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Do share repurchases facilitate movement toward target capital structure? International evidence 股票回购是否有助于实现目标资本结构？国际证据
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-28 DOI: 10.1016/j.jempfin.2024.101498
Zigan Wang , Qie Ellie Yin , Luping Yu
{"title":"Do share repurchases facilitate movement toward target capital structure? International evidence","authors":"Zigan Wang ,&nbsp;Qie Ellie Yin ,&nbsp;Luping Yu","doi":"10.1016/j.jempfin.2024.101498","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101498","url":null,"abstract":"<div><p>We use a new international setting to test and strengthen identification of the “target leverage” hypothesis in the payout policy literature. We conduct a quasi-natural experiment induced by staggered share repurchase legalization in 17 economies and analyze its influences on leverage dynamics. After controlling for other repurchasing motives, firms under-leveraged before legalization are more likely to buy back shares immediately after legalization. Post-legalization repurchases also facilitate firms’ movement toward target leverage, especially when firms are under-leveraged. This facilitating effect is stronger under lower repurchasing restriction, higher dividend tax penalty, and lower financial constraint.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101498"},"PeriodicalIF":2.6,"publicationDate":"2024-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140620984","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
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile 用于预测风险价值、预期短缺和预期寿命的动态极值模型的实证审查
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-21 DOI: 10.1016/j.jempfin.2024.101488
Claudio Candia, Rodrigo Herrera
{"title":"An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile","authors":"Claudio Candia,&nbsp;Rodrigo Herrera","doi":"10.1016/j.jempfin.2024.101488","DOIUrl":"10.1016/j.jempfin.2024.101488","url":null,"abstract":"<div><p>This work provides a selective review of the most recent dynamic models based on extreme value theory, in terms of their ability to forecast financial losses through different risk measures. The main characteristic of these models is that their dynamics depend only on the occurrence and magnitude of extreme events above a high threshold. Through an empirical analysis, we evaluate the predictive ability of these approaches on a set of stock market indices. In an in-sample analysis, we assess the goodness-of-fit of the different specifications. We also compare the adequacy of each model, considering how well they forecast the risk measures in the out-of-sample period. In addition, in order to identify the best-performing models, we use the model confident set procedure across different risk measures, loss functions, and score functions to identify the superior models. Finally, we identify some potential avenues for future research.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101488"},"PeriodicalIF":2.6,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140274428","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
Options trading imbalance, cash-flow news, and discount-rate news 期权交易失衡、现金流新闻和贴现率新闻
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-21 DOI: 10.1016/j.jempfin.2024.101491
Doina Chichernea , Kershen Huang , Alex Petkevich , Pavel Teterin
{"title":"Options trading imbalance, cash-flow news, and discount-rate news","authors":"Doina Chichernea ,&nbsp;Kershen Huang ,&nbsp;Alex Petkevich ,&nbsp;Pavel Teterin","doi":"10.1016/j.jempfin.2024.101491","DOIUrl":"10.1016/j.jempfin.2024.101491","url":null,"abstract":"<div><p>Using publicly available information on option volume totals, we develop new measures of directional option-to-stock (O/S) trading volume imbalance. The novel measures are strongly related to the cash-flow (CF) and discount-rate (DR) news components of unexpected stock returns and consistently predict future abnormal performance. While options markets respond more strongly to CF news than do equity markets, they still do not fully incorporate CF news into prices and therefore lead to returns predictability. This underreaction phenomenon is of smaller magnitude when the options market response is stronger and when short-sale constraints are less binding.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101491"},"PeriodicalIF":2.6,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140268906","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
Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach 因子相关性与资产回报截面：相关性稳健的机器学习方法
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-19 DOI: 10.1016/j.jempfin.2024.101497
Chuanping Sun
