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Journal of Empirical Finance最新文献

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The influence of long-term managerial orientation on pay inequality
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-24 DOI: 10.1016/j.jempfin.2025.101612
Chen-Chieh Liao , Yin-Hua Yeh
{"title":"The influence of long-term managerial orientation on pay inequality","authors":"Chen-Chieh Liao ,&nbsp;Yin-Hua Yeh","doi":"10.1016/j.jempfin.2025.101612","DOIUrl":"10.1016/j.jempfin.2025.101612","url":null,"abstract":"<div><div>This paper examines the relationship between a firm's long-term managerial orientation and in-firm pay inequality. We exploit two exogenous shocks to firms’ long-term orientation, in the form of inheritance and estate tax changes in Taiwan in 2008 and 2017. Using over a decade's worth of pay inequality data, we demonstrate that a more (less) long-term managerial orientation in a firm, driven by decreases (increases) in estate tax, leads to an increase (decrease) of in-firm pay inequality. Further analysis suggests that changes in-firm pay inequality are associated with changes in executive compensation, rather than with changes in ordinary employee compensation. Furthermore, our results are more pronounced in firms with higher degrees of family ownership and firms in more competitive industries. This paper suggests policy implications for amendments to estate tax since in-firm pay inequality will increase as a result of decreases in estate tax, via effects on firms’ long-term managerial orientation.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101612"},"PeriodicalIF":2.1,"publicationDate":"2025-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143739839","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
Bear factor and hedge fund performance
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-20 DOI: 10.1016/j.jempfin.2025.101611
Thang Ho , Anastasios Kagkadis , George Wang
{"title":"Bear factor and hedge fund performance","authors":"Thang Ho ,&nbsp;Anastasios Kagkadis ,&nbsp;George Wang","doi":"10.1016/j.jempfin.2025.101611","DOIUrl":"10.1016/j.jempfin.2025.101611","url":null,"abstract":"<div><div>We find that hedge funds that have low (negative) return covariance with the return of a bear spread portfolio (i.e., Bear factor) after controlling for the market factor, earn significantly higher returns in the cross-section. The return spread does not reflect bear risk premia; instead, it represents a low risk-high return relation. We decompose the Bear factor into different components to identify the one driving the bear beta effect on fund performance and show that the return spread can be attributed to the differential ability of low bear beta funds to reduce their market exposures when the market declines and the VIX increases (i.e., downside timing). Further analysis suggests that these fund managers are more skilled at selling overpriced insurance during volatile market periods. Overall, we propose a simple option-implied predictor of hedge fund returns and unravel a novel economic mechanism that associates the Bear factor exposure with fund performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101611"},"PeriodicalIF":2.1,"publicationDate":"2025-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143705250","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
Maxing out short-term reversals in weekly stock returns
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-15 DOI: 10.1016/j.jempfin.2025.101608
Chen Chen , Andrew Cohen , Qiqi Liang , Licheng Sun
{"title":"Maxing out short-term reversals in weekly stock returns","authors":"Chen Chen ,&nbsp;Andrew Cohen ,&nbsp;Qiqi Liang ,&nbsp;Licheng Sun","doi":"10.1016/j.jempfin.2025.101608","DOIUrl":"10.1016/j.jempfin.2025.101608","url":null,"abstract":"<div><div>Subrahmanyam (1991) presents a model in which increased variance in liquidity trades reduces price efficiency when market makers are risk-averse. Motivated by this theoretical insight, we hypothesize that pent-up demand from lottery-seeking investors amplifies their overreactions to news, leading to larger short-term return reversals. Consistent with this hypothesis, we identify a significant pattern in weekly U.S. stock returns for lottery-like stocks, defined by high recent maximum daily returns (MAX). Specifically, high-MAX stocks that were past 1-week losers (or winners) exhibit notably positive (or negative) returns in the following week. Applying a short-term reversal strategy to high-MAX stocks generates an average weekly return of 1.66%, significantly outperforming the 0.65% return from the same strategy applied to low-MAX stocks. This result remains robust even after controlling for market microstructure biases and survives a series of robustness tests. Interestingly, the MAX-enhanced reversal strategy proves effective only when retail order imbalance is in the highest quintile. This result holds across both value-weighted and equal-weighted portfolios, underscoring the pivotal role of retail investors. Taken together, our findings highlight a new channel through which retail investors’ preference for lottery-like payoffs amplifies their overreactions, enhancing the profitability of short-term reversal strategies.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101608"},"PeriodicalIF":2.1,"publicationDate":"2025-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143715063","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
