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Financial fusion: Bridging Islamic and Green investments in the European stock market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-28 Afzol Husain, Sitara Karim, Ahmet Sensoy
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Time-frequency extreme risk spillovers between COVID-19 news-based panic sentiment and stock market volatility in the multi-layer network: Evidence from the RCEP countries International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-25 Yanshuang Li, Yujie Shi, Yongdong Shi, Xiong Xiong, Shangkun Yi
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Assessing resilience to systemic risks across interbank credit networks using linkage-leverage analysis: Evidence from Japan International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-25 Haibo Wang
The banking crisis started in March 2023 was triggered by disproportion of deposit liability and assets. Applying balance sheets from 1999 to 2022, from the Japanese Bank Association, this study scrutinizes the durability of high-priority banking systems against damaging events in that industry. Eyeing the unique high-level savings in Japanese banking, this study investigates the impact of disproportion
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Uncertainty and cryptocurrency returns: A lesson from turbulent times International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-24 Barbara Będowska-Sójka, Joanna Górka, Danial Hemmings, Adam Zaremba
This paper explores the interplay between economic uncertainty and cryptocurrency behaviour. Using data spanning from April 2018 to December 2022, we examine the relationship between ten major cryptocurrencies and a repertoire of uncertainty measures covering geopolitical events, economic policy, and commodity, equity, and bond markets. Cryptocurrency returns exhibit dynamic and positive correlation
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When acquirers are short on cash flow in M&A deals International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-21 Yaru Ren, Lin Li, Wilson H.S. Tong, Peter Lam
Studies on corporate takeovers are voluminous but typically assume that acquirers are not financially constrained. We show that acquirers' free cash flow (FCF) levels have significant impacts on their takeover activities and consequences. Acquirers with low FCF, despite their high levels of cash holdings, tend to pay in stocks rather than cash. The targets acquired by low-FCF acquirers are of inferior
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Machine-learning stock market volatility: Predictability, drivers, and economic value International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-20 Juan D. Díaz, Erwin Hansen, Gabriel Cabrera
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Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-20 Robinson Dettoni, Luis A. Gil-Alana, OlaOluwa S. Yaya
This paper presents a novel approach to identifying potential bubbles in the US stock market by employing alternative time series methods based on long memory, including fractional integration and cointegration, as well as duration dependence non-parametric models. To test for duration dependence, the paper employs a unique non-parametric hazard function estimation method, using monotonic P-splines
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The shape of the Treasury yield curve and commodity prices International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-20 Yasmeen Bayaa, Mahmoud Qadan
We decompose the U.S. yield curve into three latent factors – the level, slope and curvature – and explore the information content of the yield curve regarding the future evolution in oil, coal, copper, ethanol, gold, heating oil, natural gas, palladium, platinum, silver and zinc prices. Using data from January 1986 to November 2021, we find that the shape of the term structure is very informative
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Crime and covenants International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-18 Farhan Shazia
Crime is a major concern in the U.S., with implications for the allocation of resources due to the uncertainty associated with it. This paper examines whether the U.S. state property crime rate is a source of uncertainty that induces lenders to increase and tighten covenants as a result of increased risk. I found that greater crime exposure by borrowers leads lenders to impose higher and tighter covenants
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Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-18 Peter Cincinelli, Elisabetta Pellini, Giovanni Urga
In this paper, we evaluate whether banks and non-banks size and systemic risk are affected by their level of leverage. We implement a threshold analysis to a sample of European traditional banks and non-banks (Finance services and Real Estate Finance Services) over 2006:1-2019:4. We find that Finance Services show positive co-movements between leverage and size, independently of the level of leverage
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Does management tone matter in information disclosure? Evidence from IPO online roadshows in the SSE STAR market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-18 Shengpeng Zhang, Yaokuang Li, Ruixin Liang, Yu He
This paper explores whether management tone in IPO online roadshows in the SSE STAR Market matters in information disclosure. We apply bag-of-words and machine learning methods to construct proxies for management tone, respectively. After conducting a series of empirical analyses, we find that management tone is positively associated with first-day stock returns and future operating performance after
