Journal of Empirical Finance最新文献_第2页

Can existing corporate finance theories explain security offerings during the COVID-19 pandemic? 现有的公司财务理论能否解释 COVID-19 大流行期间的证券发行？

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2024-10-20 DOI: 10.1016/j.jempfin.2024.101558

Marie Dutordoir , Joshua Shemesh , Chris Veld , Qing Wang

引用次数: 0

Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio 短期动能和反转、换手率以及股价与 52 周最高价的比率

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2024-10-18 DOI: 10.1016/j.jempfin.2024.101556

Chen Chen , Chris Stivers , Licheng Sun

{"title":"Short-term momentum and reversals, turnover, and a stock’s price-to-52-week-high ratio","authors":"Chen Chen , Chris Stivers , Licheng Sun","doi":"10.1016/j.jempfin.2024.101556","DOIUrl":"10.1016/j.jempfin.2024.101556","url":null,"abstract":"<div><div>We show that short-term reversal behavior declines with a stock’s turnover and the prior month’s price-to-52-week-high ratio (PTH), shifting to momentum for stocks with both a relatively high turnover and PTH. This behavior of consecutive one-month individual stock returns is robust to subperiod analysis, risk adjustments, and alternative methodologies. Our findings suggest opposing channels. First, promoting short-term momentum, our evidence implies a PTH-anchoring underreaction to recent news, consistent with the short-term contrarian price-dampening channel of Atmaz et al. (2024) with higher turnover implying a stronger contrarian-induced underreaction. Second, promoting short-term reversals, our evidence reinforces the importance of the well-known liquidity-provision-compensation channel. Reversals are especially strong for low-PTH, low-turnover stocks, where the lower PTH implies a generally smaller-cap, less-liquid stock and the lower turnover implies a weaker contrarian-induced underreaction. We also find that the return behaviors vary with dispersion in analysts’ earnings forecasts and with market-wide sentiment, in a manner consistent with these channels.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101556"},"PeriodicalIF":2.1,"publicationDate":"2024-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142532660","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

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 : 2024-09-30 DOI: 10.1016/j.jempfin.2024.101555

Chien-Lin Lu , Chih-Yung Lin , Tse-Chun Lin , Bin Miao

引用次数: 0

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 : 2024-09-24 DOI: 10.1016/j.jempfin.2024.101554

Yao Ge , Wei Huang , Zheng Qiao , Hao Zheng

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 : 2024-09-16 DOI: 10.1016/j.jempfin.2024.101553

Arpit Kumar Parija, Malvika Chhatwani

引用次数: 0

Stock price synchronicity and stock liquidity: International evidence 股价同步性与股票流动性：国际证据

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2024-09-12 DOI: 10.1016/j.jempfin.2024.101541

Paul Brockman , Tung Lam Dang , Thu Phuong Pham

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 : 2024-09-10 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 , Gonul Colak , 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":"2024-09-10","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

A comparison of factor models in China 中国因素模型比较

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2024-09-08 DOI: 10.1016/j.jempfin.2024.101548

Jinzhe Wang, Yifeng Zhu

引用次数: 0

Banker directors on board and corporate tax avoidance 董事会中的银行家董事与公司避税

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2024-09-08 DOI: 10.1016/j.jempfin.2024.101551

Qian Song , Wenjie Ding , Iftekhar Hasan , Qingwei Wang

引用次数: 0

Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data 利用高维数据对机器学习预测进行汇集和胜选，以预测股票回报率

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2024-09-02 DOI: 10.1016/j.jempfin.2024.101538

Erik Mekelburg , Jack Strauss

{"title":"Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data","authors":"Erik Mekelburg , Jack Strauss","doi":"10.1016/j.jempfin.2024.101538","DOIUrl":"10.1016/j.jempfin.2024.101538","url":null,"abstract":"<div><p>We evaluate US market return predictability using a novel data set of several hundred ag- gregated firm-level characteristics. We apply LASSO, Elastic Net, Random Forest, Neural Net, Extreme Gradient Boosting, and Light Gradient Boosting Machine methods and find these models experience large prediction errors that lead to forecast failures. However, winsorizing and pooling machine learning model forecasts provides consistent out-of-sample predictability. To assess robustness, we apply machine learning methods to high-dimensional data for Canada, China, Germany and the UK as well as the Goyal–Welch data. All machine learning models we consider, except for the ensemble pooled methods, fail to significantly predict returns across our samples, highlighting the importance of pooling, evaluating additional economies, and the fragility of individual machine learning methods. Our results shed light on the sparsity versus density debate as the degree of sparsity and variable importance evolves over time.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101538"},"PeriodicalIF":2.1,"publicationDate":"2024-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539824000732/pdfft?md5=a9db7e6e4ae641bec07f185220532c35&pid=1-s2.0-S0927539824000732-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142168694","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