Exploring the non-linear dynamics between Commercial Real Estate and systemic risk
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-07 DOI: 10.1016/j.jempfin.2025.101607
George Kladakis , Nicole Lux , Alexandros Skouralis
{"title":"Exploring the non-linear dynamics between Commercial Real Estate and systemic risk","authors":"George Kladakis ,&nbsp;Nicole Lux ,&nbsp;Alexandros Skouralis","doi":"10.1016/j.jempfin.2025.101607","DOIUrl":"10.1016/j.jempfin.2025.101607","url":null,"abstract":"<div><div>The commercial real estate (CRE) market significantly influences financial stability, given its size, use as collateral, and cyclicality. This study explores macro-financial vulnerabilities arising from the CRE market, revealing that adverse developments in CRE capital values amplify systemic risk across financial sub-sectors, namely, banks, insurance companies and investment trusts, consistent with the <em>collateral channel hypothesis</em>. The CRE and financial markets relationship, however, displays nonlinearities. We introduce a UK CRE Misalignment index which integrates various market indicators to assess deviations from fundamental values in the CRE sector. We find that during market misalignments, the link between systemic risk and CRE growth weakens, suggesting that further property price increases in an overheated market could lead to a bubble and heightened systemic risk, in line with the <em>deviation hypothesis</em>. Finally, we employ a quantile regression model that captures another aspect of this non-linear relationship. We find that positive (negative) developments in the CRE market decrease (increase) the right tail of the historical systemic risk distribution, but CRE variation has a weak impact on the left tail and cannot effectively reduce systemic risk in periods of growth.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101607"},"PeriodicalIF":2.1,"publicationDate":"2025-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143601267","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
Is machine learning a necessity? A regression-based approach for stock return prediction
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 DOI: 10.1016/j.jempfin.2025.101598
Tingting Cheng , Shan Jiang , Albert Bo Zhao , Junyi Zhao
{"title":"Is machine learning a necessity? A regression-based approach for stock return prediction","authors":"Tingting Cheng ,&nbsp;Shan Jiang ,&nbsp;Albert Bo Zhao ,&nbsp;Junyi Zhao","doi":"10.1016/j.jempfin.2025.101598","DOIUrl":"10.1016/j.jempfin.2025.101598","url":null,"abstract":"<div><div>We propose a simple, linear-regression-based method for prediction of the time series of stock returns. The method achieves out-of-sample performances comparable to machine learning methods while having ignorable computational costs. The key component of the method is to integrate a straightforward cross-market factor screening into the iterated combination method proposed by Lin et al., (2018). Our empirical results on the U.S. stock market show that the method outperforms many state-of-the-art machine learning methods in certain periods. The method also exhibits greater utility gain and investment profits in most periods after considering transaction costs.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101598"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143519723","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
Corrigendum to “Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects” [Journal of Empirical Finance 80 (2025) 124/101575]
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 DOI: 10.1016/j.jempfin.2025.101597
Jiawen Luo , Zhenbiao Chen , Mingmian Cheng
{"title":"Corrigendum to “Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects” [Journal of Empirical Finance 80 (2025) 124/101575]","authors":"Jiawen Luo ,&nbsp;Zhenbiao Chen ,&nbsp;Mingmian Cheng","doi":"10.1016/j.jempfin.2025.101597","DOIUrl":"10.1016/j.jempfin.2025.101597","url":null,"abstract":"","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101597"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143580644","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
The AH premium: A tale of “siamese twin” stocks
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-02-24 DOI: 10.1016/j.jempfin.2025.101599
Renbin Zhang , Tongbin Zhang
