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Journal of Empirical Finance最新文献

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Co-illiquidity management Co-illiquidity管理
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-10-28 DOI: 10.1016/j.jempfin.2023.101429
Søren Hvidkjær , Massimo Massa , Aleksandra Rzeźnik
{"title":"Co-illiquidity management","authors":"Søren Hvidkjær ,&nbsp;Massimo Massa ,&nbsp;Aleksandra Rzeźnik","doi":"10.1016/j.jempfin.2023.101429","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101429","url":null,"abstract":"<div><p>We study the link between illiquidity and co-movement in illiquidity and the way asset managers trade off illiquidity and co-illiquidity in their portfolio allocation decision. By exploring two experiments – the 2005 SHO Regulation and 2016 Tick Size pilot program – we document the way fund managers manage co-illiquidity risk and the implication for the market degree of illiquidity and co-illiquidity.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101429"},"PeriodicalIF":2.6,"publicationDate":"2023-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92024859","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 effect of venture capital backing on innovation in newly public firms 风险投资支持对新上市公司创新的影响
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-10-25 DOI: 10.1016/j.jempfin.2023.101436
Serdar Aldatmaz , Ugur Celikyurt
{"title":"The effect of venture capital backing on innovation in newly public firms","authors":"Serdar Aldatmaz ,&nbsp;Ugur Celikyurt","doi":"10.1016/j.jempfin.2023.101436","DOIUrl":"10.1016/j.jempfin.2023.101436","url":null,"abstract":"<div><p>We study the effect of VC-backing on innovation in newly public firms and find that it is negatively related to patents produced and citations received within the initial years following an IPO – our estimates indicate that VC-backed firms produce 13% fewer patents than nonVC-backed firms within the first year post-IPO. Our findings suggest that this adverse effect is a consequence of VCs timing their portfolio companies’ IPOs at the peak of innovation followed by a decline post-IPO. Additionally, VC-backing leads to higher growth in sales and productivity in newly public firms pointing to a shift in VC focus from creating into commercializing innovation post-IPO. We address endogeneity concerns with an instrumental variables approach.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101436"},"PeriodicalIF":2.6,"publicationDate":"2023-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136092924","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
Forecasting realized volatility with wavelet decomposition 利用小波分解实现波动率预测
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-10-13 DOI: 10.1016/j.jempfin.2023.101432
Ioannis Souropanis, Andrew Vivian
{"title":"Forecasting realized volatility with wavelet decomposition","authors":"Ioannis Souropanis,&nbsp;Andrew Vivian","doi":"10.1016/j.jempfin.2023.101432","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101432","url":null,"abstract":"<div><p>Forecasting Realized Volatility (RV) is of paramount importance for both academics and practitioners. During recent decades, academic literature has made substantial progress both in terms of methods and predictors under consideration albeit with scarce reference to technical indicators. This paper examines the out-of-sample forecasting performance of technical indicators for S&amp;P500 RV relative to macroeconomic predictors. Our main contribution is to demonstrate that these sets of predictors impact volatility at different frequencies and thus are complementary. Specifically, technical indicators perform especially strongly for forecasting the short frequency component which complements macroeconomic variables which perform strongly at longer frequencies. We demonstrate that amalgamation forecasts from these predictors that takes into account the frequency dimension leads to substantial improvements in forecast accuracy.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101432"},"PeriodicalIF":2.6,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823000993/pdfft?md5=b3d3a8a151a5f2ba18009a6388c7878b&pid=1-s2.0-S0927539823000993-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91959330","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 commodity risk premium and neural networks 商品风险溢价与神经网络
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-10-12 DOI: 10.1016/j.jempfin.2023.101433
Hossein Rad , Rand Kwong Yew Low , Joëlle Miffre , Robert Faff
