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Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks 基于注意力的时空图卷积网络跨市场波动预测
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-07-29 DOI: 10.1016/j.jempfin.2025.101639
Jue Gong, Gang-Jin Wang, Yang Zhou, Chi Xie
{"title":"Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks","authors":"Jue Gong,&nbsp;Gang-Jin Wang,&nbsp;Yang Zhou,&nbsp;Chi Xie","doi":"10.1016/j.jempfin.2025.101639","DOIUrl":"10.1016/j.jempfin.2025.101639","url":null,"abstract":"<div><div>We propose a cross-market volatility forecasting framework by applying attention-based spatial–temporal graph convolutional network model (ASTGCN) to forecast future volatility of stock indices in 18 financial markets. In our work, we construct cross-market volatility networks to integrate interrelations among financial markets and the corresponding features of each market. ASTGCN combines the spatial–temporal attention mechanisms with the spatial–temporal convolutions to simultaneously capture the dynamic spatial–temporal characteristics of global volatility data. Compared with competitive models, ASTGCN exhibits superiority in multivariate predictive accuracies under multiple forecasting horizons. Our proposed framework demonstrates outstanding stability through several robustness checks. We also inspect the training process of ASTGCN by extracting spatial attention matrices and find that interrelations among global financial markets perform differently in tranquil and turmoil periods. Our study levitates empirical findings in financial networks to practical application with a novel forecasting method in the deep learning community.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101639"},"PeriodicalIF":2.4,"publicationDate":"2025-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144757869","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
Behavioral biases, information frictions and interest rate expectations 行为偏差、信息摩擦和利率预期
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-07-22 DOI: 10.1016/j.jempfin.2025.101637
George Bulkley , Richard D.F. Harris , Vivekanand Nawosah
{"title":"Behavioral biases, information frictions and interest rate expectations","authors":"George Bulkley ,&nbsp;Richard D.F. Harris ,&nbsp;Vivekanand Nawosah","doi":"10.1016/j.jempfin.2025.101637","DOIUrl":"10.1016/j.jempfin.2025.101637","url":null,"abstract":"<div><div>We use expectations of the short rate inferred from the term structure of interest rates to test several well-known models of behavioral biases and information frictions. We classify signals about future short rates by their cost of acquisition and find evidence of overreaction to high-cost signals and underreaction to low-cost signals, providing support for the overconfidence bias. We show that our results are unlikely to be driven by time-varying risk premia. The biases are so large that the market’s forecast errors are larger at all horizons than for forecasts obtained by assuming that the short rate follows a random walk.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101637"},"PeriodicalIF":2.4,"publicationDate":"2025-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144724020","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
Public data openness and trade credit: Evidence from China 公共数据开放与贸易信用：来自中国的证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-06-24 DOI: 10.1016/j.jempfin.2025.101636
Xiao Li, Yuan Li, Xiaoxu Yu, Chun Yuan
{"title":"Public data openness and trade credit: Evidence from China","authors":"Xiao Li,&nbsp;Yuan Li,&nbsp;Xiaoxu Yu,&nbsp;Chun Yuan","doi":"10.1016/j.jempfin.2025.101636","DOIUrl":"10.1016/j.jempfin.2025.101636","url":null,"abstract":"<div><div>Exploiting the setting of public data openness in China, we demonstrate a significant trade credit provision increase following the data platforms’ introduction. Our mechanism tests confirm that the rise is driven by enhanced suppliers’ willingness and capability. We document that suppliers with more substantial incentives to offer trade credit before establishing the data platforms experience a more pronounced increase in trade credit usage. Additionally, we examine the economic consequences of public data openness, demonstrating that it not only strengthens supply chain financing but also generates spillover benefits. The impact of public data openness on trade credit provision extends to firm sales, productivity, and supply chain efficiency, resulting in significant increases in revenues and total factor productivity, and leading to significant decreases in interest expense ratio and receivable turnover days. Our results reveal that public data openness substantially improves financial conditions and fosters growth throughout the supply chain.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101636"},"PeriodicalIF":2.1,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144510953","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 implications of corporate disclosure via Twitter 通过Twitter进行企业信息披露的战略意义
