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Within-regime volatility dynamics for observable- and Markov-switching score-driven models 可观测和马尔可夫切换分数驱动模型的区间波动动态
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2024-12-16 DOI: 10.1016/j.frl.2024.106631
Szabolcs Blazsek, Dejun Kong, Samantha R. Shadoff
{"title":"Within-regime volatility dynamics for observable- and Markov-switching score-driven models","authors":"Szabolcs Blazsek, Dejun Kong, Samantha R. Shadoff","doi":"10.1016/j.frl.2024.106631","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106631","url":null,"abstract":"We study the novel Markov-switching (MS) Beta-<mml:math altimg=\"si414.svg\" display=\"inline\"><mml:mi>t</mml:mi></mml:math>-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model, using within-regime volatility dynamics, similar to the recent observable-switching (OS) Beta-<mml:math altimg=\"si414.svg\" display=\"inline\"><mml:mi>t</mml:mi></mml:math>-EGARCH model. We report in-sample results on the Standard &amp; Poor’s 500 (S&amp;P 500) and a random sample of 50 firms from the S&amp;P 500 from March 1986 to July 2024. We compare the out-of-sample forecasting performances of OS-Beta-<mml:math altimg=\"si414.svg\" display=\"inline\"><mml:mi>t</mml:mi></mml:math>-EGARCH and MS-Beta-<mml:math altimg=\"si414.svg\" display=\"inline\"><mml:mi>t</mml:mi></mml:math>-EGARCH from May 2005 to July 2024 and confirm that OS-Beta-<mml:math altimg=\"si414.svg\" display=\"inline\"><mml:mi>t</mml:mi></mml:math>-EGARCH is superior to MS-Beta-<mml:math altimg=\"si414.svg\" display=\"inline\"><mml:mi>t</mml:mi></mml:math>-EGARCH.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"81 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841956","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
Is the difference between deep hedging and delta hedging a statistical arbitrage? 深度套期保值和 delta 套期保值之间的区别是统计套利吗？
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2024-12-16 DOI: 10.1016/j.frl.2024.106590
Pascal François, Geneviève Gauthier, Frédéric Godin, Carlos Octavio Pérez Mendoza
{"title":"Is the difference between deep hedging and delta hedging a statistical arbitrage?","authors":"Pascal François, Geneviève Gauthier, Frédéric Godin, Carlos Octavio Pérez Mendoza","doi":"10.1016/j.frl.2024.106590","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106590","url":null,"abstract":"Horikawa and Nakagawa (2024) claim that in a complete market admitting statistical arbitrage, the difference between the deep hedging and the replicating portfolio hedging positions is a statistical arbitrage. Deep hedging can thus include an undesirable speculative component. We test whether this remains true in a GARCH-based incomplete market dynamics. We observe that the difference between deep hedging and delta hedging is a speculative overlay if the risk measure considered does not put sufficient relative weight on adverse outcomes. Nevertheless, a suitable choice of risk measure can prevent the deep hedging agent from engaging in speculation.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"1 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841957","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
Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2024-12-11 DOI: 10.1016/j.frl.2024.106563
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
{"title":"Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets","authors":"Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji","doi":"10.1016/j.frl.2024.106563","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106563","url":null,"abstract":"In this paper, we employ the CARMA(p,q)-Hawkes model to investigate the intraday jumps observed in the corporate bond prices. We introduce a bivariate extension of the model, which deals with the cross-effect of upward and downward price movements. An empirical analysis is conducted on green and brown bonds with analogous characteristics. The findings indicate that higher-order univariate/bivariate CARMA(p,q)-Hawkes models produce a superior fit in jump activity with respect to Hawkes models with exponential kernels.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"31 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841950","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
The impact of financial inclusion, Fintech, HDI, and green finance on environmental sustainability in E-7 countries 七国集团国家的金融包容性、金融科技、人类发展指数和绿色金融对环境可持续性的影响
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2024-12-11 DOI: 10.1016/j.frl.2024.106617
Ghulam Ghouse, Muhammad Ishaq Bhatti, Muhammad Junaid Nasrullah
{"title":"The impact of financial inclusion, Fintech, HDI, and green finance on environmental sustainability in E-7 countries","authors":"Ghulam Ghouse, Muhammad Ishaq Bhatti, Muhammad Junaid Nasrullah","doi":"10.1016/j.frl.2024.106617","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106617","url":null,"abstract":"This paper explores the complex relationships between financial inclusion, fintech adoption, the Human Development Index (HDI), and green finance in promoting environmental sustainability within E-7 economies. Using structural equation model, our analysis reveals a significant direct impact of HDI on environmental sustainability, with green innovation serving as a crucial mediator. These findings highlight the essential role of green innovation in enhancing sustainability in emerging economies, offering new insights into the synergy between financial practices, human development, and environmental conservation.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"257 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841958","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
Invisible handcuffs: Nepotism culture and SMEs’ innovation 无形的手铐：裙带文化与中小企业创新
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2024-12-11 DOI: 10.1016/j.frl.2024.106589
Wenyu Xie, Weijun Yin, Dorothy Tu
{"title":"Invisible handcuffs: Nepotism culture and SMEs’ innovation","authors":"Wenyu Xie, Weijun Yin, Dorothy Tu","doi":"10.1016/j.frl.2024.106589","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106589","url":null,"abstract":"This paper investigates how nepotism culture affects SMEs’ innovation behavior. Using a large international datasets of small and medium enterprises, we establish the negative effect of nepotism culture on SMEs’ innovation, and observe the heterogeneous impact based on the presence of informal payments, financial constraints, and female ownership. Our results suggest that nepotism culture hinders highly skilled human capital and formal training, both of which are paramount for technological advancement and economic development. The policy implication is that promoting merit-based recruitment and reducing nepotistic practices could enhance innovation capacity, especially by fostering a more competitive environment.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"78 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841959","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