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The impact of macroeconomic news sentiment on interest rates International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-17 Francesco Audrino, Eric A. Offner
We provide evidence that sentiment extracted from articles related to interest rates, inflation, and the labor market has the ability to explain short-term interest rate movements that cannot be accounted for by professionals’ and consumers’ expectations. Additionally, sentiment can pin down two short rate regimes that are correlated with the business cycle. By combining these results with a yield
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FinSentGPT: A universal financial sentiment engine? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-17 Aref Mahdavi Ardekani, Julie Bertz, Cormac Bryce, Michael Dowling, Suwan(Cheng) Long
We present FinSentGPT, a financial sentiment prediction model based on a fine-tuned version of the artificial intelligence language model, ChatGPT. To assess the model’s effectiveness, we analyse a sample of US media news and a multi-language dataset of European Central Bank Monetary Policy Decisions. Our findings demonstrate that FinSentGPT’s sentiment classification ability aligns well with a prominent
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Diversifying and hedging REIT portfolios with cryptocurrencies: Evidence from global and regional REIT indices International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Babatunde O. Odusami, Omokolade Akinsomi
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Revisiting the economic policy uncertainty and resource rents nexus: Moderating impact of financial sector development in BRICS International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Wanqing Yu, Yufei Gan, Bingjun Zhou, Jiapeng Dai
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Does Fintech affect shadow banking of non-financial firms? Evidence from the entrusted loans International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Yongqi Feng, Yue Cao, Juan Ni
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Peer effects in corporate financialization: The role of Fintech in financial decision making International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Haolin Zhang, Yongqi Feng, Ying Wang, Juan Ni
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Options illiquidity in an over-the-counter market International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Jungkyu Ahn
This article reveals that the intensity of search determines whether illiquid currency options trade at premia or at discounts. For options in a standalone search market, illiquidity leads to price premia, as intermediating dealers, who are presumably short in the equilibrium, demand additional compensation. With the presence of listed options at exchanges, illiquidity results in price discounts, as
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Climate change exposure, shareholder wealth, and the adoption of the Paris agreement: A text-based approach International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Pattanaporn Chatjuthamard, Simran Singh, Pornsit Jiraporn, Sang Mook Lee
Taking advantage of a distinctive measure of firm-specific exposure to climate change derived from sophisticated textual analysis, we examine the effect of climate change exposure on shareholder value using the signing of the Paris climate agreement. We find that companies more exposed to climate change experience more favorable market reactions to the adoption of the agreement. Specifically, a rise
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Trading activity of VIX futures and options around FOMC announcements International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Hong-Gia Huang, Wei-Che Tsai, J. Jimmy Yang
This research investigates the information content of volatility trading in VIX derivatives under a high-frequency framework. We provide empirical evidence that the abnormal order imbalances of VIX futures and call (put) options are significantly negative (positive) during FOMC embargoes. Our results remain robust under various empirical approaches for examining FOMC announcements. We also find that
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Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Yujun Huang
This article examines the risk-related performance of ESG (Environmental, Social, and Governance) investments through the ETFs, with the employment of Oil & Gas ETFs as benchmark. We introduce the Value-at-Risk () and modified Sharpe Ratio () based on such measurement as representative of tail risk protection. The sample of this study is from March 2012 to January 2022, which covers the Covid-19 period
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Analyzing credit spread changes using explainable artificial intelligence International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Julia Heger, Aleksey Min, Rudi Zagst
We compare linear regression, local polynomial regression and selected machine learning methods for modeling credit spread changes. Using partial dependence plots (PDPs) and H-statistic, we find that the outperformance of machine learning models compared to regression ones is mostly attributable to complex non-linearities and not to interactions. The PDPs are additionally used to perform a factor hedging
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A consumption-based term structure model of bonds and equity International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Masataka Suzuki
