAN Countries Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-07-13 Chinmaya Behera, Badri Narayan Rath
ABSTRACT This paper examines the interconnectedness between the COVID-19 uncertainty index and stock returns in selected ASEAN countries. Results from the study, which uses the dynamic connectedness approach, show that on average, 47.06% of a shock on one index spills over to all other indices. This indicates that stock market returns are highly interconnected to the COVID-19 uncertainty index in ASEAN
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Capital Market Opening and ESG Performance Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-07-13 Peidong Deng, Jun Wen, Wei He, Yin-E Chen, Yun-Peng Wang
ABSTRACT This research uses a quasi-natural experiment of the Shanghai-Hong Kong Stock Connect trading system and takes 2011–2019 A-share listed companies as the sample to construct a DID model that empirically proves the improvement effect of capital market opening on corporate ESG performance through external monitoring mechanisms. This effect is also heterogeneous due to firm characteristics. This
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The Macroeconomic Impact on Bank’s Portfolio Credit Risk: The Colombian Case Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-07-13 Juan Camilo Galvis-Ciro, Claudio Oliveira de Moraes, Jaime García-Lopera
ABSTRACT This paper explores the determinants of credit risk for the Colombian economy, a small emerging economy in Latin American. Using a sample of 28 large banks over the 2009–2019 period and the dynamic data panel approach, we find that the macroeconomic environment’s deterioration affects the credit risk perception held by banks as measured through non-performing loans and loan loss provisions
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Ownership Structure, Diversification, and Bank Performance: International Evidence Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-07-13 Meng-Fen Hsieh, Chien-Chiang Lee, Meng-Fen Shen
ABSTRACT This research utilizes ultimate controlling shareholders to examine whether ultimate ownership structure (bank, industrial company, mutual fund, financial company, and state) and/or income diversification affect bank performance via a total sample of 6,053 commercial banks in six regions (advanced countries, Asia, Latin America, the Middle East and North Africa, Sub-Saharan Africa, and Transit
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Goodwill Impairment, Loss Avoidance Effects and Subsequent Corporate M&A Decisions Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-06-30 JuXian Wang, Tianyi Dong, Jinbu Zhai
ABSTRACT Against the background of increasingly serious goodwill impairment, it is important to explore the comprehensive effects triggered by goodwill impairment. This paper explores the economic consequences of goodwill impairment from the perspective of subsequent merging and acquisition (M&A) decision, and attempts to interpret it from the psychological theory of loss aversion effects. The empirical
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Family Power and Corporate Investment Efficiency Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-06-30 Ahmed Al-Hadi, Baban Eulaiwi, Lien Duong, Grantley Taylor, Saurav Dutta
ABSTRACT This study examines the relationship between family power and corporate investment efficiency in Gulf Cooperative Council (GCC) countries. Family power in firms is manifested in how much decision-making power is concentrated in the hands of family members who are active either on the board of directors, or as executives of a firm. Using a unique measure of “family power,” we contribute to
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The Evolution of Intergenerational Educational Mobility in Turkey Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-06-30 Oğuz Öztunalı, Orhan Torul
ABSTRACT We investigate the role of intergenerational transmission in educational outcomes and inequalities for cohorts born between 1951 and 1985 in Turkey via the Turkish Statistical Institute’s Intergenerational Transmission of Disadvantages Module in 2011. Our results show that Turkey has a relatively low degree of intergenerational educational mobility. Further, the primary measures of intergenerational
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Nineteen Years of Emerging Markets Finance and Trade: A Bibliometric Analysis Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-06-30 Ratikant Bhaskar, Shashank Bansal
ABSTRACT This study draws a bibliographic profile of Emerging Markets Finance and Trade (EMFT) from bibliographic metadata, and provides a comprehensive overview of EMFT. We used scientometric techniques to analyze the publication and citation trends of EMFT. EMFT published 2049 cutting-edge documents between 2002 and 2020, with 12674 citations, which shows its influence in the academic field. The
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Do Labor Unions Affect Income Smoothing Through R&D Management? Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-06-16 Ilhang Shin, Sorah Park
