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Mutual fund performance and flow-performance relationship under ambiguity 歧义下的共同基金绩效与流量绩效关系
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-04 DOI: 10.1016/j.jempfin.2025.101655
Ariel Gu , Hong Il Yoo
{"title":"Mutual fund performance and flow-performance relationship under ambiguity","authors":"Ariel Gu ,&nbsp;Hong Il Yoo","doi":"10.1016/j.jempfin.2025.101655","DOIUrl":"10.1016/j.jempfin.2025.101655","url":null,"abstract":"<div><div>Since the exact probability distribution of asset returns is often unknown, the type of uncertainty affecting financial assets may be better characterized as ambiguity rather than risk. Using data from the U.S. mutual fund market, we examine the relationships between mutual funds’ ambiguity exposure, risk-adjusted performance, and investment flows. We introduce a novel measure of ambiguity exposure based on the smooth ambiguity model, which provides insight into how funds are priced in the presence of ambiguity. We find that risk-adjusted fund returns include a positive premium that compensates for greater ambiguity exposure in the fund’s asset holdings. The flow analysis, however, suggests that fund investors pursue positive risk-adjusted returns overall, regardless of whether seemingly superior returns are driven by the ambiguity premium. This behavior indicates that fund investors are primarily attracted to performance outcomes and less concerned with whether these reflect managerial expertise or increased ambiguity exposure.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101655"},"PeriodicalIF":2.4,"publicationDate":"2025-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145027782","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
Risk diversification and extreme risk mitigation 分散风险和减轻极端风险
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 DOI: 10.1016/j.jempfin.2025.101649
Matteo Bagnara, Benoit Vaucher
{"title":"Risk diversification and extreme risk mitigation","authors":"Matteo Bagnara,&nbsp;Benoit Vaucher","doi":"10.1016/j.jempfin.2025.101649","DOIUrl":"10.1016/j.jempfin.2025.101649","url":null,"abstract":"<div><div>We examine how active risk- and holdings-based diversification of equity portfolios affect performance and vulnerability to large losses. Conducting a comprehensive empirical study of US-based funds, we find that risk-based and sector-based diversification significantly reduce active tail risk and the likelihood of extreme losses, without substantially diminishing portfolio performance. These effects are nonlinear and decreasing, suggesting that investors need not minimizing the concentration of their portfolios. We also examine these relationships on an unprecedented large sample of portfolios using a novel methodology that allows the production of portfolios with similar levels of risk, and find that they are robust to several definitions of extreme risk. Our results highlight the practical value of diversification in managing portfolio risk while maintaining competitive performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101649"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144931833","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
Predicting risk premiums: A constraint-based model 预测风险溢价：一个基于约束的模型
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 DOI: 10.1016/j.jempfin.2025.101647
Ying Yuan , Yong Qu , Tianyang Wang
{"title":"Predicting risk premiums: A constraint-based model","authors":"Ying Yuan ,&nbsp;Yong Qu ,&nbsp;Tianyang Wang","doi":"10.1016/j.jempfin.2025.101647","DOIUrl":"10.1016/j.jempfin.2025.101647","url":null,"abstract":"<div><div>This research introduces a novel constraint-based model framework for predicting risk premiums, thoroughly examining the mechanism and limitations of existing models in the literature and leveraging advanced machine learning techniques. The proposed framework effectively captures the regime-dependent forecasting characteristics. It incorporates the information content of predictive regression, “naive” historical average model, and zero value model, significantly reducing model uncertainty and parameter instability across univariate and multivariate predictions. Empirical analysis demonstrates the superiority of our strategy in terms of out-of-sample forecasting performance over a variety of competing models and under different market conditions, highlighting the robustness of our results. We further substantiate the validity of considering the market regime as an economic state variable and justify the rationality of our constraint-based model in elucidating the source of the improved predictability. Our study holds significant implications for financial and economic research, as well as practical applications in portfolio management and risk assessment.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101647"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144925493","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
Unlocking predictive potential: The frequency-domain approach to equity premium forecasting 解锁预测潜力：股票溢价预测的频域方法
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-29 DOI: 10.1016/j.jempfin.2025.101648
Gonçalo Faria , Fabio Verona