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-06-23 DOI: 10.1016/j.jempfin.2025.101635
Devendra Kale , Vikram Nanda , Anin Rupp
{"title":"Strategic implications of corporate disclosure via Twitter","authors":"Devendra Kale ,&nbsp;Vikram Nanda ,&nbsp;Anin Rupp","doi":"10.1016/j.jempfin.2025.101635","DOIUrl":"10.1016/j.jempfin.2025.101635","url":null,"abstract":"<div><div>We investigate the information and strategic aspects of corporate tweets. Despite limits on message length, tweets stimulate information acquisition by investors, as indicated by post-tweet downloads from the SEC-EDGAR website. Corporations appear to be effective at leveraging tweets to enhance their information environment. Specifically, tweets are associated with reduction in firms’ earnings surprise and stock return volatility. There is a decrease in negative skewness of stock returns, suggesting a more uniform release of favorable and unfavorable news, especially in high litigation industries. These effects are more evident when the CEO has greater equity incentives and when firms are smaller and less visible.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101635"},"PeriodicalIF":2.1,"publicationDate":"2025-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144490873","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 investors reach for yield? Evidence from corporate bond mutual fund flows 投资者追求收益吗？来自公司债券共同基金流动的证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-06-11 DOI: 10.1016/j.jempfin.2025.101625
Jing-Zhi Huang , Peipei Li , Ying Wang , Yuan Wang , Xiangkun Yao , Licheng Zhang
{"title":"Do investors reach for yield? Evidence from corporate bond mutual fund flows","authors":"Jing-Zhi Huang ,&nbsp;Peipei Li ,&nbsp;Ying Wang ,&nbsp;Yuan Wang ,&nbsp;Xiangkun Yao ,&nbsp;Licheng Zhang","doi":"10.1016/j.jempfin.2025.101625","DOIUrl":"10.1016/j.jempfin.2025.101625","url":null,"abstract":"<div><div>This paper investigates the reaching-for-yield behavior of corporate bond mutual fund investors by analyzing how fund flows respond to changes in interest rates. We find that investment-grade (IG) bond funds experience increased inflows following lower interest rates, while high-yield (HY) bond funds show no significant response. Bond fund investors tend to seek higher yields during periods of lower interest rates by assuming greater interest rate risk through the purchase of longer-maturity IG funds, rather than by taking on additional credit risk. Our findings are robust to potential endogeneity concerns and alternative explanations—including investors’ flight-to-safety behavior, liquidity considerations, and fund managers’ skill—indicating that fund flows are primarily driven by investors’ reaching-for-yield behavior in response to expansionary monetary policy. Overall, this study advances the understanding of monetary policy transmission and its implications for financial stability in the corporate bond market.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101625"},"PeriodicalIF":2.1,"publicationDate":"2025-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144500851","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
(In)Attention: distracted shareholders and corporate innovation 注意力：分散的股东和企业创新
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-05-27 DOI: 10.1016/j.jempfin.2025.101634
Jing Zhao
{"title":"(In)Attention: distracted shareholders and corporate innovation","authors":"Jing Zhao","doi":"10.1016/j.jempfin.2025.101634","DOIUrl":"10.1016/j.jempfin.2025.101634","url":null,"abstract":"<div><div>Following Kempf et al. (2017), this study employs an identification strategy that exploits exogenous shocks to unrelated parts of institutional shareholders’ portfolios to measure “distraction.” I find institutional shareholder “distraction” significantly and positively affects future innovation output and input. This positive effect exhibits considerable cross-sectional and intertemporal heterogeneity. Further, the positive effect is stronger in firms where institutional shareholder monitoring is less important or efficient, or firms subject to greater managerial myopia. These include innovative firms, firms with lower product market competition, weaker managerial power and stronger monitoring, and lower institutional ownership such that any given distraction is more impactful. Consequently, distraction enhances shareholder value through its positive impact on innovation. Taken together, the evidence suggests that managers respond to reduced myopic pressures, induced by exogenous shocks to institutional investors’ portfolios that shift their attention away, by pursuing long-term, risky and value-increasing investments such as innovation. Potential limitations of this study and their implications for future research are also thoroughly discussed.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101634"},"PeriodicalIF":2.1,"publicationDate":"2025-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144563623","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