In this study, I propose a consumption-based asset pricing model to capture the dynamic properties of term structures of bonds and equity. I extend the long-run risks model by introducing a mean-reversion of dividend growth and the external habit formation of a representative agent. The mean-reverting dividend growth generates a negative equity term premium, while the habit formation augments the equity
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Beyond the veil: Mapping cryptocurrencies' ecosystem International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Matteo Cavallaro, Alban Mathieu
This paper's objective is important for clarifying the economic characteristics of the cryptocurrencies' ecosystem and thus providing an interpretative grid for future research. Far from being limited to the Bitcoin's experience, the number of cryptocurrencies is large and new crypto-like assets are constantly being created. The multiplicity of cryptocurrencies raises questions about their similarities
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An examination of how executive remuneration and firm performance are influenced by Chair-CEO diversity attributes International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Colette Grey, Antoinette Flynn, Douglas A. Adu
Advancing prior research, this study investigates the effect of Chair-CEO diversity on the relationship between executive remuneration and firm performance. Employing a unique sample of 262 UK listed firms from 2009 to 2020, our findings are five-fold. First, our findings suggest that Chair-CEO diversity is negatively associated with executive remuneration levels. Second, we document a positive relationship
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Unravelling the credit market shocks and investment dynamics: A theoretical and empirical perspective International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Darja Zabavnik, Miroslav Verbič
This paper investigates the underlying credit market shocks that historically affected business investment in the Slovenian economy. In contrast to the existing literature, we explore more profound structural shocks beneath the credit demand and supply shocks. For the purpose of structural identification, we propose a theoretical model of the credit market that reveals the credit market imperfections
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Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-16 Carlos Esparcia, Ana Escribano, Francisco Jareño
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Asymmetric post earnings announcement drift and order flow imbalance: The impact on stock market returns International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Sijia Zhang, Andros Gregoriou, He Wu
We conduct an event study around the earning announcement to examine the asymmetric post earnings announcement drift, and its relationship with the bid-ask bias, order follow imbalance on post earnings announcement period for UK stock market from 2000 2021. The earning drift is significantly asymmetric in the post earnings announcement period, stocks with good news have less drift, and it (at least)
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Uncertainty and international fund flows: A cross-country analysis International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Joseph J. French, Seungho Shin, Constantin Gurdgiev, Atsuyuki Naka
This paper investigates the impacts of uncertainty on international portfolio allocation decisions and returns across 27 countries. Using panel structural vector autoregressive analysis, a positive link between both country-level and global uncertainty with equity fund flows is uncovered, highlighting the role of investor sentiment in capital allocation decisions. Findings also support the portfolio
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The impact of family ownership on tax avoidance: International evidence International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Constantinos G. Chalevas, Leonidas C. Doukakis, Nikolaos I. Karampinis, Olga-Chara Pavlopoulou
Motivated by the global interest on tax avoidance and the unique nature and contribution of family firms to the global economy, this study examines the impact of family ownership on the tax behaviour of firms listed in 38 capital markets from 2008 to 2019. The study is the first to investigate both conforming and nonconforming tax avoidance practices across family and non-family firms using an international
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Noncontrolling shareholders' network centrality and corporate earnings management: Governance or conspiracy? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Zhonghai Yang, Xue Xiu, Meng Xu, Yixiu Zhao
Corporate governance is undermined by the tunneling of controlling shareholders. Social networks play a positive role in corporate governance; hence, the question is whether noncontrolling shareholders can take advantage of their network position to participate in corporate governance and subsequently influence earnings management. Our findings indicate that noncontrolling shareholders' network centrality
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Ecological product value accounting and analyst behavior International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Fang Ben, Zhe Li, Jing Sun, Hongmei Wang, Xin Zhao
