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Local labor market and corporate investment 当地劳动力市场和企业投资
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-09-24 DOI: 10.1016/j.jempfin.2024.101554
Yao Ge , Wei Huang , Zheng Qiao , Hao Zheng
{"title":"Local labor market and corporate investment","authors":"Yao Ge ,&nbsp;Wei Huang ,&nbsp;Zheng Qiao ,&nbsp;Hao Zheng","doi":"10.1016/j.jempfin.2024.101554","DOIUrl":"10.1016/j.jempfin.2024.101554","url":null,"abstract":"<div><div>To capture local labor market pooling in agglomeration economics, we employ segment information and occupation statistics to construct firm-pair labor force similarities. Our findings indicate a positive relation between local labor market thickness and corporate investment, influenced by both employer-driven labor demand and employee-driven labor supply. The findings are more pronounced in firms with more skilled labor, less routine-task labor, and higher product and technology competitions. Firms in thicker local labor markets also display higher investment efficiency, higher operating efficiency, and higher valuation. To mitigate the endogeneity concern, we employ an instrumental variable approach to show robustness. Overall, we uncover a specific linkage between the local labor market and corporate investment.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101554"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142315743","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
Jump tail risk exposure and the cross-section of stock returns 跳跃尾部风险暴露与股票收益截面
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-11-02 DOI: 10.1016/j.jempfin.2024.101565
Lykourgos Alexiou , Leonidas S. Rompolis
{"title":"Jump tail risk exposure and the cross-section of stock returns","authors":"Lykourgos Alexiou ,&nbsp;Leonidas S. Rompolis","doi":"10.1016/j.jempfin.2024.101565","DOIUrl":"10.1016/j.jempfin.2024.101565","url":null,"abstract":"<div><div>We introduce a new jump tail risk measure retrieved from option prices. We examine the cross-sectional pricing of stocks according to their sensitivities to jump tail risk. We find a negative market price of jump tail risk. A high-low portfolio sorted by jump tail risk betas delivers a statistically and economically significant negative premium of -9.95% per year. Risk-adjusted returns are also negative and highly significant. We document that the negative jump tail risk premium is mainly driven by its downside jump tail risk component. On the contrary, the premium of the high-low portfolio sorted by upside jump tail risk betas is insignificant. The negative premium of downside jump tail risk is significant when controlling for various risk factor loadings and firm characteristics, and remains strong for large firms. Our results carry over to a predictive setting, in which we compare subsequent realized returns of the quintile portfolios sorted by downside jump tail risk betas estimated over the previous period.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101565"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653871","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
Using the Bayesian sampling method to estimate corporate loss given default distribution 使用贝叶斯抽样法估计违约分布情况下的企业损失
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-08-28 DOI: 10.1016/j.jempfin.2024.101540
Xiaofei Zhang, Xinlei Zhao
{"title":"Using the Bayesian sampling method to estimate corporate loss given default distribution","authors":"Xiaofei Zhang,&nbsp;Xinlei Zhao","doi":"10.1016/j.jempfin.2024.101540","DOIUrl":"10.1016/j.jempfin.2024.101540","url":null,"abstract":"<div><p>We use Markov chain Monte Carlo (MCMC) sampling to draw model coefficients to generate LGD distributions. We find that applying this Bayesian method on a sophisticated model, such as the zero-one-inflated beta (ZOIB) model, that accounts for the bi-modal distribution of the LGDs can generate LGD distributions that mimic the observed distributions well. By contrast, applying this Bayesian sampling approach on a simple model such as Tobit cannot capture the bi-modal LGD distributions accurately. Finally, we argue that this Bayesian sampling approach to generate LGD distributions is better fit for the stress testing purpose than the typical approach to estimate LGD model coefficients and then stress the macro variables. The latter approach yields stressed LGDs that may not be conservative enough, even if the macro variables are stressed to their worst historical values.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101540"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142149046","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
Time-varying variance decomposition of macro-finance term structure models 宏观金融期限结构模型的时变方差分解
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-10-30 DOI: 10.1016/j.jempfin.2024.101563
Anne Lundgaard Hansen