{"title":"The commodity risk premium and neural networks","authors":"Hossein Rad ,&nbsp;Rand Kwong Yew Low ,&nbsp;Joëlle Miffre ,&nbsp;Robert Faff","doi":"10.1016/j.jempfin.2023.101433","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101433","url":null,"abstract":"<div><p><span>The paper uses linear and nonlinear predictive models to study the linkage between a set of 128 macroeconomic and financial predictors and the risk premium of commodity futures contracts. The linear models use shrinkage methods based on either naive averaging or </span>principal components. The nonlinear models use feedforward deep neural networks (DNN) either as stand-alone or in conjunction with a long short-term memory network (LSTM). Out of the four specifications considered, the LSTM-DNN architecture best captures the risk premium, which underscores the need to estimate models that are both nonlinear and recurrent. The superior performance of the LSTM-DNN portfolio persists after accounting for transaction costs or illiquidity and is unrelated to previously-documented commodity risk factors.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101433"},"PeriodicalIF":2.6,"publicationDate":"2023-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49901171","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
Goodhart’s law in China: Bank branching regulation and window dressing 中国的古德哈特法则:银行分支监管和粉饰账面
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-10-05 DOI: 10.1016/j.jempfin.2023.101434
Di Gong , Harry Huizinga , Tianshi Li , Jigao Zhu
{"title":"Goodhart’s law in China: Bank branching regulation and window dressing","authors":"Di Gong ,&nbsp;Harry Huizinga ,&nbsp;Tianshi Li ,&nbsp;Jigao Zhu","doi":"10.1016/j.jempfin.2023.101434","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101434","url":null,"abstract":"<div><p>After the removal of geographic restrictions on branching in 2006, China’s city commercial banks (CCBs) can apply for permission to branch outside their province. This paper shows that CCBs report a higher provision coverage ratio (PCR) before filing an application, thereby making the bank look safer to regulators. Our finding is robust to controlling for possible endogeneity of the branching application decision by employing propensity score matching estimators, and it is confirmed when we consider a quasi-natural experiment of deregulation reversal. Tests of the dynamic effects show evidence of reversals in PCR adjustment after applications. Higher PCR before branching applications cannot be explained by alternative rationales for manipulating loan loss reserves such as fundamental provisions, earnings management, capital management, and market signaling. Window dressers receive more supervisory penalties after filing applications relative to other branching banks. Our finding of window dressing in response to bank branching regulation confirms Goodhart’s insight that when a regulatory metric becomes a target, it ceases to be a good measure.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101434"},"PeriodicalIF":2.6,"publicationDate":"2023-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49866695","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 human capital: Evidence from corporate innovation 人力资本的作用:来自企业创新的证据
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-10-05 DOI: 10.1016/j.jempfin.2023.101435
Tong Liu , Yifei Mao , Xuan Tian
{"title":"The role of human capital: Evidence from corporate innovation","authors":"Tong Liu ,&nbsp;Yifei Mao ,&nbsp;Xuan Tian","doi":"10.1016/j.jempfin.2023.101435","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101435","url":null,"abstract":"<div><p>This paper examines the distinct roles played by inventors and firms in contributing to corporate innovation. Inventors are six to eight times as important as firms in contributing to innovation performance as measured by patent and citation counts, but their importance is about the same in innovation strategies as captured by patent exploratory and exploitative scores. Furthermore, when labor mobility is reduced, the relative importance of firms to inventors in contributing to innovation strategy increases. Additional tests suggest that our main findings are unlikely driven by endogenous matching between firms and inventors.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101435"},"PeriodicalIF":2.6,"publicationDate":"2023-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92024858","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: 1
Futures contract collateralization and its implications 期货合约担保及其启示
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-10-04 DOI: 10.1016/j.jempfin.2023.101422
Robert A. Jarrow , Simon S. Kwok
{"title":"Futures contract collateralization and its implications","authors":"Robert A. Jarrow ,&nbsp;Simon S. Kwok","doi":"10.1016/j.jempfin.2023.101422","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101422","url":null,"abstract":"<div><p>Defining a futures return as the rate of change of futures prices, as done in many empirical studies, implicitly implies that a futures contract is fully collateralized. We adjust futures’ returns to explicitly account for the holding of minimum margin (collateral) and the return to this collateral. Collateralization adjustment affects the dynamic properties of returns and modifies the risk profile of futures contracts. In our empirical study, we document the effect of such adjustment under full and partial collateralization. The effect is minimal except when the futures prices and minimum margins are volatile. Our analysis calls for a review on the extent of diversification benefits offered by futures.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101422"},"PeriodicalIF":2.6,"publicationDate":"2023-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49866693","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