ABSTRACT Using the firm-level labor union data unique to Korea, this study examines the influence of labor unions on firms’ income smoothing activities through R&D expense adjustment. We show that unionized firms have greater extent of income smoothing through R&D adjustment, suggesting that labor unions impose pressure on management to smooth out fluctuation in earnings path. Also, we find evidence
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Measuring Heterogeneity in Banks’ Interest Rate Setting in Russia Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-06-16 Anna Burova, Alexey Ponomarenko, Svetlana Popova, Andrey Sinyakov, Yulia Ushakova
ABSTRACT We use credit registry data on all corporate loans issued by Russian banks since 2017 to decompose bank interest spreads into a common factor, borrower- and lender-specific components. We find that the variation in loan rates associated with lender-specific factors (heterogeneity of banks) and borrower-specific factors (heterogeneity of borrowers) is substantial. We use the bank-specific components
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Market-based Environmental Policy Instrument Mixes and Firms’ Environmental Innovation: A Fuzzy-set Qualitative Comparative Analysis Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-06-16 Zhongju Liao, Ping Liu
ABSTRACT This study analyzed the antecedents of firms’ environmental innovation considering policy instrument mixes. Selecting 209 firms as the research sample and employing the fuzzy-set qualitative comparative analysis method, we examined the effect of five types of market-based environmental policy instruments on firms’ environmental innovation. We found that environmental innovation was not contingent
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Forecasting Performance of Different Betas: Mexican Stocks before and during the COVID-19 Pandemic Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-06-03 Francisco López Herrera, Jaime González Maiz Jiménez, Adán Reyes Santiago
ABSTRACT This study comparatively evaluated the forecasting performance of a constant beta and two time-varying beta process specifications. Returns for 23 stocks were forecasted for several horizons in 2019–2020. The autoregressive and random walk betas showed superior forecasting performance before and during the COVID-19 pandemic, respectively. In a Diebold–Mariano test, the constant beta specification
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Accounting Comparability and Earnings Management Strategies: Evidence from Southeast Asian Countries Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-05-17 Yeni Januarsi, Tsung-Ming Yeh
ABSTRACT We examined the effect of accounting comparability on the use of accrual earnings management (AEM) and real earnings management (REM) among five members of the Association of Southeast Asian Nations. Analyzing 1,195 listed non-financial companies from 2014 to 2017, we find that more comparable accounting information between firms induces managers to engage in more REM and less AEM, supporting
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Out-of- Sample Stock Return Predictability of Alternative COVID-19 Indices Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-05-13 Afees A. Salisu, Jean Paul Tchankam, Idris A. Adediran
ABSTRACT We explore the predictive value of the various indices developed to capture COVID-19 pandemic for daily stock return predictability of 24 Emerging Market economies (based on data availability). We identify eight measures of COVID-19 indices, namely, the uncertainty due to pandemics and epidemics (UPE) index, Global Fear Index (GFI), COVID index, vaccine index, medical index, travel index,
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Is Financial Risk A Stumbling Block to the Development of Digital Economy? A Global Case Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-05-09 Jianda Wang, Jun Zhao, Kangyin Dong, Xiucheng Dong
ABSTRACT This paper constructs a series of digital economy indexes and explores the impact of financial risk on the development of the global digital economy based on panel data of 121 countries for the period 2003–2019. Furthermore, we analyze regional heterogeneity and asymmetry. The main findings indicate that: (1) an increase of financial risk by 1% can impede the development of the global digital
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Effects of Country and Geopolitical Risks on Income Inequality: Evidence from Emerging Economies Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-05-09 Wanshan Wu, Lijun Wang, Yaman Omer Erzurumlu, Giray Gozgor, Gaoju Yang
ABSTRACT Income inequality is rising due to the risks and uncertainties related to the COVID-19 pandemic and other risks. This paper examines the effects of country risks (measured by economic/financial and political risks) and geopolitical risks on the income inequality in the panel dataset of 19 emerging market economies from 1985 to 2020. It is observed that all risk measures are positively related