{"title":"Time-varying variance decomposition of macro-finance term structure models","authors":"Anne Lundgaard Hansen","doi":"10.1016/j.jempfin.2024.101563","DOIUrl":"10.1016/j.jempfin.2024.101563","url":null,"abstract":"<div><div>This paper studies time-series patterns in the contribution of macroeconomic shocks to the variation in U.S. Treasury bond yields. I consider a term structure model with time-varying conditional volatility, which implies time variation in the decomposition of forecast error variances. Based on the model, I show that the macroeconomic contribution to the variation in short-term yields has increased since the 1970s. A similar pattern characterizes the variation in the expectations on future interest rates. This trend is not reflected in long-term yields because macroeconomic shocks drive negative correlations between short-rate expectations and term premia. Finally, I show that accounting for time-varying volatility is important even for estimating the average macroeconomic contribution to yield curve volatility over a fixed sample.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101563"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142586497","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 realized stochastic volatility model 高频实现随机波动模型
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-11-02 DOI: 10.1016/j.jempfin.2024.101559
Toshiaki Watanabe , Jouchi Nakajima
{"title":"High-frequency realized stochastic volatility model","authors":"Toshiaki Watanabe ,&nbsp;Jouchi Nakajima","doi":"10.1016/j.jempfin.2024.101559","DOIUrl":"10.1016/j.jempfin.2024.101559","url":null,"abstract":"<div><div>A new high-frequency realized stochastic volatility model is proposed. Apart from the standard daily-frequency stochastic volatility model, the high-frequency stochastic volatility model is fit to intraday returns by extensively incorporating intraday volatility patterns. The daily realized volatility calculated using intraday returns is incorporated into the high-frequency stochastic volatility model by considering the bias in the daily realized volatility caused by microstructure noise. The volatility of intraday returns is assumed to consist of the autoregressive process, the seasonal component of the intraday volatility pattern, and the announcement component responding to macroeconomic announcements. A Bayesian method via Markov chain Monte Carlo is developed for the analysis of the proposed model. The empirical analysis using the 5-minute returns of E-mini S&amp;P 500 futures provides evidence that our high-frequency realized stochastic volatility model improves in-sample model fit and volatility forecasting over the high-frequency stochastic volatility model.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101559"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653723","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
How does bank opacity affect credit growth and return predictability? 银行不透明如何影响信贷增长和回报可预测性？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-09-16 DOI: 10.1016/j.jempfin.2024.101553
Arpit Kumar Parija, Malvika Chhatwani
{"title":"How does bank opacity affect credit growth and return predictability?","authors":"Arpit Kumar Parija,&nbsp;Malvika Chhatwani","doi":"10.1016/j.jempfin.2024.101553","DOIUrl":"10.1016/j.jempfin.2024.101553","url":null,"abstract":"<div><div>Prior research finds that bank credit growth predicts lower bank equity returns in subsequent one to three years. Stocks of banks with high credit growth are initially overvalued because of overoptimism or elevated sentiment of bank shareholders. Eventually, these stocks underperform, generating lower returns. We argue that shareholder sentiment should exhibit its strongest effects on the performance of bank stocks when banks are opaque, or there is uncertainty about the quality of bank loans. Accordingly, we show that an increase in bank’s financial reporting opacity amplifies the predictive ability of credit growth for equity returns by 3 to 4 times relative to when opacity is at its mean.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101553"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142319876","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
Are stablecoins the money market mutual funds of the future? 稳定币是未来的货币市场共同基金吗？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-10-22 DOI: 10.1016/j.jempfin.2024.101557
Nico Oefele, Dirk G. Baur, Lee A. Smales
{"title":"Are stablecoins the money market mutual funds of the future?","authors":"Nico Oefele,&nbsp;Dirk G. Baur,&nbsp;Lee A. Smales","doi":"10.1016/j.jempfin.2024.101557","DOIUrl":"10.1016/j.jempfin.2024.101557","url":null,"abstract":"<div><div>This paper is the first to provide a comprehensive comparison of two financial instruments: stablecoins and money market mutual funds (MMFs). We observe similar reserve asset backing for fiat reserve backed (FRB) stablecoins and MMFs, similar importance of sponsor support, and the same negative association between macroeconomic indicators and peg deviations. Both instruments serve as short-term facilities for investors to park funds and their primary market microstructure is similar. However, FRB stablecoins exhibit larger dispersions from the dollar peg, significantly higher volatility, and a lack of transparency in their market infrastructure. Larger FRB stablecoins show reduced volatility compared to their smaller counterparts, with peg deviation drivers more closely resembling those of MMFs. We conclude that FRB stablecoins demonstrate remarkable similarities to MMFs and have the potential to become the MMFs of the future.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101557"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653724","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
