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Corporate bond factor momentum 公司债券因素动量
IF 2 4区 经济学
Economics Letters Pub Date : 2026-10-01 Epub Date: 2026-10-06 DOI: 10.1016/j.econlet.2026.113281
Davide Sandretto
{"title":"Corporate bond factor momentum","authors":"Davide Sandretto","doi":"10.1016/j.econlet.2026.113281","DOIUrl":"10.1016/j.econlet.2026.113281","url":null,"abstract":"<div><div>Recent studies show that momentum in factor premia, rather than in individual asset returns, drives the momentum anomaly in equity markets. We examine whether factor momentum extends to corporate bonds, using a novel manually cleaned dataset of 155 corporate bond factors spanning 1985 to 2023. We document a factor momentum effect although it is economically modest and sample dependent, with monthly alphas ranging from 10 to 28 basis points. Cross-sectional strategies built on bond-level and within-firm factors are the most robust, remaining significant even after accounting for conservative transaction costs. Time series strategies, by contrast, do not survive trading frictions. Bond-level and within-firm factor momentum are not subsumed by bond or equity price momentum, whereas the reverse holds only for its equity variant. The results of this study (i) extend the factor momentum literature to a market that has so far received little attention, (ii) provide evidence that return continuation is not pervasive across risk factors, and (iii) document that price and factor momentum, although related, originate from different sources of return variation.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"269 ","pages":"Article 113281"},"PeriodicalIF":2.0,"publicationDate":"2026-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149144744","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Who benefits from corporate entrepreneurship disclosure? Evidence from credit ratings 谁从企业创业信息披露中受益？来自信用评级的证据
IF 2 4区 经济学
Economics Letters Pub Date : 2026-10-01 Epub Date: 2026-10-11 DOI: 10.1016/j.econlet.2026.113304
Debasish Kar, Sharad Nath Bhattacharya, Mousumi Bhattacharya
{"title":"Who benefits from corporate entrepreneurship disclosure? Evidence from credit ratings","authors":"Debasish Kar,&nbsp;Sharad Nath Bhattacharya,&nbsp;Mousumi Bhattacharya","doi":"10.1016/j.econlet.2026.113304","DOIUrl":"10.1016/j.econlet.2026.113304","url":null,"abstract":"<div><div>The study introduces a scalable textual measure of corporate entrepreneurship disclosure (CED) and establishes its relevance to external credit ratings. CED increases over the sample period and firms with higher semantic CED receive more favorable external credit ratings, although financial constraints weaken this association. Rating agencies discount entrepreneurial activity in financially constrained firms, which reflects their perceived uncertainty about whether these firms can finance ongoing operations while sustaining entrepreneurial activities.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"269 ","pages":"Article 113304"},"PeriodicalIF":2.0,"publicationDate":"2026-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149202601","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Behavioral tokenomics: Myopic voting and token-weighted governance 行为代币经济学：短视投票和代币加权治理
IF 2 4区 经济学
Economics Letters Pub Date : 2026-10-01 Epub Date: 2026-10-10 DOI: 10.1016/j.econlet.2026.113303
Nicole Tsz Yeung Liu, Samuel N. Kirshner, Eric T.K. Lim
{"title":"Behavioral tokenomics: Myopic voting and token-weighted governance","authors":"Nicole Tsz Yeung Liu,&nbsp;Samuel N. Kirshner,&nbsp;Eric T.K. Lim","doi":"10.1016/j.econlet.2026.113303","DOIUrl":"10.1016/j.econlet.2026.113303","url":null,"abstract":"<div><div>Crowdsourcing-based decentralized autonomous organizations (DAOs) often aggregate members’ information and beliefs through token-weighted voting. Existing research shows that token-weighted voting erodes information aggregation when members vote myopically, whereas strategic members adjust the weight on their private signals inversely to their token holdings to unravel the weighting mechanism. We test voters’ behavior in a controlled experiment, finding that participants vote myopically, conservatively weighting their private signals, and that the voting mechanism does not influence their propensity to act strategically. Our results provide an important first step in developing a behavioral understanding of DAOs.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"269 ","pages":"Article 113303"},"PeriodicalIF":2.0,"publicationDate":"2026-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149202575","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A note on spurious regressions in fixed effects models 关于固定效应模型中的伪回归的说明
IF 2 4区 经济学
Economics Letters Pub Date : 2026-10-01 Epub Date: 2026-09-24 DOI: 10.1016/j.econlet.2026.113267