{"title":"Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach","authors":"Chuanping Sun","doi":"10.1016/j.jempfin.2024.101497","DOIUrl":"10.1016/j.jempfin.2024.101497","url":null,"abstract":"<div><p>This paper investigates high-dimensional factor models for cross-sectional asset returns, with a specific focus on robust estimation in the presence of (highly) correlated factors. Factor correlations can significantly compromise the robustness and credibility of commonly employed analytical methods. To address this, we utilize the stochastic discount factor (SDF) and integrate it with a recently developed Machine Learning methodology (Figueiredo and Nowak, 2016). This novel approach allows us to select factors while accounting for factor correlations and to disentangle correlated factors without imposing rigid assumptions. Our empirical findings consistently highlight the paramount role of the ‘market’ factor in driving cross-sectional asset returns. In contrast, other benchmarks, including the LASSO, the Elastic-Net, and the Fama–MacBeth regression, are adversely impacted by factor correlations, rendering the ‘market’ factor redundant. Additionally, our findings underscore the importance of ‘profitability’, ‘momentum’, and ‘liquidity’-related factors in driving cross-sectional asset returns.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101497"},"PeriodicalIF":2.6,"publicationDate":"2024-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140196595","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
Aggregate portfolio choice 总体投资组合选择
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-18 DOI: 10.1016/j.jempfin.2024.101494
Joachim Inkmann
{"title":"Aggregate portfolio choice","authors":"Joachim Inkmann","doi":"10.1016/j.jempfin.2024.101494","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101494","url":null,"abstract":"<div><p>Important portfolio choice decisions are made for large groups of heterogeneous individual investors. I propose solving the cross-sectional average of the individual Euler equations to find an optimal portfolio for an aggregate of investors under one-size-fits-all constraints. Using a dynamic portfolio choice model to design balanced default funds for 72 hypothetical industry pension plans, the average Euler equations depend on industry-specific per-capita earnings growth and moments of idiosyncratic earnings shocks. Inter-industry heterogeneity in moments of the joint distribution of earnings growth and the return on risky assets, including correlation and cokurtosis, explains the variation in optimal choice variables across industries.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101494"},"PeriodicalIF":2.6,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S092753982400029X/pdfft?md5=46eae4243eba34599ebdc1befa055d9c&pid=1-s2.0-S092753982400029X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140179885","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
Information acquisition and processing skills of institutions and retail investors around information shocks 机构和散户投资者在信息冲击下的信息获取和处理能力
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-17 DOI: 10.1016/j.jempfin.2024.101495
Scott Fung , Khaled Obaid , Shih-Chuan Tsai
{"title":"Information acquisition and processing skills of institutions and retail investors around information shocks","authors":"Scott Fung ,&nbsp;Khaled Obaid ,&nbsp;Shih-Chuan Tsai","doi":"10.1016/j.jempfin.2024.101495","DOIUrl":"10.1016/j.jempfin.2024.101495","url":null,"abstract":"<div><p>Using audit trail data from the Taiwan Stock Exchange, this paper compares the trading skill of institutions and individuals around information shocks. We find suggestive evidence that institutions possess information acquisition and processing advantages over individuals. Specifically, net buying done by institutions (individuals) prior to and during jumps positively (negatively) predicts future intraday returns. This predictive relation is strongest among stocks with high limits to arbitrage and a limited information environment. Moreover, domestic institutions generate higher trading profits than foreign institutions. Unlike domestic institutions, the information acquisition and processing advantages of foreign institutions prevail across different sources of price jumps, such as prescheduled events and macroeconomic news. Prescheduled events and news lessen the information disadvantages for individuals.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101495"},"PeriodicalIF":2.6,"publicationDate":"2024-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539824000306/pdfft?md5=af9135a1f75ddd3d3bce98945d62d830&pid=1-s2.0-S0927539824000306-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140271173","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
Modern banking development during natural disasters: Evidence from the early 20th century China 自然灾害期间的现代银行业发展：20 世纪初中国的证据
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-17 DOI: 10.1016/j.jempfin.2024.101496
Yang Cai , Dongxu Li
{"title":"Modern banking development during natural disasters: Evidence from the early 20th century China","authors":"Yang Cai ,&nbsp;Dongxu Li","doi":"10.1016/j.jempfin.2024.101496","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101496","url":null,"abstract":"<div><p>How do commercial banks react to natural disasters? Using data for 375 droughts in 262 prefectures in China during 1906–1927, we find that drought-affected prefectures have more private bank inceptions than unaffected ones. The results remain robust to socioeconomic characteristics, foreign market exposure, and conditions of neighboring prefectures. This effect is driven by the prefectures with more agriculture-dependent enterprises, suggesting that banks meet local financial demand. On the other hand, new banks would enter less when the prefecture has more incumbent banks connected to drought-free areas. We argue that capital size and the network of capital reallocation are two advantages of banks coping with natural disasters over alternative financing vehicles such as pawn shops and foreign banks. In addition, the effect is greater among the prefectures practicing common law and with greater social capital, consistent with existing studies that bank credit supply depends on creditor rights protection. Finally, we show that drought-affected regions with more private bank inceptions have better development in agricultural businesses and social stability.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101496"},"PeriodicalIF":2.6,"publicationDate":"2024-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140209343","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