Ecological product value accounting, a key method for companies to promote green transformation, is essential to an economy’s healthy development. This study collates data on the annual ecological product value accounting of listed companies from 2001 to 2021, conducts regression analysis, and investigates the impact of these companies’ ecological product value accounting on analyst behavior. The results
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Understanding co-movements based on heterogeneous information associations International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Huai-Long Shi, Huayi Chen
Both systematic and idiosyncratic information dissemination contribute to assets co-movement. To proxy for co-movement based on heterogeneous information diffusion, we construct two-layer network structures in terms of the correlations of systematic and idiosyncratic returns for Fama–French 49 industry portfolios. We further delve into the co-movement structures by studying their dynamics and interactions
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Going mainstream: Cryptocurrency narratives in newspapers International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Clive B. Walker
This paper quantifies mainstream media coverage of Bitcoin to understand how a once niche interest entered public culture. From 2011 to 2022, five key narratives are identified as criminality, culture, politics, price and technology. Price, politics, and culture have become more prominent in coverage while the technology narrative has waned. Coverage that is more political or cultural is associated
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To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Krzysztof Echaust, Małgorzata Just, Agata Kliber
The article aims to determine whether any hedging strategy against stock market risk, performed using instruments popular in the literature (gold, cryptocurrencies and oil), can beat index futures. As a hedging strategy, we understand a pair-wise portfolio consisting of a long position in stocks and a short position in a hedging instrument put together to minimise the portfolio variance. As a benchmark
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Does media coverage of firms' environment, social, and governance (ESG) incidents affect analyst coverage and forecasts? A risk perspective International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Guanming He, April Zhichao Li
We examine whether and how media coverage of firms' environment, social, and governance (ESG) incidents is associated with analyst coverage and forecasts. We propound that the risks of firms could either increase or decrease as a result of media-covered ESG incidents, depending on the firms' actions on the media coverage, and thus its impact on analyst coverage and forecasts would vary. Based on a
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Adaptation and innovation: How does climate vulnerability shapes corporate green innovation in BRICS International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-15 Xiaoxi Liu, Xiaoling Yuan, Xing Ge, Zhongguo Jin
In the face of escalating environmental challenges, gaining insights into their influence on corporate strategies has become crucial because it paves the way for proactive and adaptive measures. In view of this, the primary objective of study is to explore the relationship between climate vulnerability (CVN) and corporate green innovation (GIN). The study leverages a comprehensive dataset spanning
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On practitioners closed-form GARCH option pricing International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-14 Sharif Mozumder, Bart Frijns, Bakhtear Talukdar, M. Humayun Kabir
This paper proposes a practitioner version of Heston and Nandi's (2000) (HN) model, which we term the Practitioner's Heston Nandi, or PHN model. We compare the option pricing and hedging performance of the PHN model vis-à-vis the HN model. Instead of using a one-period ahead volatility forecast for all options used in calibrations at any given time, the PHN model proposes using forward-looking volatilities
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Why isn't composite equity issuance favored by the stock market? A risk-based explanation for the anomaly International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-14 Huaibing Yu
Composite equity issuance anomaly is puzzling. This study presents a risk-based explanation that complements and transcends the behavior-based explanation by prior mainstream literature. Investors react to the signal embedded in the composite equity issuance and adjust a firm's risk level through implied cost of equity capital, which leads to lower subsequent stock returns. Empirical results show that
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Examining the quantile cross-coherence between fossil energy and clean energy: Is the dependence structure changing with the COVID-19 outbreak? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-13 Zhuo Wang, Xiaodan Chen, Chunyan Zhou, Yifeng Zhang, Yu Wei
The advent of COVID-19 has markedly affected financial and energy markets. Clean energy positions itself as a feasible substitute for fossil fuels, and the crisis has altered the interdependence of these two counterpart markets. This study uses quantile cross-spectral analysis to investigate the dependence structure features of the fossil and clean energy markets, pre- and post-COVID-19 outbreak, under
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Corrigendum to “Management myopia and corporate ESG performance” [International Review of Financial Analysis 92 (2024) 1-11/FINANA-D-23-01893] International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-11 Zhangmei Fan, Ying Chen, Yifan Mo
