Journal of Empirical Finance最新文献

High frequency online inflation and term structure of interest rates: Evidence from China 高频在线通货膨胀与利率期限结构：来自中国的证据

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-05-23 DOI: 10.1016/j.jempfin.2025.101626

Tao Zhang , Ke Tang , Taoxiong Liu , Tingfeng Jiang

{"title":"High frequency online inflation and term structure of interest rates: Evidence from China","authors":"Tao Zhang , Ke Tang , Taoxiong Liu , Tingfeng Jiang","doi":"10.1016/j.jempfin.2025.101626","DOIUrl":"10.1016/j.jempfin.2025.101626","url":null,"abstract":"<div><div>In the digital era, the information value of online prices, characterized by weak price stickiness and high sensitivity to economic shocks, deserves more attention. This paper integrates the high-frequency online inflation rate into the dynamic Nelson-Siegel (DNS) model to explore its relationship with the term structure of interest rates. The empirical results show that the weekly online inflation significantly predicts the yield curve, especially the slope factor, whereas the monthly official inflation cannot predict the yield curve and is instead predicted by the yield curve factors. The mechanism analysis reveals that, due to low price stickiness, online inflation is more sensitive to short-term economic fluctuations and better reflects money market liquidity, thereby having significant predictive power for short-term interest rates and the slope factor. Specifically, online inflation for non-durable goods and on weekdays shows stronger predictive power for the slope factor. The heterogeneity in price stickiness across these categories explains the varying impacts on the yield curve.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101626"},"PeriodicalIF":2.1,"publicationDate":"2025-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144170805","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

Credit distortions in Japanese momentum 日本势头中的信贷扭曲

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-05-17 DOI: 10.1016/j.jempfin.2025.101615

Sharon Y. Ross

引用次数: 0

Unlocking efficiency: How capital market liberalization shapes firm productivity 解锁效率：资本市场自由化如何塑造企业生产率

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-05-14 DOI: 10.1016/j.jempfin.2025.101624

Lu Jolly Zhou , Nan Deng , Chenchen Li

引用次数: 0

A system of time-varying models for predictive regressions 用于预测回归的时变模型系统

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-05-13 DOI: 10.1016/j.jempfin.2025.101622

Deshui Yu , Yayi Yan

引用次数: 0

A robust latent factor model for high-dimensional portfolio selection 高维投资组合选择的稳健潜在因素模型

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-05-13 DOI: 10.1016/j.jempfin.2025.101623

Fangquan Shi , Lianjie Shu , Xinhua Gu

引用次数: 0

Portfolio optimization with estimation errors—A robust linear regression approach 具有估计误差的投资组合优化——一种鲁棒线性回归方法

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-05-08 DOI: 10.1016/j.jempfin.2025.101619

Yilin Du , Wenfeng He , Xiaoling Mei

引用次数: 0

The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 宏观金融因素在股票市场波动预测中的作用：一个潜在阈值动态模型

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-05-07 DOI: 10.1016/j.jempfin.2025.101620

John M. Maheu , Azam Shamsi Zamenjani

引用次数: 0

The economic value of equity implied volatility forecasting with machine learning 用机器学习预测股票隐含波动率的经济价值

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-05-06 DOI: 10.1016/j.jempfin.2025.101618

Paul Borochin , Yanhui Zhao

引用次数: 0

Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model 金融波动预测：基于长记忆随机区间模型的帕金森波动测度方法

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-05-05 DOI: 10.1016/j.jempfin.2025.101617

Zhi De Khoo , Kok Haur Ng , You Beng Koh , Kooi Huat Ng

{"title":"Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model","authors":"Zhi De Khoo , Kok Haur Ng , You Beng Koh , Kooi Huat Ng","doi":"10.1016/j.jempfin.2025.101617","DOIUrl":"10.1016/j.jempfin.2025.101617","url":null,"abstract":"<div><div>This paper proposes a long memory stochastic range (LMSR) model to investigate the persistence of range-based volatility series. The latent variable in the LMSR model is derived from the established autoregressive fractionally integrated moving average process. To estimate the model parameters, there is no closed-form solution for the latent process. Hence, the parameters of the stochastic model are estimated by applying the quasi-maximum likelihood method via the Whittle approximation. A comprehensive simulation study assesses the method’s performance, with results showing that estimated parameters are close to true values and precision improves with longer simulated time series lengths. To demonstrate the applicability of the model, we conducted empirical studies based on four financial assets, and their volatilities are estimated directly using the range-based Parkinson (PK) volatility measure. The results show evidence of long memory in these volatility series using the rescaled range and Geweke-Porter-Hudak methods. We fit the resulting PK volatility estimates to the LMSR model and other competing volatility models, and their modelling performances are compared. Results indicate that all LMSR models outperform competitors according to the log-likelihood and Akaike information criterion as well as out-of-sample loss functions. Additionally, the estimated parameters of these LMSR models confirm the presence of long memory, while competing short memory models struggle to capture the persistent nature of volatility in financial markets.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101617"},"PeriodicalIF":2.1,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143917903","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

Creating value through corporate social responsibility: The role of foreign institutional investors in Chinese listed firms 通过企业社会责任创造价值：境外机构投资者在中国上市公司中的作用

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-04-26 DOI: 10.1016/j.jempfin.2025.101621

Yunhe Li , Yu Liu , Mihail Miletkov , Tina Yang

{"title":"Creating value through corporate social responsibility: The role of foreign institutional investors in Chinese listed firms","authors":"Yunhe Li , Yu Liu , Mihail Miletkov , Tina Yang","doi":"10.1016/j.jempfin.2025.101621","DOIUrl":"10.1016/j.jempfin.2025.101621","url":null,"abstract":"<div><div>This study examines the interplay between two major global trends—the growing role of foreign institutional ownership (FIO) due to financial liberalization and the rise of corporate social responsibility (CSR) as an investment ethos. We choose the setting of China, the world’s second-largest economy that has recently experienced substantial growth in foreign portfolio investment and increased its commitment to CSR. We document that CSR performance significantly influences the portfolio allocation decisions of certain types of FIO. Crucially, our analysis reveals that firms with a higher level of ownership by foreign institutional investors are associated with a more positive relation between CSR performance and firm value. This finding is robust to endogeneity examinations, including quasi-natural experiments and instrumental variable estimations. The finding is stronger for non-state-owned enterprises, firms with higher customer awareness, firms with more foreign directors, and firms with more frequent corporate site visits from FIO. Monitoring and advising are two likely channels through which FIO enhance the CSR-value relation. Finally, we demonstrate that FIO enhance firms’ ability to harness the power of CSR as a driver of innovation.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101621"},"PeriodicalIF":2.1,"publicationDate":"2025-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143927581","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