Journal of Empirical Finance最新文献_第2页

The free dividend fallacy in the Chinese stock market: Evidence from stock pricing behavior around ex-dividend day 中国股市的自由分红谬误：来自除息日前后股票定价行为的证据

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-04-01 Epub Date: 2026-04-27 DOI: 10.1016/j.jempfin.2026.101727

Jeffery Jinfan Chang , Huancheng Du , Xiaoran Ni , Yuheng Wang

引用次数: 0

Do shortages forecast aggregate and sectoral U.S. stock market realized variance? Evidence from a century of data 短缺是否预示了美国股票市场总体和行业的实现差异？证据来自一个世纪的数据

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-04-01 Epub Date: 2026-04-21 DOI: 10.1016/j.jempfin.2026.101726

Matteo Bonato , Rangan Gupta , Christian Pierdzioch

{"title":"Do shortages forecast aggregate and sectoral U.S. stock market realized variance? Evidence from a century of data","authors":"Matteo Bonato , Rangan Gupta , Christian Pierdzioch","doi":"10.1016/j.jempfin.2026.101726","DOIUrl":"10.1016/j.jempfin.2026.101726","url":null,"abstract":"<div><div>Recent global economic and political events have made clear that shortages are a key factor driving macroeconomic and financial market developments. Against this backdrop, we studied the forecasting value of shortages for monthly U.S. stock market realized variance (RV) at the aggregate and sectoral level using data spanning the period 1900<span><math><mo>−</mo></math></span>2024 and 1926<span><math><mo>−</mo></math></span>2023 (for most sectors), respectively. To this end, we considered linear and non-linear statistical learning estimators. When we used linear estimators (OLS and shrinkage estimators), we did not find evidence that aggregate and disaggregate shortage indexes have predictive value for subsequent market or sectoral RVs. In contrast, when we used random forests, a nonlinear nonparametric estimator, we detected that aggregate and disaggregate shortage indexes improve forecast accuracy of market and sectoral RVs after controlling for realized moments (realized leverage, realized skewness, realized kurtosis, realized tail risks). We then decomposed RV into a high, medium, and low frequency component and found that the shortages indexes are correlated mainly with the medium and low frequencies of RV. Finally, we found that the predictive value of shortages for RV was larger in the 1980s and 1990s than in later parts of our sample period.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"86 ","pages":"Article 101726"},"PeriodicalIF":2.4,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147732541","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

Bankruptcy prediction of privately held SMEs using feature selection methods 基于特征选择方法的民营中小企业破产预测

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-04-01 Epub Date: 2026-04-19 DOI: 10.1016/j.jempfin.2026.101725

Florentina Paraschiv , Markus Schmid , Ranik Raaen Wahlstrøm

{"title":"Bankruptcy prediction of privately held SMEs using feature selection methods","authors":"Florentina Paraschiv , Markus Schmid , Ranik Raaen Wahlstrøm","doi":"10.1016/j.jempfin.2026.101725","DOIUrl":"10.1016/j.jempfin.2026.101725","url":null,"abstract":"<div><div>We test alternative feature selection methods for bankruptcy prediction and illustrate their superiority versus popular models used in the literature. We apply these methods to a comprehensive dataset of more than 1.8 million financial statements covering the entire universe of privately held Norwegian SMEs in 2006–2020. We find that input variables chosen by an embedded least absolute shrinkage and selection operator (LASSO) method yield the best in-sample fit, out-of-sample performance, and stability, robust across different time periods and estimation techniques. In a real-world simulation of a competitive credit market, even small differences in model performance translate into large differences in bank profitability, with LASSO outperforming all alternatives. Finally, contrasting bankruptcy predictors for SMEs with those for larger firms reveals economically meaningful differences consistent with theory: leverage and liquidity dominate for SMEs while profitability matters more for larger firms, reflecting SMEs’ higher refinancing risk and limited access to external financing. Predictors tailored specifically to SMEs yield superior prediction performance and higher bank profitability than those derived from larger firms.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"86 ","pages":"Article 101725"},"PeriodicalIF":2.4,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147743512","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

Can mutual fund “stars” really pick stocks? New evidence from a wild bootstrap analysis 共同基金“明星”真的能选股吗？新的证据来自一个疯狂的自举分析

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-02-01 Epub Date: 2025-11-25 DOI: 10.1016/j.jempfin.2025.101673

Ulrich Hounyo , Jiahao Lin

引用次数: 0

Information salience, investor attention, and stock price crash risk 信息显著性、投资者关注和股价崩盘风险

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-02-01 Epub Date: 2025-11-20 DOI: 10.1016/j.jempfin.2025.101670