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Risk Spillover of Global Treasury Bond Markets in the Time of COVID-19 Pandemic Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-05-09 Yi Fang, Yanru Wang, Yingyu Zhao
ABSTRACT We employ the state-dependent local projection method to identify the dynamic risk aggravation effects on Treasury market volatilities and risk spillovers under both local and global COVID-19 pandemic shocks. We find that emerging markets suffer more instability as risk receivers during the pandemic. Local pandemic shock sharpens the risk spillover mainly in the short run, especially when
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Measuring Uncertainty in Export Destinations And Its Impact on Economic Growth: Evidence from Turkey Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-05-09 Guoliang Chen, Jianchun Fang, Giray Gozgor, Sercan Pekel
ABSTRACT Using data from the World Uncertainty, the World Trade Uncertainty, and the World Pandemic Uncertainty indices for 142 countries, this paper introduces three new indicators for measuring Turkey’s export markets’ uncertainty from 1996Q1 to 2021Q3. The indicators measure uncertainty in Turkey’s export destinations. After introducing three indicators of uncertainty for export markets, we investigate
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Impact of Managerial Discretion “Stranglehold” on Enterprises Investment Efficiency: Based on Heterogeneous Stochastic Frontier Model Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-05-09 Weitao Shen, Chen Yang, Binyun Huang
ABSTRACT This study examined how managerial discretion “stranglehold” influences enterprise investment efficiency (IE) using a heterogeneous stochastic frontier model of 2010–2019 data of listed companies in the Shanghai and Shenzhen A-share markets. CEO’s salary and stockholding can improve IE, but cannot reduce investment risk (IR). CEO duality and redundant resources neither improve IE nor reduce
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Influence of Economic and Financial Openness in Urban Agglomerations of Major Bay Areas Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-05-09 Qiannan Zhang, Xiaowen Huang, Miraj Ahmed Bhuiyan, Zekai Huang
ABSTRACT This paper examines how four indicators of economic/financial openness, namely, trade openness, actual tariff rate, financial openness, and investment openness have shaped the world’s four major bay area’s urban agglomerations. The study considers four key bay areas, New York, Tokyo, San Francisco and Guangdong-Hong Kong-Macao, over the period 2005–2018. Using the panel data fixed effect model
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Does Economic Policy Uncertainty Affect Green Bond Markets? Evidence from Wavelet-Based Quantile Analysis Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-04-28 Ping Wei, Yinshu Qi, Xiaohang Ren, Kun Duan
ABSTRACT This paper investigates the wavelet-based quantile dependence between Economic Policy Uncertainty (EPU) and green bond markets over 2014–2021. We first determine how the connectivity between EPU and green bonds differs across different investment horizons by decomposing EPU and green bond series into various frequency bands. Next, we provide a quantile-based framework to characterize the reliance
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Volatility Level Dependence and Linear-Rational Term Structure Models Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-04-28 Alex Backwell, Kalind Ramnarayan
ABSTRACT We outline a subclass of linear-rational term structure models, based on CEV dynamics. A tractable and arbitrage-free term structure results from the linear-rational aspect of the model, independently of the term-structure volatility dynamics that follow from the CEV specification. This specification is devised to capture a flexible degree of volatility-level dependence, i.e., the degree to
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Legal, Financial, and Strategic Forces in Cross-border Delivery Terms Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-04-28 Veysel Avsar, Oguzhan Batmaz
ABSTRACT Drawing on three-dimensional (HS6 product-destination-year) data on delivery terms in exports from Turkey, this study comprehensively explores the determinants of INCOTERMS clauses in three dimensions: legal, financial, and strategic. We show that a larger share of foreign sales occurs on high seller risk responsibility delivery terms when the export destination has better regulations, easier
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The Dimension of Bank Liquidity Creation: Culture Viewpoint Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-04-18 Chien-Chiang Lee, Chih-Wei Wang, Pei-Chin Hong
ABSTRACT This study investigates the effects of Hofstede’s four cultural indices (power distance, individualism, uncertainty avoidance, and masculinity) on bank liquidity creation using an international sample of 26,539 banks across 58 countries. We find that power distance, uncertainty avoidance, and masculinity decrease asset-side and off-balance sheet liquidity, but increase liability-side liquidity
