Finance Research Letters最新文献

The Spillover Effect of U.S. Stock Market Regulation on Global Entrepreneurship: Evidence from the Sarbanes-Oxley Act 美国股市监管对全球企业家精神的溢出效应：来自《萨班斯-奥克斯利法案》的证据

IF 10.4 2区经济学

Finance Research Letters Pub Date : 2026-04-19 DOI: 10.1016/j.frl.2026.110051

Huasheng Gao, Yuxi Wang

引用次数: 0

Relationship between digital asset impairment, credit ratings, and debt financing ability 数字资产减值、信用评级和债务融资能力之间的关系

IF 10.4 2区经济学

Finance Research Letters Pub Date : 2026-04-17 DOI: 10.1016/j.frl.2026.110041

Yemeng Sun, Peiqing Li

{"title":"Relationship between digital asset impairment, credit ratings, and debt financing ability","authors":"Yemeng Sun, Peiqing Li","doi":"10.1016/j.frl.2026.110041","DOIUrl":"https://doi.org/10.1016/j.frl.2026.110041","url":null,"abstract":"Owing to increased reliance on digital assets and rapid growth of the digital economy, understanding the financial implications of digital asset impairment has become crucial for businesses. This study yields five relevant results: (1) core digital asset impairment has a significant negative impact on corporate credit ratings, (2) the effect of core digital asset impairment on credit ratings exhibits heterogeneity between high- and nonhigh-tech enterprises, (3) core digital asset impairment significantly suppresses debt financing capabilities, (4) the impact of core digital asset impairment on high- and nonhigh-tech enterprises’ debt financing capability also displays heterogeneity, and (5) lagged period analysis indicates that the influence of core digital asset impairment on corporate financial conditions is persistent and demonstrates a lag effect. These findings contribute to the literature by providing novel empirical evidence on the financial consequences of digital asset impairment, revealing the heterogeneous effects across different industry types, and highlighting the dynamic persistence of such impairments, thereby offering valuable implications for corporate financial management and credit evaluation practices.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"2 1","pages":"110041"},"PeriodicalIF":10.4,"publicationDate":"2026-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147744003","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

Stress selective Behavior: Asymmetric Responses of Bitcoin and Gold to Valuation and Uncertainty Shocks 压力选择行为：比特币和黄金对估值和不确定性冲击的不对称反应

IF 10.4 2区经济学

Finance Research Letters Pub Date : 2026-04-16 DOI: 10.1016/j.frl.2026.110036

Ricardo Teruel-Gutiérrez, Juan Andres Bernal Conesa, Genoveva Aparicio Serrano

{"title":"Stress selective Behavior: Asymmetric Responses of Bitcoin and Gold to Valuation and Uncertainty Shocks","authors":"Ricardo Teruel-Gutiérrez, Juan Andres Bernal Conesa, Genoveva Aparicio Serrano","doi":"10.1016/j.frl.2026.110036","DOIUrl":"https://doi.org/10.1016/j.frl.2026.110036","url":null,"abstract":"Gold is widely viewed as a safe-haven, yet empirical evidence on Bitcoin remains mixed. A key reason is that “stress” is often treated as a single regime even though turmoil can be triggered by valuation-led equity drawdowns or by fear-driven volatility spikes. Using daily data from 2014 to 2026, stress days are classified non-parametrically into valuation-driven tails and uncertainty-driven tails, with joint/systemic days identified when both conditions hold. Evidence combines stress-conditional correlations and sign rates, rolling market betas (rolling OLS controlling for contemporaneous ΔVIX), and HAC-robust regressions of Bitcoin and gold returns on equity returns, ΔVIX, the 10-year U.S. Treasury yield, the OFR Financial Stress Index, inflation-adjusted money supply, and sentiment/attention proxies. Bitcoin is stress-selective: equity comovement is near zero in valuation-driven stress but increases sharply when uncertainty dominates and is strongest in joint/systemic episodes; rolling betas display pronounced right-tail realizations in uncertainty-driven regimes, with episodic maxima above 2. Regression results corroborate a direct uncertainty channel, with volatility shocks exerting a statistically significant negative effect on Bitcoin returns beyond equity movements and controls, while gold remains comparatively insulated. Findings are robust to alternative stress cut-offs (1%/99% and 10%/90%) and rolling-window lengths. Practically, stress testing and risk limits should distinguish valuation-drawdown scenarios from volatility-shock scenarios, and crypto exposure limits and margin/haircut schedules should tighten when volatility/financial-stress indicators deteriorate, whereas gold provides more reliable protection in fear-driven episodes.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"26 1","pages":"110036"},"PeriodicalIF":10.4,"publicationDate":"2026-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147744006","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

Testing characteristics importance with neural network gradients: Evidence from the China A-share market 用神经网络梯度检验特征重要性：来自中国a股市场的证据

IF 6.9 2区经济学

Finance Research Letters Pub Date : 2026-04-01 DOI: 10.1016/j.frl.2026.109856

Hongxu Wu , Zhibin Deng , Shaoze Li

引用次数: 0

Dynamic portfolio choice with stochastic liquidity risk: A perturbation approach 随机流动性风险下的动态投资组合选择：一个摄动方法

IF 6.9 2区经济学

Finance Research Letters Pub Date : 2026-04-01 DOI: 10.1016/j.frl.2026.109847

Jayden Zian Wang , Zheqi Fan , Yifan Ye

引用次数: 0

Corrigendum to "The Piggy Bank Index: An intuitive risk measure to assess liquidity and capital adequacy in banks" Finance Research Letters, Volume 60, February 2024, 104846 “小猪储蓄罐指数：评估银行流动性和资本充足率的直观风险措施”的勘误表《金融研究快报》，第60卷，2024年2月，104846