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Pension levels, social activities, and household consumption
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-25 DOI: 10.1016/j.frl.2025.106853
Bowen Qu
{"title":"Pension levels, social activities, and household consumption","authors":"Bowen Qu","doi":"10.1016/j.frl.2025.106853","DOIUrl":"https://doi.org/10.1016/j.frl.2025.106853","url":null,"abstract":"Using CHARLS2020 data, this paper conducts a comprehensive exploration of the deep-seated connections between pension levels, social engagement, and household spending. The findings indicate that elevated pension levels notably boost household consumption, with social activities serving as a crucial intermediary in this dynamic. Furthermore, the research uncovers diverse influences of gender, income, and health condition on the relationship between pension and consumption.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"10 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143055163","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
A novel content-based approach to measuring monetary policy uncertainty using fine-tuned LLMs
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-25 DOI: 10.1016/j.frl.2025.106832
Arata Ito, Masahiro Sato, Rui Ota
{"title":"A novel content-based approach to measuring monetary policy uncertainty using fine-tuned LLMs","authors":"Arata Ito, Masahiro Sato, Rui Ota","doi":"10.1016/j.frl.2025.106832","DOIUrl":"https://doi.org/10.1016/j.frl.2025.106832","url":null,"abstract":"Policy uncertainty is a potential source for reducing policy effectiveness. Existing studies have measured policy uncertainty by tracking the frequency of specific keywords in newspaper articles. However, this keyword-based approach fails to account for the context of articles and differentiate the types of uncertainty that such contexts indicate. This study introduces a new method for measuring different types of policy uncertainty in news content using large language models (LLMs). We fine-tune the LLMs to identify different types of uncertainty expressed in newspaper articles based on their context, even if they do not contain specific keywords indicating uncertainty. By applying this method to Japan’s monetary policy from 2015 to 2016, we demonstrate that our approach successfully captures the dynamics of monetary policy uncertainty, which vary significantly depending on the type of uncertainty examined.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"37 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143055229","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Impact of judgment readability on financial crimes
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-23 DOI: 10.1016/j.frl.2025.106779
Jalaj Pathak
{"title":"Impact of judgment readability on financial crimes","authors":"Jalaj Pathak","doi":"10.1016/j.frl.2025.106779","DOIUrl":"https://doi.org/10.1016/j.frl.2025.106779","url":null,"abstract":"Using NLP techniques, we extract the financial judgments from the overall set of supreme court judgments and find a one-unit increase in readability, implying harder-to-comprehend supreme court judgments, is significantly associated with a 2% increase in financial crimes for the next year. The results hold true for different categories of financial crimes and are robust to the other proxies for readability. This is in line with the theories of how the comprehensibility of the judgments often leaves scope for debate and calls for easier-to-read and comprehensible judgments so that such loopholes can be avoided.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143055230","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Unpacking the impact of the capital requirement regulation on non-performing loan dynamics in EU banks
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-23 DOI: 10.1016/j.frl.2025.106810
Inga Urbonaviciute
{"title":"Unpacking the impact of the capital requirement regulation on non-performing loan dynamics in EU banks","authors":"Inga Urbonaviciute","doi":"10.1016/j.frl.2025.106810","DOIUrl":"https://doi.org/10.1016/j.frl.2025.106810","url":null,"abstract":"In the wake of the global financial crisis, an increasing trend in non-performing loans has led to significant risks to financial stability. The 2014 Capital Requirements Regulation was introduced to tackle systemic vulnerabilities in the banking sector by setting an 8% risk-weighted capital requirement. This study demonstrates that stricter capital regulation increases the costs of holding risky assets, especially non-performing loans. This regulatory intervention also reduced the growth in the non-performing loan ratio. The study shows that the effect’s magnitude depends on the bank’s size and the extent of the non-performing loans held before the regulation. Finally, the regulatory impact continued for four years, gradually diminishing post-implementation.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"52 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143055228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models: Comparative performance analysis for portfolio optimization
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-21 DOI: 10.1016/j.frl.2025.106808
Zhangshuang Sun, Xuerui Gao, Kangyang Luo, Yanqin Bai, Jiyuan Tao, Guoqiang Wang
{"title":"Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models: Comparative performance analysis for portfolio optimization","authors":"Zhangshuang Sun, Xuerui Gao, Kangyang Luo, Yanqin Bai, Jiyuan Tao, Guoqiang Wang","doi":"10.1016/j.frl.2025.106808","DOIUrl":"https://doi.org/10.1016/j.frl.2025.106808","url":null,"abstract":"In this paper, we present a novel extension of the dynamic conditional angular correlation framework through several influential GARCH family models. This extension aims to enhance the precision in capturing volatility dynamics and broaden their applicability across diverse market conditions. Furthermore, the application of stock portfolio optimization based on the real financial data is conducted to evaluate and compare the estimation performance of dynamic correlation matrices produced by the different extended models. These experiments reveal the significant superiority of the dynamic conditional angular correlation with fractionally integrated GARCH model in markets exhibiting the long-term memory characteristics, effectively capturing persistent volatility.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"37 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143055296","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Comparative analysis of risk measures for optimal hedge ratio determination
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-21 DOI: 10.1016/j.frl.2025.106795
Fernanda Maria Müller, Leonardo Teixeira Spindler, Marcelo Brutti Righi