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CEO-CFO Tenure Consistency and Cash Holdings Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-04-18 Yongbin Cai, Mengzhe Li
ABSTRACT This study investigates whether CEO-CFO tenure consistency impacts corporate cash holdings. We find that a company’s cash holdings increase when CEO and CFO have the same tenure. The positive relationship between CEO-CFO tenure consistency and cash holdings is more obvious in companies with CEO duality, a smaller proportion of independent directors, and more serious agency problems. Further
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The Effects of Industry Growth and Government Efficiency on Environmental Quality: The Global Perspective Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-04-09 Min Cui, Ning Wang
ABSTRACT This research uses the panel cointegration and panel-based error correction models to investigate the causality among environmental quality, government efficiency, and industry growth for the period 2002–2020 for 126 countries. The results indicate that a long-term equilibrium cointegrated relationship exists among the variables. Government efficiency has a positive effect on environmental
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Will Gold Always Shine amid World Uncertainty? Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-04-09 Chi-Wei Su, Lidong Pang, Muhammad Umar, Oana-Ramona Lobonţ
ABSTRACT This article investigates whether gold will always shine amid world uncertainty or not. The quantile on quantile (QQ) approach is employed to detect the mutual relationship between the world uncertainty index (WUI) and gold price (GP). We find the impacts of WUI on GP, in different quantiles, varies and runs in cycles. The positive influence that ripples from WUI toward GP indicates that gold
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Environmental Protection Tax and Corporate Capital Structure Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-03-30 Rongbing Xiao, Guangzhong Li, Yulan Wu
ABSTRACT We utilize the environmental protection tax law as an exogenous shock to the tax of environmental protection to investigate the relationship between environmental issues and corporate capital structure. Our findings show that, following the adoption of this tax law, polluting firms are more likely to reduce their leverage. This phenomenon is more pronounced in polluting firms with excess cash
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Learning by Consuming: Human Capital Consumption as an Approach to Compensating Economic Efficiency Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-03-21 Zhaochen Li, Fuhua Yuan, Jinghai Zheng, Angang Hu
ABSTRACT As economic development moves to the stage of urbanization and knowledge-orientation, consumption is increasingly important for economic efficiency. This study proposes a Learning by Consuming Model which divides consumption into daily consumption and human capital consumption, combing consumption and human capital to measure consumption’s effect on economic efficiency. We compare trends in
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The Coverage of Investor-paid Rating Agency and Audit Pricing Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-03-21 Yue Xu, Rubin Hao, Qiankun Gu, Kang Wang
ABSTRACT This paper examines how credit rating agencies affect audit fee. We find robust evidence that the coverage of investor-paid rating agency increases audit fee. The coverage of investor-paid rating agency increases bad news disclosure and makes the tone of media reports on the firm more negative. Auditors get informed and more aware of the firm’s risk, resulting in higher audit fee. Our findings
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Does a Stronger Business Environment Increase Export Variety? Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-03-21 Hua Yin, Qing Xie, Dinggen Zhou
ABSTRACT Optimizing the business environment is a new competitive edge to global economies in international competition and cooperation. Export variety is an important basis for the implementation of a country’s foreign trade diversification strategy. However, the impact of the business environment on export diversity remains unclear. Using World Bank Doing Business data and detailed product data of
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How Firms and Experts View The Phillips Curve: Evidence from Individual and Aggregate Data from South Africa Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-03-21 Monique B. Reid, Pierre L. Siklos
ABSTRACT Heterogeneity is now a regular part of macroeconomic theory, but disaggregated data about firm expectations remain scarce. A survey of firms and financial analysts in South Africa provides forecasts of inflation and other macroeconomic variables. We estimate a variety of inflation and wage growth-based Phillips curves, which reflect differences in how firms and financial analysts view the
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The Momentum Strategies and Salience: Evidence from the Korean Stock Market Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-03-13 Myounghwa Sim, Jangkoo Kang, Hee-Eun Kim, Eunmee Lee