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Cross-exchange crypto risk: A high-frequency dynamic network perspective International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-06 Yifu Wang, Wanbo Lu, Min-Bin Lin, Rui Ren, Wolfgang Karl Härdle
Cross-exchange crypto trading presents inherent risks, particularly for centralized exchanges. Investors observe exacerbating crypto volatility and counterparty risk and would like to quantify these elements of crypto trades. The multiple exchanges require a multivariate view on the structures of risk spillover across exchanges. Here, a Multivariate Heterogeneous AutoRegression (MHAR) model is designed
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Seeking a shock haven: Hedging extreme upward oil price changes International Review of Financial Analysis (IF 8.235) Pub Date : 2024-04-01 Thomas Conlon, Shaen Corbet, Yang (Greg) Hou, Yang Hu, Les Oxley
Crude oil is prone to large upward price shocks, creating challenges for personal and corporate budgeting and the economy more broadly. In this paper, we systematically assess a range of possible assets which might function as against large oil price shocks. Empirical tests uncover a rich set of assets which act both as hedges and shock havens, including precious metals, soft commodities and, with
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The black box of natural gas market: Past, present, and future International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-31 Alessia Palma, Andrea Paltrinieri, John W. Goodell, Marco Ercole Oriani
The increasing importance of natural gas in ensuring energy security, coupled with the impact of the COVID-19 crisis and the ongoing Russian-Ukraine war, motivates us to highlight the scholarly evolution of the literature on natural gas. From an initial pool of 53,964 papers, we refine our database, analyzing 1006 papers. By combining bibliometric and content analysis, we identify leading journals
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Investing while lending: Do index funds improve managerial information disclosure? International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-30 Yunhe Dong, Haoyi Luo, Zijin Xu, Xing Yang
Securities lending activities have become pervasive among index funds in recent decades, yet its impact on information disclosure remains unclear. In this paper, we jointly investigate the information disclosure impact of both investing and lending activities of index funds, using a sample of the U.S. firms for 2002–2017. On the one hand, we document that securities lending deteriorates the information
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Machine learning and the cross-section of cryptocurrency returns International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-30 Nusret Cakici, Syed Jawad Hussain Shahzad, Barbara Będowska-Sójka, Adam Zaremba
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Bitcoin price volatility transmission between spot and futures markets International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-29 George N. Apostolakis
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Dynamic impacts of multidimensional uncertainty on the renminbi exchange rate: Insights from time-varying analysis International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-28 Man Lu, Wei Wang, Fengwen Chen, Hongmei Li
Using a time-varying model, this study investigates the dynamic impact of multidimensional uncertainty by considering data from the policy, finance, and energy markets on the renminbi (RMB) exchange rate from 2001 to 2022. It analyzes specific influence patterns during critical economic periods. We find that multiple dimensions of uncertainty influence the RMB exchange rate rapidly and that these influences
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Practical forecasting of risk boundaries for industrial metals and critical minerals via statistical machine learning techniques International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-28 Insu Choi, Woo Chang Kim
This study examines the application of machine learning in predicting price risk boundaries for industrial metals and critical minerals, emphasizing the role of statistical dependencies among their yields. Given these commodities’ pivotal role in various industries and their influence on the global economy, accurate forecasting of their price boundaries is critical. Our research employs statistical
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Do green investments improve portfolio diversification? Evidence from mean conditional value-at-risk optimization International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-28 Hachmi Ben Ameur, Zied Ftiti, Waël Louhichi, Mohamed Yousfi
This study investigates how green investment assets improve optimal portfolio diversification in terms of tail downside risk. We use the wavelet conditional value-at-risk ratio to explore the benefits of adding green assets to conventional portfolios. We quantify risk based on the contagion between conventional stock market indices and green environmental assets, including a sustainability index, clean
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A Modigliani-Miller theorem for the public finances of globalized economies International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-28 Biagio Bossone
In line with the capital structure irrelevance principle of Modigliani and Miller (1958), this article shows that when international capital allocation choices are determined by well-informed, deep-pocketed global financial investors, there are no net gains a government of a highly internationally financially integrated (“globalized”) economy can consistently extract from resorting to one type of deficit