{"title":"Unlocking predictive potential: The frequency-domain approach to equity premium forecasting","authors":"Gonçalo Faria ,&nbsp;Fabio Verona","doi":"10.1016/j.jempfin.2025.101648","DOIUrl":"10.1016/j.jempfin.2025.101648","url":null,"abstract":"<div><div>This paper explores the out-of-sample forecasting performance of 25 equity premium predictors over a sample period from 1973 to 2023. While conventional time-series methods reveal that only one predictor demonstrates significant out-of-sample predictive power, frequency-domain analysis uncovers additional predictive information hidden in the time series. Nearly half of the predictors exhibit statistically and economically meaningful predictive performance when decomposed into frequency components. The findings suggest that frequency-domain techniques can extract valuable insights that are often missed by traditional methods, enhancing the accuracy of equity premium forecasts.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101648"},"PeriodicalIF":2.4,"publicationDate":"2025-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144916855","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
Improving information leadership share for measuring price discovery 提高衡量价格发现的信息领导份额
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-26 DOI: 10.1016/j.jempfin.2025.101638
Shulin Shen , Yixuan Zhang , Eric Zivot
{"title":"Improving information leadership share for measuring price discovery","authors":"Shulin Shen ,&nbsp;Yixuan Zhang ,&nbsp;Eric Zivot","doi":"10.1016/j.jempfin.2025.101638","DOIUrl":"10.1016/j.jempfin.2025.101638","url":null,"abstract":"<div><div>We propose an improvement to the information leadership (IL) measure of price discovery of Yan and Zivot (2010), and the information leadership share (ILS) measure of Putniņš (2013). Our improved PIL and PILS measures integrate the price discovery share (PDS) of Shen et al. (2024) with the component share (CS) measure. Our improved PIL measure accurately reflects the ratio of initial responses of competing markets to a permanent shock in the presence of correlated reduced-form vector error correction model residuals, thereby substantially generalizing the IL measure for practical applications. Simulation evidence strongly supports the superiority of our improved PIL measure over a wide spectrum of existing price discovery metrics (Lien and Shrestha, 2009; Putniņš, 2013; Sultan and Zivot, 2015; Patel et al., 2020). We demonstrate the effectiveness of our improved measure by examining price discovery for various Chinese stocks cross-listed in Shanghai and Hong Kong (SH-HK) both before and after the initiation of the Shanghai-Hong Kong Stock Connect.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101638"},"PeriodicalIF":2.4,"publicationDate":"2025-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144911819","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
Tick size and firm financing decisions: Evidence from a natural experiment 蜱虫大小和公司融资决策：来自自然实验的证据
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-25 DOI: 10.1016/j.jempfin.2025.101651
Yangyang Chen , Jeffrey Ng , Emmanuel Ofosu , Xin Yang
{"title":"Tick size and firm financing decisions: Evidence from a natural experiment","authors":"Yangyang Chen ,&nbsp;Jeffrey Ng ,&nbsp;Emmanuel Ofosu ,&nbsp;Xin Yang","doi":"10.1016/j.jempfin.2025.101651","DOIUrl":"10.1016/j.jempfin.2025.101651","url":null,"abstract":"<div><div>Using the SEC’s 2016 Tick Size Pilot Program (TSPP) as a natural experiment, we investigate the effects of a tick size increase on firms’ choice of equity versus debt financing. We find that after the program’s implementation, TSPP-affected firms show a significant increase in equity issuance relative to that of debt. This finding is consistent with a reduction in adverse selection in equity financing due to more acquisition of fundamental information by these firms’ investors. In support of this inference, we show that the increase is concentrated among firms with investors that increase their information acquisition. We also find that the effect is more pronounced for firms that, prior to the program, have a higher level of concern about adverse selection in equity financing. Our study offers the novel insight that a tick size increase can affect firms’ financing choices because the increased tick size generates incentives for investors to acquire more fundamental information.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101651"},"PeriodicalIF":2.4,"publicationDate":"2025-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144911817","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
Option-implied idiosyncratic skewness and expected returns: Mind the long run 期权隐含的特殊偏度和预期回报：注意长期
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-13 DOI: 10.1016/j.jempfin.2025.101642
Deshui Yu , Difang Huang , Mingtao Zhou
{"title":"Option-implied idiosyncratic skewness and expected returns: Mind the long run","authors":"Deshui Yu ,&nbsp;Difang Huang ,&nbsp;Mingtao Zhou","doi":"10.1016/j.jempfin.2025.101642","DOIUrl":"10.1016/j.jempfin.2025.101642","url":null,"abstract":"<div><div>This article examines the time-series predictive ability of the monthly option-implied idiosyncratic skewness (<span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span>) for the aggregate stock market. We find that <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> is a strong predictor of the U.S. equity premium using both in-sample and out-of-sample tests at forecast horizons up to 36 months over the period from January 1996 to December 2021. In comparison, <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> outperforms the previously used financial and macroeconomic variables. Furthermore, combining information in the transitional predictors with <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> can further improve the forecasting performance than using <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> alone. We provide two explanations for the documented predictability. First, <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> exhibits strong procyclical behavior and consistently declines ahead of economic downturns. Second, <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> acts as a forward-looking signal of investor sentiment and disagreement—positive shocks to <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> significantly increase both future investor sentiment and disagreement, with effects that persist over several horizons.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101642"},"PeriodicalIF":2.4,"publicationDate":"2025-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144911818","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