{"title":"The AH premium: A tale of “siamese twin” stocks","authors":"Renbin Zhang ,&nbsp;Tongbin Zhang","doi":"10.1016/j.jempfin.2025.101599","DOIUrl":"10.1016/j.jempfin.2025.101599","url":null,"abstract":"<div><div>A large proportion of Chinese companies are dual-listed in both the mainland (A-share) and Hong Kong (H-share) markets. A-shares usually sell at a premium, known as the AH premium, which is large and volatile. The AH premium resembles a globally well-known premium puzzle in “Siamese twin” stocks. We find that a model of subjective stock price expectations, where agents forecast the future capital gains by extrapolating from the past provides a good explanation. This finding emphasizes the importance of modeling investors with extrapolative stock price expectations.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101599"},"PeriodicalIF":2.1,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143487061","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
Do fees matter? Investor’s sensitivity to active management fees
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-02-13 DOI: 10.1016/j.jempfin.2025.101596
Trond Døskeland, André Wattø Sjuve, Andreas Ørpetveit
{"title":"Do fees matter? Investor’s sensitivity to active management fees","authors":"Trond Døskeland,&nbsp;André Wattø Sjuve,&nbsp;Andreas Ørpetveit","doi":"10.1016/j.jempfin.2025.101596","DOIUrl":"10.1016/j.jempfin.2025.101596","url":null,"abstract":"<div><div>Following the framework established by Berk and Green (2004), mutual fund inflows and fees should be uncorrelated at equilibrium. We empirically explore this relationship by investigating the temporal changes in fund fees and flows. Our fee metrics focus on active management services rather than diversification. We analyze the additional fee compared to passive alternatives and additional fee per unit of active management, along with the traditionally used total fee. Our analysis of global data reveals a negative time series correlation between both measures of active management fee and fund flows.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101596"},"PeriodicalIF":2.1,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143429701","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
Skilled active liquidity management: Evidence from shocks to fund flows
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-02-07 DOI: 10.1016/j.jempfin.2025.101579
Aleksandra Rzeźnik
{"title":"Skilled active liquidity management: Evidence from shocks to fund flows","authors":"Aleksandra Rzeźnik","doi":"10.1016/j.jempfin.2025.101579","DOIUrl":"10.1016/j.jempfin.2025.101579","url":null,"abstract":"<div><div>I examine the active liquidity management of U.S. equity mutual funds facing unexpected, persistent investor withdrawals by exploiting two independent shocks: the 2003 mutual fund scandal and the 2016 introduction of Morningstar Sustainability Ratings. I document that fund managers increase portfolio liquidity by adjusting both equity and cash holdings when subject to sudden, moderate, and prolonged outflows. Among affected funds, those that more aggressively increase portfolio liquidity significantly outperform their less liquidity-focused peers, suggesting that skilled managers employ active liquidity management to minimize costs imposed by redemption obligations.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101579"},"PeriodicalIF":2.1,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386462","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
Tail risk dynamics of banks with score-driven extreme value models
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-02-07 DOI: 10.1016/j.jempfin.2025.101593
Fernanda Fuentes , Rodrigo Herrera , Adam Clements
{"title":"Tail risk dynamics of banks with score-driven extreme value models","authors":"Fernanda Fuentes ,&nbsp;Rodrigo Herrera ,&nbsp;Adam Clements","doi":"10.1016/j.jempfin.2025.101593","DOIUrl":"10.1016/j.jempfin.2025.101593","url":null,"abstract":"<div><div>This paper proposes a new class of marked point process models to capture the clustering behavior in extreme financial events. The idea of multiple dynamic parameters embedded in the context of score driven models is utilized to estimate a dynamic extreme value approach, labeled as the Orthogonal Score-Driven Peaks Over Threshold model. A Monte-Carlo study is conducted to study different time-varying parameter specifications. The results show that this approach can capture a range of different dynamics for the parameters. In an empirical application, we study the dynamics of the tail distribution over time, and in particular on VaR and ES forecasts, for the constituents of the S&amp;P Banks Index. Finally, we study the behavior of extremely adverse returns in the financial system by means of a decomposition of the tail-<span><math><mi>β</mi></math></span> risk measure, giving a deeper understanding of both the dynamics of the risk of an individual bank, and the systemic linkages associated with the stability of the global financial system.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101593"},"PeriodicalIF":2.1,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143372713","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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