Spillover among biodiversity attention, climate policy uncertainty and global stock markets 生物多样性关注度、气候政策不确定性和全球股市之间的溢出效应
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2024-12-10 DOI: 10.1016/j.frl.2024.106627
Dandan Ma, Qiang Ji, Dayong Zhang, Wanli Zhao
{"title":"Spillover among biodiversity attention, climate policy uncertainty and global stock markets","authors":"Dandan Ma, Qiang Ji, Dayong Zhang, Wanli Zhao","doi":"10.1016/j.frl.2024.106627","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106627","url":null,"abstract":"This paper investigates the spillover effects among global climate policy uncertainty (GCPU), global biodiversity attention (GBA) and the stock markets of the G7 and BRICS nations. In the static network, GBA's spillover effects towards stock markets are mild, with the US market experiencing the highest net spillover, while GCPU shows a large and widespread effect on various stock markets. In the dynamic network, the results show the spillovers from GBA towards the US stock market and from GCPU towards various stock markets both increasing during international conferences related to climate change and biodiversity.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"60 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841988","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
Valuing options with hybrid default risk under the stochastic volatility model 在随机波动模型下对具有混合违约风险的期权进行估值
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2024-12-10 DOI: 10.1016/j.frl.2024.106521
Ana Yun, Geonwoo Kim
{"title":"Valuing options with hybrid default risk under the stochastic volatility model","authors":"Ana Yun, Geonwoo Kim","doi":"10.1016/j.frl.2024.106521","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106521","url":null,"abstract":"In this paper, we study the valuation of options with hybrid default risk when the underlying assets are driven by a two-factor stochastic volatility model. The hybrid default model is developed by integrating the reduced-form and structural models, and the correlation between the underlying asset and default risk is considered. In the proposed framework, we adopt the probabilistic approach based on the measure-change technique to obtain an explicit pricing formula for the option. Finally, we present several numerical examples including discussions.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"86 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841952","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
Corporate site visits and the speed of leverage adjustment 企业实地考察和杠杆调整速度
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2024-12-10 DOI: 10.1016/j.frl.2024.106638
Zhiling Cao, Meng Chen, Lili Zhao, Guozheng Yang
{"title":"Corporate site visits and the speed of leverage adjustment","authors":"Zhiling Cao, Meng Chen, Lili Zhao, Guozheng Yang","doi":"10.1016/j.frl.2024.106638","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106638","url":null,"abstract":"Our study examines the impact of corporate site visits on the speed of leverage adjustment. We demonstrate that the visits significantly accelerate leverage adjustment, especially in firms with high analyst forecast dispersion and severe financial constraints. Additionally, corporate site visits act as a catalyst, aiding firms in moving toward their target leverage by reducing information asymmetry and easing financial constraints. However, excessive leverage can hinder the speed of adjustment, even when site visits are involved. These findings provide valuable insights for policymakers to formulate effective policy, enhancing the understanding of corporate financial positions and leverage dynamics.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"148 5 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841962","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
How fake news effects spread in an oligopolistic market — Evidence from the insulin market 假新闻效应如何在寡头垄断市场中传播--来自胰岛素市场的证据
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2024-12-10 DOI: 10.1016/j.frl.2024.106644
Aniss Louchez
{"title":"How fake news effects spread in an oligopolistic market — Evidence from the insulin market","authors":"Aniss Louchez","doi":"10.1016/j.frl.2024.106644","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106644","url":null,"abstract":"This study analyzes the impact of an event on November 11, 2022, when a fake “certified” Twitter account falsely claimed that Eli Lilly's insulin would be provided for free. We examine spillover effects on competitors within the insulin market oligopoly. Our findings reveal that while competitors experienced short-term impacts, these were weaker and of shorter duration compared to Eli Lilly. Spillovers within the broader pharmaceutical sector were limited to the immediate aftermath. No anticipatory behavior was detected. The effects were confined to American stock exchanges, suggesting an absence of spillovers in European markets.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"23 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841960","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
Does environmental, social, and governance performance elevate firm value? International evidence 环境、社会和治理绩效会提升公司价值吗？国际证据
IF 10.4 2区 经济学
Finance Research Letters Pub Date : 2024-12-10 DOI: 10.1016/j.frl.2024.106639
Adrian Gawęda
{"title":"Does environmental, social, and governance performance elevate firm value? International evidence","authors":"Adrian Gawęda","doi":"10.1016/j.frl.2024.106639","DOIUrl":"https://doi.org/10.1016/j.frl.2024.106639","url":null,"abstract":"The impact of a company's environmental, social, and governance performance (ESGP) on firm value is a widely discussed question; however, findings are not conclusive. Using panel analysis on 5,540 listed companies from 43 countries between 2018 and 2022, we explore the impact of composite ESGP and its pillars on firm value. We investigate how country level of economic and sustainability development moderates this relationship. Our findings reveal (i) negative association between ESGP and firm value, and (ii) it is more pronounced in more developed countries. We contribute by incorporating country development into the debate on ESGP and firm value relationship.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"11 1","pages":""},"PeriodicalIF":10.4,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142841961","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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