{"title":"Comparative analysis of risk measures for optimal hedge ratio determination","authors":"Fernanda Maria Müller, Leonardo Teixeira Spindler, Marcelo Brutti Righi","doi":"10.1016/j.frl.2025.106795","DOIUrl":"https://doi.org/10.1016/j.frl.2025.106795","url":null,"abstract":"We present a comparative study of loss and loss-deviation measures for optimal hedge ratio estimation in a minimum-loss and loss-deviation framework. The study encompasses five equity market indices and their futures contracts, covering developed and emerging markets from 2006 to 2024. The results show that the Expected Loss Deviation (ELD) measure leads to an average 94.5% and 82% reduction of variance and Value at Risk (VaR), respectively, thus outperforming other traditional measures, such as Expected Shortfall (ES) and Expectile Value at Risk (EVaR). Risk and loss-deviation measures with significance-level parameters showed increased effectiveness with higher significance levels. This research contributes to the literature by systematically comparing risk measures and highlighting the practical advantages of using loss-deviation measures in optimizing hedging strategies.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"39 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143055290","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Can digital financial development improve the accuracy of corporate earnings forecasts
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-20 DOI: 10.1016/j.frl.2025.106833
Peipei Wang, Hongli Wang
{"title":"Can digital financial development improve the accuracy of corporate earnings forecasts","authors":"Peipei Wang, Hongli Wang","doi":"10.1016/j.frl.2025.106833","DOIUrl":"https://doi.org/10.1016/j.frl.2025.106833","url":null,"abstract":"Enhancing the precision of earnings forecasts contributes to heightened market openness, safeguards investors' interests, and fosters logical investment analysis. Based on A-share listed firms spanning 2011 to 2023, this paper explores how to enhance enterprises` earnings forecast accuracy in the digital era, examining the relationship between regional digital finance and corporate earnings forecast accuracy. The findings indicate that increasing regional digital finance can effectively improve enterprises' forecast accuracy, and the breadth of digital financial user adoption brings more pronounced optimizing effects. Further, this positive effect is brought by alleviating financing constraints, enhancing enterprises` internal control capability, and engaging digitization.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"39 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143055318","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Holistic bidding strategies: Addressing target shareholders’ behavioral resistance in M&As
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-18 DOI: 10.1016/j.frl.2025.106822
Beni Lauterbach, Blake Loriot, Yevgeny Mugerman, Joshua Shemesh
{"title":"Holistic bidding strategies: Addressing target shareholders’ behavioral resistance in M&As","authors":"Beni Lauterbach, Blake Loriot, Yevgeny Mugerman, Joshua Shemesh","doi":"10.1016/j.frl.2025.106822","DOIUrl":"https://doi.org/10.1016/j.frl.2025.106822","url":null,"abstract":"The study examines how behavioral considerations of target shareholders affect deal completion likelihood. Lauterbach, Mugerman and Shemesh (2024) show that bidders adjust their offer prices to accommodate target shareholders’ loss aversion, and we find that these premium adjustments appear to mitigate potential bid resistance. Our tests, conducted in an extensive sample of all U.S. public firm merger offers in 1990–2019, suggest a holistic pricing strategy among bidders: the offer price is based not only on intrinsic values and financial analysis; it also usually incorporates the price adjustment necessary to neutralize target shareholders’ behavioral resistance, thereby facilitating deal acceptance.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"115 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143055232","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Managerial overconfidence and corporate digital transformation
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-17 DOI: 10.1016/j.frl.2025.106828
Li Zhang, Xinwei Song
{"title":"Managerial overconfidence and corporate digital transformation","authors":"Li Zhang, Xinwei Song","doi":"10.1016/j.frl.2025.106828","DOIUrl":"https://doi.org/10.1016/j.frl.2025.106828","url":null,"abstract":"This study employs sample data from publicly listed companies between 2007 and 2022 to examine how managerial overconfidence influences corporate digital transformation. The findings reveal that managerial overconfidence exerts a considerable adverse effect on digital transformation, which is further exacerbated under conditions of limited funding. The research indicates that managerial overconfidence impedes the digital transformation process by diminishing board governance and innovation capacity. Furthermore, the negative impact of managerial overconfidence is more pronounced in firms with a low proportion of institutional investor shareholding and those implementing CEO-Chair duality.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"39 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143055317","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Mandatory CSR expenditure regulation and credit ratings: Evidence from India
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-17 DOI: 10.1016/j.frl.2025.106811
Neetu Yadav, Satish Kumar
{"title":"Mandatory CSR expenditure regulation and credit ratings: Evidence from India","authors":"Neetu Yadav, Satish Kumar","doi":"10.1016/j.frl.2025.106811","DOIUrl":"https://doi.org/10.1016/j.frl.2025.106811","url":null,"abstract":"This study investigates the impact of mandatory Corporate Social Responsibility (CSR) expenditure on credit ratings for 2759 firm-year observations from 2015 to 2023 in the Indian context. Our findings indicate that compliance with mandatory CSR spending significantly enhances credit ratings, particularly for firms with a history of voluntary CSR engagement. This suggests that rating agencies positively perceive consistent CSR activities, viewing them as indicators of enhanced transparency and reduced default risk, thus improving creditworthiness under the new regulatory environment. Our findings are validated using a Difference-in-Differences framework and an instrumental variable approach to address endogeneity concerns.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"28 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2025-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143055293","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
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