Dierk Herzer
{"title":"A note on spurious regressions in fixed effects models","authors":"Dierk Herzer","doi":"10.1016/j.econlet.2026.113267","DOIUrl":"10.1016/j.econlet.2026.113267","url":null,"abstract":"<div><div>This study examines spurious fixed-effects (FE) regressions in large-<em>N</em>, small-<em>T</em> panels. We derive the fixed-<em>T</em>, large-<em>N</em> behavior of one-way and two-way FE estimators and their conventional and cluster-robust <em>t</em>-statistics under different random-walk processes and provide supporting Monte Carlo evidence. Two-way FE models with cluster-robust standard errors (SEs) do not exhibit a substantially higher risk of spurious regressions under pure random walks or random walks with homogeneous drift. In the correlated heterogeneous drift case, however, the risk of spurious inference can be substantial even with cluster-robust SEs. This risk increases with both <em>T</em> and <em>N</em>, but remains non-negligible even when <em>T</em> = 5.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"269 ","pages":"Article 113267"},"PeriodicalIF":2.0,"publicationDate":"2026-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149144734","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fed information shocks and option-implied expectations 美联储信息冲击和期权隐含预期
IF 2 4区 经济学
Economics Letters Pub Date : 2026-10-01 Epub Date: 2026-09-19 DOI: 10.1016/j.econlet.2026.113254
Adam Harper, Yilun Lu
{"title":"Fed information shocks and option-implied expectations","authors":"Adam Harper,&nbsp;Yilun Lu","doi":"10.1016/j.econlet.2026.113254","DOIUrl":"10.1016/j.econlet.2026.113254","url":null,"abstract":"<div><div>We study how the informational content of Federal Open Market Committee (FOMC) announcements is incorporated into option markets and subsequent equity returns. In the days before announcements, value-index options exhibit broad declines in implied volatility and trading volume, while growth-index options show no comparable retreat. Following announcements, cumulative index returns rotate across the growth–value dimension conditional on the sign of the central bank information shock. Surprisingly, we find that the post-announcement cross-sectional response is a distinct feature of how equity prices absorb the informational component of monetary communications, not a delayed reflection of positioning already embedded in options.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"269 ","pages":"Article 113254"},"PeriodicalIF":2.0,"publicationDate":"2026-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149144736","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sustainability for a greener economy 可持续发展促进绿色经济
IF 2 4区 经济学
Economics Letters Pub Date : 2026-10-01 Epub Date: 2026-10-06 DOI: 10.1016/j.econlet.2026.113288
Xinyuan Zhong, Yingxian Tan, Xiang Gao
{"title":"Sustainability for a greener economy","authors":"Xinyuan Zhong,&nbsp;Yingxian Tan,&nbsp;Xiang Gao","doi":"10.1016/j.econlet.2026.113288","DOIUrl":"10.1016/j.econlet.2026.113288","url":null,"abstract":"<div><div>We introduce a sustainability constraint into a two-sector production economy with green and brown capital, requiring the welfare measure to be non-decreasing over time. The constraint binds only when the brown capital share is high. When it binds, the planner reduces current consumption and reallocates resources toward investment, especially green investment. The constraint also lowers the risk-free rate and raises the risk premium and Tobin’s <span><math><mi>q</mi></math></span>.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"269 ","pages":"Article 113288"},"PeriodicalIF":2.0,"publicationDate":"2026-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149202602","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Constant resource shares and Samuelson’s Shibboleth 恒定的资源份额和萨缪尔森的shibbolth
IF 2 4区 经济学
Economics Letters Pub Date : 2026-10-01 Epub Date: 2026-10-03 DOI: 10.1016/j.econlet.2026.113284
Arthur Lewbel, Krishna Pendakur
{"title":"Constant resource shares and Samuelson’s Shibboleth","authors":"Arthur Lewbel,&nbsp;Krishna Pendakur","doi":"10.1016/j.econlet.2026.113284","DOIUrl":"10.1016/j.econlet.2026.113284","url":null,"abstract":"<div><div>Suppose each individual in a community is given some fixed constant fraction of total available expenditures to spend. Samuelson (1948, 1954, 1956) argued that this would be a shibboleth (i.e., a procedure that does not have meaning) because such a procedure cannot generally be rationalized by any social welfare function defined over the utilities of individuals. For modern collective household models, Samuelson’s shibboleth has been taken to imply that household resource shares (the fraction of a household’s budget allocated to each household member) cannot be constants. We show Samuelson’s claim depends on an assumption that is inappropriate for collective household models, and when that assumption is dropped, there is no shibboleth: resource shares can be any regular functions, including fixed constant fractions.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"269 ","pages":"Article 113284"},"PeriodicalIF":2.0,"publicationDate":"2026-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149144745","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Younger households’ inflation is more responsive to monetary policy 年轻家庭的通货膨胀更容易受到货币政策的影响