ABSTRACT This study compares momentum strategies based on traditional, idiosyncratic, rank, and sign momentum measures in the Korean stock market. We find that the traditional momentum strategy underperforms and suffers long-term return reversals, while other strategies (idiosyncratic, rank, and sign) exhibit stable profits. We employ a direct measure of salience and suggest that the unprofitability
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Directors’ Foreign Experience and Firm Innovation Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-03-10 Xueman Xiang, Biao Yi
ABSTRACT This paper investigates whether board directors with foreign experience promote firm innovation. The evidence suggests that firms with a larger proportion of directors with foreign experience on their board have better innovation outcomes, both quantity and quality. This finding remains for various robustness tests. We propose three potential underlying channels behind and verify them. The
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Is Goodwill Attritional? Survival Analysis of the M&A Goodwill of A-Share Listed Company from 2007 to 2017 Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-02-10 Kai Peng, Qiankun Gu, Yi Hu, Shuchang Jin, Juan Ni
ABSTRACT The subsequent measurement of goodwill in mergers and acquisitions has been controversial for a long time in academia and practice. This article attempts to propose a new conceptual view of the “attrition” of goodwill to improve the subsequent measurement model of goodwill. In this paper, the survival analysis method is introduced into the study of goodwill impairment decision-making and the
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Market Concentration, Bank’s Pricing Power, and Deposit Rates: Evidence from Dual Banking System Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-02-10 Mudeer A Khattak, Noureen Khan, Mohsin Ali, Syed Aun R. Rizvi
ABSTRACT This research studies i) the impact of banks pricing power and market concentration on the bank’s deposit rate, ii) if the impact differs for Islamic banks, and iii) the importance of banks power and market concentration while impacting the deposit rates behavior. The sample of this study consists of 120 banks from 2007 to 2018. Banks’ pricing power appears to be reducing the deposit rates
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Asymmetric effect of FEARS Sentiment on Stock Returns: Short-sale constraints, limits to arbitrage, and behavioural biases Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-02-04 Garima Goel, Saumya Ranjan Dash, Robert Brooks, Sowmya Subramaniam
ABSTRACT This paper examines the implications of short-sale constraints, limits to arbitrage, and behavioral biases on the FEARS sentiment and stock returns asymmetric relationship. Our results indicate a strong negative relationship between FEARS sentiment and stock return. Our findings show that short-sell and arbitrage constraint attenuates the potential impact of sentiment on return behavior. We
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COVID-19, Supply Chain Breakdowns, and Firm Value Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-01-26 Changyuan Xia, Junjie Yang, Na He, Kam C. Chan
ABSTRACT By exploiting the lockdown of Wuhan on January 23, 2020, during the COVID-19 pandemic and the disclosure of public firms’ top five suppliers, we examine the impact of a supply chain disruption on stock returns. Our findings suggest that firms with major suppliers in Wuhan experience significantly worse cumulative abnormal returns than those whose suppliers are not located in Wuhan. The results
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Guaranteed Rate-setting Behavior, Life Insurance Premium, and Policyholder Protection Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2022-01-26 Jyh-Horng Lin, Jyh-Jiuan Lin, Xuelian Li, Zehe Song
ABSTRACT This study explores the determinants of an insurer’s guaranteed rate based on a contingent claim model. According to the model development, we structure and estimate the guaranteed rate setting and policyholder protection equations. A time-series approach explains the guaranteed rate-setting behavior and insurance stability captured by policyholder protection from 1990 to 2018. The evidence
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Pricing of Liquidity Risk: New Evidence from the Latin American Emerging Stock Markets Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-11-06 Gabriel Augusto de Carvalho, Hudson Fernandes Amaral, Juliano Lima Pinheiro, Laíse Ferraz Correia
ABSTRACT This paper aims to analyze whether the liquidity risk is priced in Latin-American emerging stock markets. For that, we test the performance of the liquidity augmented version of Fama-French three and five factor models and Carhart four factor model since there is not yet a consensus about their suitability for these markets. Two versions of a liquidity factor were constructed based on two