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Do central bankers' characteristics matter for Africa? Ethnic favoritism, fractionalization, and inflation International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-28 Christine Strong, Constant L. Yayi
Using a newly constructed dataset over the period 1984–2017 for 21 African countries, this study investigates the influence of central bankers' personal characteristics, including educational and professional backgrounds, as well as ethnic affiliation, on inflation. The central hypothesis posits that shared ethnic affiliation between the central banker and the head of the executive branch signals an
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It is a small world: The effect of analyst-media school ties on analyst performance International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-27 Yongzhen Guo, Yinghuan Wang
We examine the effect of school ties between sell-side analysts and media executives on the improvement in analysts' performance during the release of informative negative news. Our baseline results and mechanism tests show that analysts obtain fragmented private information to improve their earnings forecast accuracy by taking advantage of the school ties with financial media executives. To establish
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Banking competition, credit financing and the efficiency of corporate technology innovation International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-27 Xiaohua Liu, Qiuhan Zhao
Based on the data spanning 2010 to 2022, this study delves into how banking competition impacts the efficiency of enterprise science and technology innovation by lowering credit costs, enhancing credit availability, optimizing credit allocation, and offering empirical evidence for the significant role of banking competition in influencing corporate technology innovation efficiency. This paper concludes
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Corporate social responsibility and the choice of payment method in mergers and acquisitions International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-26 Hong Vo, Hien T. Nguyen, Hieu V. Phan
This study examines the relationship between corporate social responsibility (CSR) and the choice of payment method in mergers and acquisitions (M&As). We find that acquiring firms' CSR is positively related to cash payments but negatively related to stock payments for acquisition deals, particularly for poorly governed firms with excessive CSR. Further analysis indicates that cash payments are positively
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ESG scores and debt costs: Exploring indebtedness, agency costs, and financial system impact International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-25 Carlos Francisco Alves, Lilian Lima Meneses
This paper provides evidence that conventional risk measures (Merton Distance to Default, Altman -Score, Z-Score and Volatility) fail to capture all the relevant information to assess borrower risk. Moreover, the paper shows that the additional information contained in ESG scores has a negative relationship with the cost of debt, and this relationship is economically significant. In addition, companies
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Enhancing cryptocurrency market volatility forecasting with daily dynamic tuning strategy International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-25 Lingbing Feng, Jiajun Qi, Brian Lucey
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Inflation prediction in emerging economies: Machine learning and FX reserves integration for enhanced forecasting International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-23 Nawazish Mirza, Syed Kumail Abbas Rizvi, Bushra Naqvi, Muhammad Umar
The present study makes two significant contributions to the extended body of literature in the context of International Finance. First, it forecasts the inflation in an emerging economy by employing a combination of traditional forecasting and models to test whether machine learning models outperform traditional forecasting models. Second, it explicitly includes an often-neglected variable i.e. foreign
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CEO overconfidence and the informativeness of bank stock prices International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-23 Anh-Tuan Le, Anh-Tuan Doan, Kun-Li Lin
This study examines the effect of the overconfidence of chief executive officers (CEOs) on the informativeness of banks' stock prices. Using an option-based overconfidence measure, we demonstrate that banks with overconfident CEOs have less informative stock prices. This finding is robust to alternative measures of overconfident CEOs and to addressing endogeneity with propensity score matching, an
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The effects of membership expansion on credit union risk and returns International Review of Financial Analysis (IF 8.235) Pub Date : 2024-03-22 Jordan van Rijn
Between 1996 and 2022, regulatory changes led to over a thousand federally chartered credit unions converting to community charters, significantly increasing credit union membership. This study attempts to determine whether these developments improve safety and soundness by enabling credit unions to diversify their loan portfolios, or whether risk increases as the social capital of a tight common bond