发布求助
文献互助 智能选刊 最新文献

Finance Research Letters最新文献

筛选
英文 中文
Predicting U.S. bank failures and stress testing with machine learning algorithms
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-27 DOI: 10.1016/j.frl.2025.106802
Wendi Hu , Chujian Shao , Wenyu Zhang
{"title":"Predicting U.S. bank failures and stress testing with machine learning algorithms","authors":"Wendi Hu ,&nbsp;Chujian Shao ,&nbsp;Wenyu Zhang","doi":"10.1016/j.frl.2025.106802","DOIUrl":"10.1016/j.frl.2025.106802","url":null,"abstract":"<div><div>This study applies multiple machine learning models to forecast the bankruptcy of U.S. financial institutions from the year 2001 to 2023 using data from the Federal Deposit Insurance Corporation. To incorporate time dynamics, this paper employs exponentially weighted moving averages, enhancing the models’ predictive accuracy. The results show that the Random Forest model achieves the highest overall accuracy, while logistic regression, XGBoost, Support Vector Machine, and neural networks offer various levels of performance. Stress testing and sensitivity analysis reveal that model accuracy is heavily reliant on key financial characteristics, and severe stress conditions can significantly reduce predictive capacity.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"75 ","pages":"Article 106802"},"PeriodicalIF":7.4,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143125346","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
Customer ratings and firm value: Evidence from big data analysis of online consumption in China
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-27 DOI: 10.1016/j.frl.2025.106867
Qianqian Du , Dongmin Kong , Yanglin Li , Kuicheng Ye
{"title":"Customer ratings and firm value: Evidence from big data analysis of online consumption in China","authors":"Qianqian Du ,&nbsp;Dongmin Kong ,&nbsp;Yanglin Li ,&nbsp;Kuicheng Ye","doi":"10.1016/j.frl.2025.106867","DOIUrl":"10.1016/j.frl.2025.106867","url":null,"abstract":"<div><div>This study employs big data from JD.com, a leading online consumption platform in China, to investigate the impact of customer product ratings on the value of listed firms. Our findings indicate that a long-short strategy, buying firms with high abnormal customer ratings and selling those with low abnormal ratings, yields significant abnormal returns. Notably, we observe that poor customer ratings negatively correlate with future stock prices. Mechanism analysis suggests that customer ratings can predict future unexpected earnings and revenues. Overall, these findings indicate that consumer ratings provide unique insights into firms’ fundamentals and stock pricing in the Chinese stock market.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"75 ","pages":"Article 106867"},"PeriodicalIF":7.4,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143177228","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 green credit policy on green innovation in construction enterprises
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-27 DOI: 10.1016/j.frl.2025.106863
Yongmin Zhang, Liangyu Chen, Alkut Yusuyin, Liya Hau
{"title":"Impact of green credit policy on green innovation in construction enterprises","authors":"Yongmin Zhang,&nbsp;Liangyu Chen,&nbsp;Alkut Yusuyin,&nbsp;Liya Hau","doi":"10.1016/j.frl.2025.106863","DOIUrl":"10.1016/j.frl.2025.106863","url":null,"abstract":"<div><div>This study describes the impact of green credit policy on green innovation in Chinese construction enterprises and presents the following findings. The green credit policy significantly enhances the innovation levels of construction enterprises. Furthermore, the mediation effect analysis reveals that the green credit policy increases innovation levels by partially alleviating the financing constraints these enterprises face.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"75 ","pages":"Article 106863"},"PeriodicalIF":7.4,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143177229","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
Dynamic tail risk connectedness among green REITs, sustainability products, and fossil energy assets under external shocks
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-26 DOI: 10.1016/j.frl.2025.106864
Liya Hau , Yao Ge , Yongmin Zhang , Weineng Zhu
{"title":"Dynamic tail risk connectedness among green REITs, sustainability products, and fossil energy assets under external shocks","authors":"Liya Hau ,&nbsp;Yao Ge ,&nbsp;Yongmin Zhang ,&nbsp;Weineng Zhu","doi":"10.1016/j.frl.2025.106864","DOIUrl":"10.1016/j.frl.2025.106864","url":null,"abstract":"<div><div>This study employed a hybrid AS-CAViaR-TVP-VAR connectedness model to analyse the tail risk interconnectedness among green REITs, sustainability products, and fossil energy assets. Using daily data on twelve assets from January 1, 2015, to January 12, 2024, we found that the tail risk connectedness between green REITs and other markets intensifies under external shocks. Notably, green REITs in the Asia–Pacific region exhibited increased volatility during critical events and emerged as prominent risk receptors, whereas green REITs in the US transitioned from being risk receptors to risk propagators. These insights have substantial implications for policy development and investment strategy formulation.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"75 ","pages":"Article 106864"},"PeriodicalIF":7.4,"publicationDate":"2025-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143125347","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
Pension levels, social activities, and household consumption