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Home Bias of Korean Resident Bond Investors: The Role of FX Hedging Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-30 Daejung Yang, Kyongwook Choi
ABSTRACT This paper analyzes the home bias of Korean resident bond investors, as their overseas bond investments have rapidly increased after 2000. For this purpose, we introduce the Won/invested currency swap basis (interest rate differential adjusted FX swap return) and the Won/invested currency uncovered basis (interest rate differential adjusted expected FX spot return) along with the interest
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Corporate Disclosures in Pandemic Times. The Annual and Interim Reports Case Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-28 Ionel Bostan, Ovidiu-Constantin Bunget, Alin-Constantin Dumitrescu, Valentin Burca, Aura Domil, Dorel Mates, Oana Bogdan
ABSTRACT The paper examines if COVID-19 crisis has brought changes in companies’ approach on corporate reporting, with focus on annual reports. The research method is based on text mining techniques in order to build measures of readability and tone of uncertainty of annual reports, given the information published by the companies listed on four stock exchanges from Europe, namely the Bucharest Stock
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Impacts of Earnings Management and Institutional-financial Development on Capital Structure Choice in Latin-American Markets Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-16 Jorge A. Muñoz Mendoza, Sandra M. Sepúlveda Yelpo, Carmen L. Veloso Ramos, Carlos L. Delgado Fuentealba
ABSTRACT We analyzed the effects of accruals-based earnings management practices and institutional-financial qualities of countries on the financing policy of Latin American companies. We used panel data on a sample of 983 companies between 1995 and 2017. Our results indicate that positive discretionary accruals reduce leverage and increase debt maturity. These findings suggest that accounting manipulation
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Identifying Sovereign Risk Spillover Channels: A Spatial Econometric Approach Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-16 Wei-Qiang Huang, Peipei Liu
ABSTRACT We apply novel spatial econometric techniques to investigate spillovers in sovereign risk for 41 advanced and emerging economies during 2004–2019. We find that sovereign risk spillover channels that play major roles in various periods are different. Real linkages (trade, financial, and geography) and information channel both play major roles in spillover effects during the full sample period
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Production Suspension, Corporate Governance, and Firm Value Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-16 Yonghyun Kwon, Seung Hun Han, Young Woo Koh
ABSTRACT This study investigates the effects of planned and unplanned production suspension on firm value. We find that the increased business risk caused by the production suspension negatively affects firm value. Additionally, good corporate governance alleviates the negative effect of planned suspensions, while only firm-specific factors affect unplanned suspensions. Moreover, among firms facing
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Commodity Prices and Forecastability of International Stock Returns over a Century: Sentiments versus Fundamentals with Focus on South Africa Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-16 Afees A. Salisu, Rangan Gupta
ABSTRACT We forecast real stock returns of South Africa over the monthly period of 1915:01 to 2021:03 using real oil, gold and silver prices, based on an autoregressive type distributed lag model that controls for persistence and endogeneity bias. Oil price proxies for fundamentals, while gold and silver prices capture sentiments. We find that the metrics for fundamentals and sentiments both predict
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Financial Constraints with the Outbreak of COVID-19 and the Equity Guarantee Swap Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-10-06 Zhixin Wang, Qin Zhao, Xiangyu Zong
ABSTRACT In order to further alleviate the financing constraints on SMEs and to reduce financing costs incurred following the outbreak of COVID-19, this article introduces an innovative financial arrangement called equity for guarantee swaps (EGS), which are based on widely used credit guarantee schemes (CGS). EGS can reduce information asymmetry and increase credit to SMEs, so that they can obtain
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How Does Uncertainty Affect Volatility Correlation between Financial Assets? Evidence from Bitcoin, Stock and Gold Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-06 Zheng-Zheng Li, Chi-Wei Su, Meng Nan Zhu
ABSTRACT This paper deciphers the correlation of volatility between Bitcoin, stock and gold, in the context of uncertainty. The wavelet analysis results indicate that the selected assets are primarily positively correlated with each other, specifically in periods when the economic policy uncertainty (EPU) is high. Furthermore, the logit regression confirms that the EPU and categorial EPU indices have