Zhenshan Chen , Zhibing Li , Jie Liu , Xiaoyu Liu

引用次数: 0

Global standard and bank liquidity creation: A case study of Basel III liquidity regulation 全球标准与银行流动性创造：巴塞尔协议III流动性监管的案例研究

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-02-01 Epub Date: 2025-12-29 DOI: 10.1016/j.jempfin.2025.101684

Yong Kyu Gam

引用次数: 0

A skew is a skill: Portfolio skewness of mutual fund holdings 偏倚是一种技巧：共同基金持有的投资组合偏倚

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-02-01 Epub Date: 2026-01-20 DOI: 10.1016/j.jempfin.2026.101687

Jo Drienko, Chao Gao, Yifei Liu

引用次数: 0

Deleveraging driven by profitability improvement: Evidence from China’s business tax to value-added tax transition 盈利能力提升驱动的去杠杆：来自中国营业税向增值税转型的证据

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-02-01 Epub Date: 2025-12-31 DOI: 10.1016/j.jempfin.2025.101685

Zhenjie Qian , Dan Xi , Jia Xu , Lingrui Zhou

{"title":"Deleveraging driven by profitability improvement: Evidence from China’s business tax to value-added tax transition","authors":"Zhenjie Qian , Dan Xi , Jia Xu , Lingrui Zhou","doi":"10.1016/j.jempfin.2025.101685","DOIUrl":"10.1016/j.jempfin.2025.101685","url":null,"abstract":"<div><div>This study examines how tax policy reforms influence corporate capital structure by leveraging China’s business tax to value-added tax (B2V) Reform as a quasi-natural experiment. Using a staggered difference-in-differences design with listed firms’ data from 2009 to 2015, we find that firms affected by the B2V reform reduced leverage by an average of 1.8 percentage points compared to unaffected firms. Profitability gains—primarily from cost reductions made possible by value-added tax’s (VAT’s) deductibility—explain approximately 60% of this deleveraging effect. Heterogeneity analyses reveal that the effect is more pronounced among firms with stronger supply chain bargaining power, underscoring the importance of a firm’s ability to shift tax burdens in shaping financial decisions after the reform. Additional evidence shows declines in both dividend payouts and short-term liabilities during deleveraging, suggesting that the observed profitability improvements were temporary. Overall, these findings provide empirical support for the pecking order theory and underscore the broader capital structure implications of indirect tax reforms.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"85 ","pages":"Article 101685"},"PeriodicalIF":2.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146023059","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

Volatility and jumps in the Chinese Yuan using Gumbel distribution during the trade war and COVID-19 pandemic 在贸易战和COVID-19大流行期间，使用甘贝尔分布的人民币波动和跳跃

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-02-01 Epub Date: 2025-11-20 DOI: 10.1016/j.jempfin.2025.101669

Chae-Deug Yi

{"title":"Volatility and jumps in the Chinese Yuan using Gumbel distribution during the trade war and COVID-19 pandemic","authors":"Chae-Deug Yi","doi":"10.1016/j.jempfin.2025.101669","DOIUrl":"10.1016/j.jempfin.2025.101669","url":null,"abstract":"<div><div>This study investigates the dynamic structure of intraday volatility and jump behavior in the Chinese yuan and US dollar exchange market by employing a Gumbel-distribution-based threshold derived from extreme value theory. Using five-minute high-frequency data over 2,450 trading days, we construct a daily jump probability index and examine its responsiveness to major economic shocks, including the U.S.–China trade war and the COVID-19 pandemic. Regression and simulation analyses (5,000 replications) show that the Gumbel-based jump metric provides superior explanatory power in detecting large and irregular jumps. The Gumbel distribution offers a clear and theoretically grounded thresholding mechanism, making it particularly effective in identifying episodic volatility clusters during the 2010s. Tests by Lee and Hannig (2010) and Laurent and Shi (2020) also suggest that the Gumbel jump statistic is more appropriate for capturing the frequent and discontinuous jumps in foreign exchange volatility. Furthermore, after filtering for intraday periodicity, the estimated jump probabilities significantly decline, indicating the importance of periodicity adjustment. This study also confirms that jump probabilities were notably higher during the U.S.–China trade war and the COVID-19 pandemic than in the overall sample period. Sensitivity tests on volatility filtering and simulation parameters further demonstrate the robustness of the Gumbel-based jump distribution.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"85 ","pages":"Article 101669"},"PeriodicalIF":2.4,"publicationDate":"2026-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145682650","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 GARCH model with two volatility components and two driving factors 一个具有两个波动分量和两个驱动因子的GARCH模型

IF 2.4 2区经济学

Journal of Empirical Finance Pub Date : 2026-02-01 Epub Date: 2025-11-27 DOI: 10.1016/j.jempfin.2025.101671

Luca Vincenzo Ballestra , Enzo D’Innocenzo , Christian Tezza

引用次数: 0