Default-probability-implied credit ratings for Chinese firms 违约概率隐含的中国企业信用评级
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-07 DOI: 10.1016/j.jempfin.2025.101644
Xiangzhen Li , Shida Liu , Hao Wang
{"title":"Default-probability-implied credit ratings for Chinese firms","authors":"Xiangzhen Li ,&nbsp;Shida Liu ,&nbsp;Hao Wang","doi":"10.1016/j.jempfin.2025.101644","DOIUrl":"10.1016/j.jempfin.2025.101644","url":null,"abstract":"<div><div>This paper estimates real-time probabilities of default (PDs) for Chinese firms and assigns PD-implied ratings benchmarked to the historical default rates of S&amp;P rating categories. PD-implied ratings tend to be lower and more granular than those issued by domestic credit rating agencies (DCRAs). They outperform DCRA ratings in predicting defaults and offer complementary information in credit price discovery. In terms of information content, PD-implied ratings incorporate richer and more persistent cashflow information than DCRA ratings do. Contributing factors such as implicit government guarantees and the moral hazard inherent in the issuer-pays business model play a significant role in elevating DCRA ratings, leading to greater divergence from PD-implied ratings and, consequently, differences in default prediction performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101644"},"PeriodicalIF":2.4,"publicationDate":"2025-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144852837","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 a sudden breakdown in public information search impair analyst forecast accuracy? Evidence from China 公共信息搜索的突然中断是否会损害分析师预测的准确性？来自中国的证据
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-06 DOI: 10.1016/j.jempfin.2025.101643
Zihui Li , Lijun Ma , Min Zhang
{"title":"Does a sudden breakdown in public information search impair analyst forecast accuracy? Evidence from China","authors":"Zihui Li ,&nbsp;Lijun Ma ,&nbsp;Min Zhang","doi":"10.1016/j.jempfin.2025.101643","DOIUrl":"10.1016/j.jempfin.2025.101643","url":null,"abstract":"<div><div>We examine the effect of the sudden breakdown of public information search capability caused by Google’s withdrawal from mainland China on Chinese analysts’ earnings forecasts. We observe a decrease in analysts’ forecast accuracy regarding firms with foreign trade relative to those without foreign trade post-withdrawal. This decrease suggests that Google’s withdrawal has hindered analysts’ acquisition of information about firms with foreign trade, thus decreasing the quality of their earnings forecasts. We also find that the effect of this withdrawal on forecast accuracy is stronger for firms with higher business complexity and more opaque financial reporting and for analysts with weaker information processing capacity and more attention constraints. Additionally, we identify corporate site visits as an alternative information source that can compensate for the information loss caused by Google’s withdrawal and find that decreasing forecast accuracy has partially contributed to the deterioration of capital market conditions in the post-withdrawal era.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101643"},"PeriodicalIF":2.4,"publicationDate":"2025-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144863577","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
On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance 有影响力的套息交易策略的盈利能力：数据窥探偏差与发表后绩效
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-07-31 DOI: 10.1016/j.jempfin.2025.101640
Po-Hsuan Hsu , Mark P. Taylor , Zigan Wang , Yan Li
{"title":"On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance","authors":"Po-Hsuan Hsu ,&nbsp;Mark P. Taylor ,&nbsp;Zigan Wang ,&nbsp;Yan Li","doi":"10.1016/j.jempfin.2025.101640","DOIUrl":"10.1016/j.jempfin.2025.101640","url":null,"abstract":"<div><div>This study examines whether 13 influential carry-trade strategies retain profitability after being published in the academic literature. We first implement several bootstrap methods to correct for the presence of data snooping and find that the pre-publication profitability of these strategies is not due to selection bias, demonstrating their original capacity to exploit market inefficiencies. On the other hand, their profitability has declined since their publication years. Our empirical evidence suggests that, although academic researchers may sometimes uncover market anomalies, their publication reduces inefficiencies in currency markets.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101640"},"PeriodicalIF":2.4,"publicationDate":"2025-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144841530","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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