IF 2 4区 经济学
Economics Letters Pub Date : 2026-10-01 Epub Date: 2026-10-08 DOI: 10.1016/j.econlet.2026.113286
Aeimit Lakdawala, Timothy Moreland
{"title":"Younger households’ inflation is more responsive to monetary policy","authors":"Aeimit Lakdawala,&nbsp;Timothy Moreland","doi":"10.1016/j.econlet.2026.113286","DOIUrl":"10.1016/j.econlet.2026.113286","url":null,"abstract":"<div><div>When the Federal Reserve raises interest rates, prices faced by younger households fall more than prices faced by older households. Using age-specific distributional consumer price indices together with high-frequency monetary policy shocks, we document a monotone age gradient in inflation responses, from households under 25 through households 75 and older. A simple decomposition combining BLS major-group CPI responses with age-specific CEX expenditure shares accounts for most of the gap between the youngest and oldest households. Transportation and medical care drive the result: younger households spend disproportionately on transportation (including motor fuel, vehicles, and auto insurance), whose prices respond strongly to monetary policy, while older households spend disproportionately on medical care, whose prices respond less.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"269 ","pages":"Article 113286"},"PeriodicalIF":2.0,"publicationDate":"2026-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149202598","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Disruptions to foreign trade and US banks’ returns 对外贸和美国银行收益的干扰
IF 2 4区 经济学
Economics Letters Pub Date : 2026-10-01 Epub Date: 2026-10-07 DOI: 10.1016/j.econlet.2026.113259
Michele Modugno, Berardino Palazzo, Carlos A. Ramírez, Thiago Ferreira
{"title":"Disruptions to foreign trade and US banks’ returns","authors":"Michele Modugno,&nbsp;Berardino Palazzo,&nbsp;Carlos A. Ramírez,&nbsp;Thiago Ferreira","doi":"10.1016/j.econlet.2026.113259","DOIUrl":"10.1016/j.econlet.2026.113259","url":null,"abstract":"<div><div>We study whether bank loan portfolios help explain differences in their stock returns during major disruptions to foreign trade. Using stock market reactions during the 2018 U.S.-China trade war and the April 2025 tariff announcements, we identify industries that are systematically vulnerable and resilient to trade disruptions. We then combine these classifications with confidential supervisory lending data to construct a measure of trade exposure for large U.S. banks. We find that banks with greater exposure experienced significantly larger stock price declines following the April 2025 tariff announcements.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"269 ","pages":"Article 113259"},"PeriodicalIF":2.0,"publicationDate":"2026-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149202603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Parallel axiomatizations of the concave and convex integrals 凹积分和凸积分的平行公理化
IF 2 4区 经济学
Economics Letters Pub Date : 2026-10-01 Epub Date: 2026-10-09 DOI: 10.1016/j.econlet.2026.113282
Yangyi Deng, Chiu Yu Ko
{"title":"Parallel axiomatizations of the concave and convex integrals","authors":"Yangyi Deng,&nbsp;Chiu Yu Ko","doi":"10.1016/j.econlet.2026.113282","DOIUrl":"10.1016/j.econlet.2026.113282","url":null,"abstract":"<div><div>We provide parallel axiomatic foundations for the concave and convex integrals, which represent optimistic and pessimistic rules for aggregating interacting attributes. For the concave integral, we show that the existing characterizations hold once accordance for additive capacities is required for every finite attribute set rather than only when the attribute set is a singleton. Without this strengthening, the original axioms admit a family of distinct functionals. For the convex integral, we derive a representation as the maximum of ordinary integrals over additive measures dominated by the capacity and establish parallel axiomatic characterizations, with the relevant inequalities reversed relative to their concave counterparts.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"269 ","pages":"Article 113282"},"PeriodicalIF":2.0,"publicationDate":"2026-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149202604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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