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An infinite hidden Markov model with GARCH for short-term interest rates
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-04-11 DOI: 10.1016/j.frl.2025.107294
Chenxing Li , Qiao Yang
{"title":"An infinite hidden Markov model with GARCH for short-term interest rates","authors":"Chenxing Li ,&nbsp;Qiao Yang","doi":"10.1016/j.frl.2025.107294","DOIUrl":"10.1016/j.frl.2025.107294","url":null,"abstract":"<div><div>This paper introduces a novel Bayesian time series model that combines the nonparametric features of an infinite hidden Markov model with the volatility persistence captured by the GARCH framework, to effectively model and forecast short-term interest rates. When applied to US 3-month Treasury bill rates, the GARCH-IHMM reveals both structural and persistent changes in volatility, thereby enhancing the accuracy of density forecasts compared to existing benchmark models. Out-of-sample evaluations demonstrate the superior performance of our model in density forecasts and in capturing volatility dynamics due to its adaptivity to different macroeconomic environments.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"80 ","pages":"Article 107294"},"PeriodicalIF":7.4,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143829007","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
Strategic differentials, digital finance, and transnational enterprise performance
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-04-11 DOI: 10.1016/j.frl.2025.107415
Wenshu Yang, Miao Han, Yong-Sik Hwang
{"title":"Strategic differentials, digital finance, and transnational enterprise performance","authors":"Wenshu Yang,&nbsp;Miao Han,&nbsp;Yong-Sik Hwang","doi":"10.1016/j.frl.2025.107415","DOIUrl":"10.1016/j.frl.2025.107415","url":null,"abstract":"<div><div>This study empirically analyzes overseas subsidiaries of A-share-listed multinational enterprises in 2023. Strategic differences have a positive effect on the performance of multinational enterprises. Appropriate strategic differences enhance overseas competitive advantage and improve financial and nonfinancial performance. The development of digital finance strengthens the positive impact of strategic differences on the performance of multinational enterprises.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"80 ","pages":"Article 107415"},"PeriodicalIF":7.4,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143833877","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
Digital finance development and tourism consumption growth: An analysis of the moderating effect based on household wealth 数字金融发展与旅游消费增长：基于家庭财富的调节效应分析
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-04-11 DOI: 10.1016/j.frl.2025.107414
Gan Qu , Zongyi Wang
{"title":"Digital finance development and tourism consumption growth: An analysis of the moderating effect based on household wealth","authors":"Gan Qu ,&nbsp;Zongyi Wang","doi":"10.1016/j.frl.2025.107414","DOIUrl":"10.1016/j.frl.2025.107414","url":null,"abstract":"<div><div>This study investigates the relationship between the growth of digital finance, household wealth, and tourism consumption using data from the China Household Finance Survey conducted in 2015, 2017, and 2019. The findings reveal that the expansion of digital finance boosts household tourism spending. Additionally, household wealth strengthens the positive impact of digital finance on tourism consumption, while the age of the household head has a negative moderating effect. Moreover, the effects of household wealth and the age of the household head show significant variation depending on the household dependency ratio.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"80 ","pages":"Article 107414"},"PeriodicalIF":7.4,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143829011","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
Terrorism and acquisition decision: Evidence from real estate investment trusts
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-04-10 DOI: 10.1016/j.frl.2025.107406
Kang Mo Koo , Jeongseop Song
{"title":"Terrorism and acquisition decision: Evidence from real estate investment trusts","authors":"Kang Mo Koo ,&nbsp;Jeongseop Song","doi":"10.1016/j.frl.2025.107406","DOIUrl":"10.1016/j.frl.2025.107406","url":null,"abstract":"<div><div>Amid escalating geopolitical conflicts, terrorism has disrupted economic stability and investor sentiment, necessitating comprehensive investigation. This research examines its impact on REIT acquisitions using major terrorism events as a quasi-natural experiment. We find that terrorism events significantly reduce acquisitions, with nearby REITs experiencing a notable deterrent impact. A dynamic analysis reveals a sharp decline in acquisition activity in the year of terrorism events, with the effect dissipating in subsequent years, indicating a short-lived salience effect. These results highlight the impact of terrorism-induced uncertainty on acquisition decisions and offer insights into behavioral responses to external shocks.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"80 ","pages":"Article 107406"},"PeriodicalIF":7.4,"publicationDate":"2025-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143829010","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
Firm financialization: The role of policy inconsistency
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-04-10 DOI: 10.1016/j.frl.2025.107405
Libo Yin , Jier Zhang , Ying Li
{"title":"Firm financialization: The role of policy inconsistency","authors":"Libo Yin ,&nbsp;Jier Zhang ,&nbsp;Ying Li","doi":"10.1016/j.frl.2025.107405","DOIUrl":"10.1016/j.frl.2025.107405","url":null,"abstract":"<div><div>This study develops a novel Chinese Policy Inconsistency Index (PICI) to examine its impact on firm financialization. Using the Latent Dirichlet Allocation (LDA) model, an advanced natural language processing technique, we measure policy inconsistency by tracking thematic shifts between consecutive months from four authoritative media. Panel regression results show that PICI enhance firm financialization, even after accounting for existing uncertainties. Further analysis reveals two main channels: reduced real investment and increased financial pressure. Finally, this firm financialization is driven by precautionary savings.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"80 ","pages":"Article 107405"},"PeriodicalIF":7.4,"publicationDate":"2025-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143843564","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 U.S. monetary policy sway global crypto investment demand?