Counteroffers and Price Discrimination in Mortgage Lending 抵押贷款中的还价与价格歧视
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-10-04 DOI: 10.1016/j.jempfin.2023.101431
Steven Ongena , Florentina Paraschiv , Endre J. Reite
{"title":"Counteroffers and Price Discrimination in Mortgage Lending","authors":"Steven Ongena ,&nbsp;Florentina Paraschiv ,&nbsp;Endre J. Reite","doi":"10.1016/j.jempfin.2023.101431","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101431","url":null,"abstract":"<div><p>This study analyzes price discrimination and household switching in the residential mortgage market. Using a unique proprietary micro dataset from Norway, we examine the factors that influence a bank’s choice to counter an offer from a competing bank and the difference between the loan rate paid by current clients when receiving a competing offer from another bank and the concurrent best rate offered to new customers by the current bank. The estimates show that a bank employs internal information to decide how to counter a competing offer and that current clients pay approximately 20 basis points more than new customers. We surmise that new regulations and digitalization enhance transparency and can reduce the rate differential. However, introducing new banking products and changes in the timing of rate differentiation —from immediate upfront to gradually over time —may be used to maintain a constant rate differential.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101431"},"PeriodicalIF":2.6,"publicationDate":"2023-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49901173","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
Product competition, political connections, and the costs of high leverage 产品竞争、政治关系和高杠杆成本
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-09-27 DOI: 10.1016/j.jempfin.2023.101430
Qian Li , Shihao Wang , Victor Song
{"title":"Product competition, political connections, and the costs of high leverage","authors":"Qian Li ,&nbsp;Shihao Wang ,&nbsp;Victor Song","doi":"10.1016/j.jempfin.2023.101430","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101430","url":null,"abstract":"<div><p>This paper explores whether the political connections of listed firms in China affect the costs of high leverage on a firm's product competition. We collect a sample of 1341 non-state-owned firms (i.e., private firms) with political connections listed in the Chinese stock market from 2009 to 2019. Using the sensitivity of sales growth to high leverage to proxy for the costs of high leverage, we find that the negative effect of high leverage on sales growth is significantly lower for companies with political ties. Our results are robust to a series of endogeneity corrections and robustness checks. We also find that political connections benefit highly leveraged firms by reducing the adverse behavior of customers and competitors. However, the effect of political connections on the unfavorable actions of employees and suppliers is not statistically significant. In addition, the mitigating effect of political connections on high leverage costs is more pronounced in firms with low profitability, headquartered in low-trust provinces, and experiencing high economic policy uncertainty. Finally, we find that political connections can also mitigate the negative effect of high leverage on firms’ investment and profit. Overall, our findings suggest that political connections reduce the cost of high leverage.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101430"},"PeriodicalIF":2.6,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49866694","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 seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies 加密货币市场的跷跷板效应:理解加密货币的回报交叉可预测性
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-09-26 DOI: 10.1016/j.jempfin.2023.101428
Yuecheng Jia , Yangru Wu , Shu Yan , Yuzheng Liu
{"title":"A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies","authors":"Yuecheng Jia ,&nbsp;Yangru Wu ,&nbsp;Shu Yan ,&nbsp;Yuzheng Liu","doi":"10.1016/j.jempfin.2023.101428","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101428","url":null,"abstract":"<div><p><span>This paper investigates the intraday return cross-predictability of cryptocurrencies. In contrast to the positive lead–lag effect for stocks, we document a negative lead–lag effect in the cryptocurrency market. Specifically, the large coins negatively predict the other coins but the small coins rarely predict the large coins. A trading strategy that exploits the cross-predictability via the Least Absolute Shrinkage and Selection Operator (</span><span><math><mrow><mi>L</mi><mi>A</mi><mi>S</mi><mi>S</mi><mi>O</mi></mrow></math></span>) yields highly significant profits across major cryptocurrency exchanges even in the presence of realistic transaction costs.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101428"},"PeriodicalIF":2.6,"publicationDate":"2023-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49866688","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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