Local predictability of stock returns and cash flows 股票收益和现金流的本地可预测性
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-15 DOI: 10.1016/j.jempfin.2024.101485
Deshui Yu , Li Chen
{"title":"Local predictability of stock returns and cash flows","authors":"Deshui Yu ,&nbsp;Li Chen","doi":"10.1016/j.jempfin.2024.101485","DOIUrl":"10.1016/j.jempfin.2024.101485","url":null,"abstract":"<div><p>Motivated by the present-value framework, this article proposes a novel and flexible semiparametric long-horizon time-varying model to investigate the so-called ‘pockets of predictability’, which refer to local periods in which stock returns or cash flows are significantly predictable. A semiparametric profile method is used to estimate both time-varying and constant parameters. In the empirical studies, the predictive ability of the dividend-price ratio for dividend growth is considerably weaker than its ability to predict stock returns at both short and long horizons. Moreover, dividend smoothing only matters for dividend growth predictability at a low frequency. In addition, localized variance decomposition analysis suggests that the present-value relation is locally valid for most sample periods and that the main driver of the variation in the dividend-price ratio stems from its ability to predict stock returns. Lastly, using the earnings-price ratio produces similar results.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101485"},"PeriodicalIF":2.6,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140151987","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
Instantaneous volatility of the yield curve, variance risk premium and bond return predictability 收益曲线的瞬时波动性、方差风险溢价和债券收益可预测性
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-15 DOI: 10.1016/j.jempfin.2024.101490
Ximing Yin , Ge Yang
{"title":"Instantaneous volatility of the yield curve, variance risk premium and bond return predictability","authors":"Ximing Yin ,&nbsp;Ge Yang","doi":"10.1016/j.jempfin.2024.101490","DOIUrl":"10.1016/j.jempfin.2024.101490","url":null,"abstract":"<div><p>This paper proposes a new way of estimating the instantaneous volatility of fixed income securities using derivatives data, which can further be used to construct the corresponding yield curve variance risk premium (VRP). We show that this VRP measure exhibits strong long-horizon predictive power for bond excess returns. After controlling for the shape of the yield curve, the VRP strongly predicts 1-year holding period excess returns for 2-year to 10-year zero coupon bonds. The marginal <span><math><msup><mrow><mi>R</mi></mrow><mrow><mn>2</mn></mrow></msup></math></span> of VRP is as high as 12.6%. One standard deviation increase in the VRP is associated with 2.224% increase in the bond excess return. This result is robust when we include various other bond return predictors, such as the Cochrane–Piazzesi “tent-shaped” factor. The out-of-sample analysis suggests that this predictability is not only statistically significant, but also can be translated into economic gains. Additional tests suggest that this predictability varies with economic conditions.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101490"},"PeriodicalIF":2.6,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140156476","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 role of intermediaries in derivatives markets: Evidence from VIX options 中介机构在衍生品市场中的作用：来自 VIX 期权的证据
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-15 DOI: 10.1016/j.jempfin.2024.101492
Kris Jacobs , Anh Thu Mai
{"title":"The role of intermediaries in derivatives markets: Evidence from VIX options","authors":"Kris Jacobs ,&nbsp;Anh Thu Mai","doi":"10.1016/j.jempfin.2024.101492","DOIUrl":"10.1016/j.jempfin.2024.101492","url":null,"abstract":"<div><p>Consistent with models of intermediaries who absorb demand pressure from end-users and respond by changing prices, net option demand is positively related to option prices in the market for VIX puts and calls. VIX and SPX option markets are integrated: market-makers absorb end-users’ net long volatility positions and net demand affects prices across markets. Net demand changes in the most liquid markets result in spillover effects between the VIX and SPX markets. A dynamic characterization of prices and net demand suggests that VIX option markets and the SPX put market are integrated, while the SPX call market is more segregated.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101492"},"PeriodicalIF":2.6,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140151994","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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