IF 7.4 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":"10.1016/j.frl.2025.106853","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"75 ","pages":"Article 106853"},"PeriodicalIF":7.4,"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 7.4 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 ,&nbsp;Masahiro Sato ,&nbsp;Rui Ota","doi":"10.1016/j.frl.2025.106832","DOIUrl":"10.1016/j.frl.2025.106832","url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"75 ","pages":"Article 106832"},"PeriodicalIF":7.4,"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":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Digital economy, the income gap, and regional crime rates in China
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-24 DOI: 10.1016/j.frl.2025.106861
Yunxian Li , Fen Li
{"title":"Digital economy, the income gap, and regional crime rates in China","authors":"Yunxian Li ,&nbsp;Fen Li","doi":"10.1016/j.frl.2025.106861","DOIUrl":"10.1016/j.frl.2025.106861","url":null,"abstract":"<div><div>This study uses data from 31 provinces, autonomous regions, and cities in China from 2010 to 2022 to examine the relationship between the digital economy, the income gap, and regional crime rates. The findings reveal that the digital economy can reduce regional crime rates, the income gap increases regional crime rates, education has a significant moderating influence between the income gap and the regional crime rate, and apparent differences exist in the impact of the income gap on the crime rate in different regions.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"75 ","pages":"Article 106861"},"PeriodicalIF":7.4,"publicationDate":"2025-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143175812","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
Environmental protection tax, management efficiency, and enterprise green technology innovation
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-24 DOI: 10.1016/j.frl.2025.106860
Yang Zhou , Qian Su
{"title":"Environmental protection tax, management efficiency, and enterprise green technology innovation","authors":"Yang Zhou ,&nbsp;Qian Su","doi":"10.1016/j.frl.2025.106860","DOIUrl":"10.1016/j.frl.2025.106860","url":null,"abstract":"<div><div>Using, data of Chinese listed companies from 2012 to 2022, this study explores the relationship among environmental protection taxes, management efficiency, and green technology innovation. Findings reveal that while implementing environmental protection taxes positively influences the degree of green technology innovation within corporations, enhanced managerial efficiency escalates it. Government subsidies moderate the link between environmental protection taxes and corporate green technology innovation. The effect of environmental protection taxes on green technology innovation varies significantly between state-owned and non-state-owned companies.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"75 ","pages":"Article 106860"},"PeriodicalIF":7.4,"publicationDate":"2025-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143175623","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 effect of corporate social responsibility on total factor productivity: Insights into managerial myopia and innovation mediation
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-24 DOI: 10.1016/j.frl.2025.106854
Yabin Sun
{"title":"The effect of corporate social responsibility on total factor productivity: Insights into managerial myopia and innovation mediation","authors":"Yabin Sun","doi":"10.1016/j.frl.2025.106854","DOIUrl":"10.1016/j.frl.2025.106854","url":null,"abstract":"<div><div>This paper investigates the impact of Corporate Social Responsibility (CSR) on total factor productivity (TFP) within firms and the underlying mechanisms of this relationship, while also examining the moderating role of managerial myopia. Utilizing data from China's A-share listed companies spanning the years 2012 to 2022, our study reveals a positive correlation between robust CSR practices and increased TFP, demonstrating that socially responsible behavior positively influences the economic efficiency of enterprises. Notably, managerial myopia is found to significantly diminish this positive effect. Furthermore, our analysis indicates that CSR fosters enhanced innovation performance among firms, which in turn elevates their TFP. These findings highlight the significance of CSR and underscore the necessity for firms to mitigate managerial myopia in order to achieve long-term sustainable development.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"75 ","pages":"Article 106854"},"PeriodicalIF":7.4,"publicationDate":"2025-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143176816","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 idiosyncratic volatility of volatility effect in the A-share market: An interpretation based on heterogeneous variance beliefs
IF 7.4 2区 经济学
Finance Research Letters Pub Date : 2025-01-24 DOI: 10.1016/j.frl.2025.106851
Zhijun Hu , Xiang Gao , Aifan Ling
{"title":"The idiosyncratic volatility of volatility effect in the A-share market: An interpretation based on heterogeneous variance beliefs","authors":"Zhijun Hu ,&nbsp;Xiang Gao ,&nbsp;Aifan Ling","doi":"10.1016/j.frl.2025.106851","DOIUrl":"10.1016/j.frl.2025.106851","url":null,"abstract":"<div><div>Employing a stochastic volatility model, we theoretically demonstrate that investors with heterogeneous variance beliefs require lower risk premiums as idiosyncratic volatility of volatility increases in China`s A-share market. Empirical analysis confirms this, showing that the monthly average return of the quintile with the highest idiosyncratic volatility of volatility is significantly lower by 0.766 % compared to the lowest quintile. This negative risk premium phenomenon remains robust after controlling for common risk factors and firm characteristics. Our research deepens the comprehension of asset pricing mechanisms in the A-share market and offers new insights for the development of factor pricing models.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"75 ","pages":"Article 106851"},"PeriodicalIF":7.4,"publicationDate":"2025-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143175815","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信