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-04-10 DOI: 10.1016/j.frl.2025.107408
Martin Hodula
{"title":"Does U.S. monetary policy sway global crypto investment demand?","authors":"Martin Hodula","doi":"10.1016/j.frl.2025.107408","DOIUrl":"10.1016/j.frl.2025.107408","url":null,"abstract":"<div><div>This paper examines how U.S. monetary policy shocks influence cryptocurrency demand, using novel data on cryptocurrency app usage and downloads from G20 nations between 2015 and 2022. We find that monetary tightening reduces demand, with standard policy shocks causing persistent declines in downloads and usage. While Bitcoin bull markets help mitigate this effect, they do not fully offset it. In contrast, large-scale asset purchase shocks increase app usage, reflecting heightened engagement from existing users, while forward guidance shocks drive speculative interest, particularly in crypto app downloads. These findings underscore the complex interaction between monetary policy and retail cryptocurrency participation.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"80 ","pages":"Article 107408"},"PeriodicalIF":7.4,"publicationDate":"2025-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143852237","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
Globalization, product specialization, and firm value
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-04-09 DOI: 10.1016/j.frl.2025.107201
Ruxue Bai , Ying Li , Zhengwen Liu , Libo Yin
{"title":"Globalization, product specialization, and firm value","authors":"Ruxue Bai ,&nbsp;Ying Li ,&nbsp;Zhengwen Liu ,&nbsp;Libo Yin","doi":"10.1016/j.frl.2025.107201","DOIUrl":"10.1016/j.frl.2025.107201","url":null,"abstract":"<div><div>This paper investigates the stock market performances of multi-product firms in response to positive demand shocks. With export quota removal due to the Multifiber Arrangement (MFA) phase-out, affected Chinese listed firms experienced positive stock returns. An important mechanism behind this is product specialization within firms. We utilize detailed firm-product-destination-level export data to show that multi-product firms narrow their product lines and focus on their most-productive varieties after quota removal.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"80 ","pages":"Article 107201"},"PeriodicalIF":7.4,"publicationDate":"2025-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143815382","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
Financial regulation, digital currency, and risk management
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-04-09 DOI: 10.1016/j.frl.2025.107279
Wei Zeng , Yongqian Tu , Xin Juan , Grace (Li) Tian
{"title":"Financial regulation, digital currency, and risk management","authors":"Wei Zeng ,&nbsp;Yongqian Tu ,&nbsp;Xin Juan ,&nbsp;Grace (Li) Tian","doi":"10.1016/j.frl.2025.107279","DOIUrl":"10.1016/j.frl.2025.107279","url":null,"abstract":"<div><div>Using data from 31 Chinese provinces and municipalities from 2011 to 2022, this study examines the impact of stringent financial regulations and digital currency on regional risk management. Results reveal that stringent financial regulation promotes regional risk management levels, the development of digital currency can improve regional risk management levels, strict financial regulation acts as a moderator in the relationship between digital currencies and risk management, and the development of digital currency has a threshold effect on regional risk management levels. This study empirically verifies the positive function of stringent financial regulation and digital currency development in improving regional risk management, providing policymakers a scientific foundation.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"79 ","pages":"Article 107279"},"PeriodicalIF":7.4,"publicationDate":"2025-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143800060","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 green transition and financial risk: Evidence from China's micro-enterprises
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-04-09 DOI: 10.1016/j.frl.2025.107347
Fenfen Wang , Yu Zhang , Qingfeng Luo , Can Wang
{"title":"Corporate green transition and financial risk: Evidence from China's micro-enterprises","authors":"Fenfen Wang ,&nbsp;Yu Zhang ,&nbsp;Qingfeng Luo ,&nbsp;Can Wang","doi":"10.1016/j.frl.2025.107347","DOIUrl":"10.1016/j.frl.2025.107347","url":null,"abstract":"<div><div>Amid growing resource and environmental challenges, corporate green transition (CGT) is crucial. Using micro-level firm data, this study examines the impact of CGT on corporate financial risk while analyzing its underlying mechanisms. Various robustness tests show that CGT significantly lowers financial risk. Mechanism analysis reveals that CGT lowers financial risk by reducing energy consumption intensity, enhancing environmental governance performance, and fostering green technological innovation. Heterogeneity studies show that CGT's effects on financial risk vary by region, industry, and property rights. This study provides empirical evidence for corporate risk management and green development.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"79 ","pages":"Article 107347"},"PeriodicalIF":7.4,"publicationDate":"2025-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143799993","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
Understanding ESG investing using higher return moments 利用高回报时刻了解 ESG 投资
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-04-09 DOI: 10.1016/j.frl.2025.107386
Tao Shan
{"title":"Understanding ESG investing using higher return moments","authors":"Tao Shan","doi":"10.1016/j.frl.2025.107386","DOIUrl":"10.1016/j.frl.2025.107386","url":null,"abstract":"<div><div>This study explores the link between environmental, social, and governance (ESG) performance and higher return moments (i.e., skewness and kurtosis) addressing a key research gap. It hypothesizes that firms with stronger ESG performance exhibit higher return skewness due to improved market perception and reduced downside risk, as well as lower return kurtosis resulting from better risk management and financial conservatism. Investors accept lower mean returns in ESG firms due to skewness preference and kurtosis aversion, a theory-supported notion. Empirical findings confirm these expectations, clarifying the significance of skewness and kurtosis risk management for ESG investors.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"80 ","pages":"Article 107386"},"PeriodicalIF":7.4,"publicationDate":"2025-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143821388","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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