Gold, platinum, and mutual fund flows 黄金、铂金和共同基金流动
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-09-10 DOI: 10.1016/j.jempfin.2024.101552
Ali K. Malik , Gonul Colak , Anders Löflund
{"title":"Gold, platinum, and mutual fund flows","authors":"Ali K. Malik ,&nbsp;Gonul Colak ,&nbsp;Anders Löflund","doi":"10.1016/j.jempfin.2024.101552","DOIUrl":"10.1016/j.jempfin.2024.101552","url":null,"abstract":"<div><p>Huang and Kilic (2019) demonstrate that gold to platinum price ratio (GP), which proxies for tail risk in the economy, is a priced risk factor in the cross-section of stock returns. We document that GP negatively affects the mutual fund flows of the active equity funds. In cross-sectional regressions, we find that funds with high betas with respect to the change in GP (<span><math><msub><mi>β</mi><mrow><mstyle><mi>Δ</mi></mstyle><mi>G</mi><mi>P</mi></mrow></msub></math></span>) have larger future fund flows, as such funds provide a hedge against economic distress. Further, <span><math><msub><mi>β</mi><mrow><mstyle><mi>Δ</mi></mstyle><mi>G</mi><mi>P</mi></mrow></msub></math></span> helps predict the future performance of the fund in the next few quarters. <span><math><msub><mi>β</mi><mrow><mstyle><mi>Δ</mi></mstyle><mi>G</mi><mi>P</mi></mrow></msub></math></span> also relates negatively to the downside risk of the fund, implying that funds could potentially reduce their left-tail risk by tilting towards securities with above average <span><math><msub><mi>β</mi><mrow><mstyle><mi>Δ</mi></mstyle><mi>G</mi><mi>P</mi></mrow></msub></math></span>. We also examine the flows to active corporate bond funds and passive funds. While these effects of GP are largely observable for passive funds, they are not as strongly observable for corporate bond funds.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101552"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539824000860/pdfft?md5=1ee2e22a5f9b79ba44872664b642eac1&pid=1-s2.0-S0927539824000860-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142239692","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
Is firm-level political risk priced in the corporate bond market? 公司层面的政治风险是否已在公司债券市场上定价？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-10-24 DOI: 10.1016/j.jempfin.2024.101562
Luis Ceballos , Vanja Piljak , Laurens Swinkels
{"title":"Is firm-level political risk priced in the corporate bond market?","authors":"Luis Ceballos ,&nbsp;Vanja Piljak ,&nbsp;Laurens Swinkels","doi":"10.1016/j.jempfin.2024.101562","DOIUrl":"10.1016/j.jempfin.2024.101562","url":null,"abstract":"<div><div>We investigate whether political risk is priced in the cross-section of corporate bond returns by using a text-based measure of firm-level political risk. We document a positive and significant political risk premium after controlling for bond and firm characteristics, conventional risk factors, and exposure to aggregate economic policy uncertainty. Bonds with higher political and credit risk, as well as smaller, more illiquid, and longer maturity corporate bonds exhibit a larger political risk premium. Time-series analysis indicates that monetary policy shocks and common shocks in the equity and bond market exhibit a statistically significant and positive association with the political risk premium. Our findings reveal the importance of idiosyncratic political risk beyond common risk factors and aggregate economic policy uncertainty.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101562"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142571894","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
Financial statement disaggregation and bank loan pricing 财务报表分类和银行贷款定价
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-09-30 DOI: 10.1016/j.jempfin.2024.101555
Chien-Lin Lu , Chih-Yung Lin , Tse-Chun Lin , Bin Miao
{"title":"Financial statement disaggregation and bank loan pricing","authors":"Chien-Lin Lu ,&nbsp;Chih-Yung Lin ,&nbsp;Tse-Chun Lin ,&nbsp;Bin Miao","doi":"10.1016/j.jempfin.2024.101555","DOIUrl":"10.1016/j.jempfin.2024.101555","url":null,"abstract":"<div><div>We analyze whether the disaggregation quality (DQ) of a borrower's financial statement is associated with its bank loan pricing. We find that firms with high DQ have low spreads on their bank loans. This result is more pronounced for firms with positive financial prospects, higher risk, and no prior banking relationship with the lenders. Moreover, a high DQ is associated with a low total cost of borrowing, high credit rating, and low spreads on bond issues. Overall, our results show that disaggregated financial statements facilitate bank loan pricing by enabling lenders to make better predictions of their borrowers’ future performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101555"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142424067","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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