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Can Central Bank Mitigate the Effects of the COVID-19 Pandemic on the Macroeconomy? Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-06 Han Long, Chun-Ping Chang, Sujeetha Jegajeevan, Kai Tang
ABSTRACT Facing with the enormous economic loss resulting from the unexpected outburst of the COVID-19 pandemic, central banks around the world began to show a great activeness and implement numerous monetary policies to help mitigate the negative shocks and recover the economy. This paper aims at investigating the impact of the COVID-19 pandemic on the macroeconomy and whether central bank activeness
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The Asymmetric Effects of Argentina’s Fiscal Deficits on the Real Exchange Rate Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-06 Ivan F. Julio, Jorge M. Oviedo
ABSTRACT According to standard theoretical frameworks such as Real Business Cycle (RBC’s) models or new-Keynesian theories, the real exchange rate should appreciate in response to an increase in government spending. However, the empirical literature finds mixed results. We offer an answer to this puzzle by analyzing the impact of the composition of the fiscal deficit. Using a dynamic stochastic general
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Trade Impact of Reducing Time and Costs at Borders in the Central Asia Regional Economic Cooperation Region Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-06 Kijin Kim, Paul Mariano, Jerome Abesamis
ABSTRACT Trade facilitation, by reducing trade costs and raising the efficiency of moving goods across borders, is integral to international trade. Using novel data on bilateral time and cost measures for trade facilitation in the Central Asia Regional Economic Cooperation (CAREC) Program, this study estimates the trade impact of reducing time and costs at border crossing points within CAREC. The gravity
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Insurer Investment, Life Insurance Policy Choices, and Policy Surrender Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-12-01 Fu-Wei Huang, Shi Chen, Jyh-Horng Lin
ABSTRACT This study develops a contingent framework to examine the contract issuance of alternative unit-linked insurance plans (ULIPs) considering policy surrender. We show that the extension of the aggressive/conservative-plan policy surrender date enhances policyholder protection and insurer default risk when the two optimal guaranteed rates of the programs remain fixed. Increasing aggressive-plan
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The Effects of Zombie Firms on the Financial Information Transparency of Other Firms Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-11-18 Haishan Yu, Xiaowen Liu, Yisihong Zhou
ABSTRACT Zombie firms have strong negative effects on society. This paper empirically investigates the effects of zombie firms on the financial information transparency of normal firms and finds that zombie firms significantly reduce the financial information transparency of these normal firms, thus also reducing their performance. Further analysis reveals that zombie firms have more obvious negative
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Commonalities in the Movements of Inflation Rates among Countries in the East African Community Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-11-18 R. Scott Hacker, Yvonne Umulisa
ABSTRACT In this study, we investigate the degree to which inflation-rate movements for countries in the East African Community (EAC) have become more similar, which is an important issue for the EAC’s goal of creating a common currency. For the five EAC countries (excluding South Sudan), we find that comovements in inflation rates generally became more similar between 1995 and 2018. A decrease in
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Managerial Ability and Bond Rating: A Focus on Controlling Shareholders’ Ownership Structure Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-11-06 Hyunjin Oh, Jinha Park, Bumjoon Kim
ABSTRACT Although managerial ability is important for credit risk assessment, it is unclear whether local credit rating agencies consider it an independent risk factor. We examine how Korean agencies evaluate the impact of managerial ability on bond rating depending on controlling shareholders’ ownership structure. We identify controlling shareholders using family-owned businesses (chaebols). The results
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Oil, Foreign Exchange Swaps and Interest Rates in the GCC Countries Emerging Markets Finance and Trade (IF 4.859) Pub Date : 2021-11-06 Nawaf Almaskati
ABSTRACT We examine the relationship between oil prices, foreign exchange (FX) swaps and local interbank offered rates in the six Gulf Cooperation Council (GCC) countries. We also investigate the potential hedging and diversification benefits from adding oil positions to portfolios containing GCC FX swaps or interest rate positions. Our findings confirm that oil predicts, and in some cases causes,