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 ,&nbsp;Ke Tang ,&nbsp;Taoxiong Liu ,&nbsp;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
{"title":"Credit distortions in Japanese momentum","authors":"Sharon Y. Ross","doi":"10.1016/j.jempfin.2025.101615","DOIUrl":"10.1016/j.jempfin.2025.101615","url":null,"abstract":"<div><div>Persistent credit distortions have warped equity returns in Japan, where decades of subsidized bank credit to “zombie firms” suppressed momentum premiums. Controlling for zombies revives Japan’s momentum effect: momentum earns significant alpha after adjusting for zombies, and momentum’s expected return and Sharpe ratio triple. The zombie-adjusted factor commands a positive price of risk, becomes unspanned by other factors, and aligns more closely with international patterns. Why? Zombies depend on forbearance from their banks, and zombie losers’ outsized betas to bank returns depress momentum. Analysis of syndicated loan data confirms that firms with forbearance-prone lenders drive Japan’s persistently low momentum returns.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101615"},"PeriodicalIF":2.1,"publicationDate":"2025-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144131312","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 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
{"title":"Unlocking efficiency: How capital market liberalization shapes firm productivity","authors":"Lu Jolly Zhou ,&nbsp;Nan Deng ,&nbsp;Chenchen Li","doi":"10.1016/j.jempfin.2025.101624","DOIUrl":"10.1016/j.jempfin.2025.101624","url":null,"abstract":"<div><div>This study examines the granular impact of capital market liberalization on the real economy, utilizing the distinctive context of the Chinese market as a quasi-natural experimental setting. Our analysis demonstrates that capital market liberalization positively influences firm-level productivity. We further explore the mechanisms and provide empirical evidence that capital market liberalization improves asset pricing efficiency by enhancing informed trading effectiveness and rectifying stock mispricing. It also optimizes corporate governance from four distinct perspectives: mitigating agency costs, augmenting operational profitability, bolstering labor productivity, and enhancing transparency. These factors collectively contribute to improved productivity at the firm level, confirming the granular impact of financial liberalization in the product market.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101624"},"PeriodicalIF":2.1,"publicationDate":"2025-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144098664","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 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
{"title":"A system of time-varying models for predictive regressions","authors":"Deshui Yu ,&nbsp;Yayi Yan","doi":"10.1016/j.jempfin.2025.101622","DOIUrl":"10.1016/j.jempfin.2025.101622","url":null,"abstract":"<div><div>This paper proposes a system of time-varying models for predictive regressions, where a time-varying autoregressive (TV-AR) process is introduced to model the dynamics of the predictors and a linear control function approach is used to improve the estimation efficiency. We employ a profile likelihood estimation method to estimate both constant and time-varying coefficients and propose a hypothesis test to examine the parameter stability. We establish the asymptotic properties of the proposed estimators and test statistics accordingly. Monte Carlo simulations show that the proposed methods work well in finite samples. Empirically, the TV-AR process effectively approximates the time-series behavior of a broad set of potential predictors. Furthermore, we reject the stability assumption of predictive models for more than half of these predictors. Finally, the linear projection method not only improves estimator efficiency but also enhances out-of-sample forecasting performance, leading to significant utility gains in forecasting experiments.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101622"},"PeriodicalIF":2.1,"publicationDate":"2025-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143937810","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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