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Improving information leadership share for measuring price discovery 提高衡量价格发现的信息领导份额
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-26 DOI: 10.1016/j.jempfin.2025.101638
Shulin Shen , Yixuan Zhang , Eric Zivot
{"title":"Improving information leadership share for measuring price discovery","authors":"Shulin Shen ,&nbsp;Yixuan Zhang ,&nbsp;Eric Zivot","doi":"10.1016/j.jempfin.2025.101638","DOIUrl":"10.1016/j.jempfin.2025.101638","url":null,"abstract":"<div><div>We propose an improvement to the information leadership (IL) measure of price discovery of Yan and Zivot (2010), and the information leadership share (ILS) measure of Putniņš (2013). Our improved PIL and PILS measures integrate the price discovery share (PDS) of Shen et al. (2024) with the component share (CS) measure. Our improved PIL measure accurately reflects the ratio of initial responses of competing markets to a permanent shock in the presence of correlated reduced-form vector error correction model residuals, thereby substantially generalizing the IL measure for practical applications. Simulation evidence strongly supports the superiority of our improved PIL measure over a wide spectrum of existing price discovery metrics (Lien and Shrestha, 2009; Putniņš, 2013; Sultan and Zivot, 2015; Patel et al., 2020). We demonstrate the effectiveness of our improved measure by examining price discovery for various Chinese stocks cross-listed in Shanghai and Hong Kong (SH-HK) both before and after the initiation of the Shanghai-Hong Kong Stock Connect.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101638"},"PeriodicalIF":2.4,"publicationDate":"2025-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144911819","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
Tick size and firm financing decisions: Evidence from a natural experiment 蜱虫大小和公司融资决策：来自自然实验的证据
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-25 DOI: 10.1016/j.jempfin.2025.101651
Yangyang Chen , Jeffrey Ng , Emmanuel Ofosu , Xin Yang
{"title":"Tick size and firm financing decisions: Evidence from a natural experiment","authors":"Yangyang Chen ,&nbsp;Jeffrey Ng ,&nbsp;Emmanuel Ofosu ,&nbsp;Xin Yang","doi":"10.1016/j.jempfin.2025.101651","DOIUrl":"10.1016/j.jempfin.2025.101651","url":null,"abstract":"<div><div>Using the SEC’s 2016 Tick Size Pilot Program (TSPP) as a natural experiment, we investigate the effects of a tick size increase on firms’ choice of equity versus debt financing. We find that after the program’s implementation, TSPP-affected firms show a significant increase in equity issuance relative to that of debt. This finding is consistent with a reduction in adverse selection in equity financing due to more acquisition of fundamental information by these firms’ investors. In support of this inference, we show that the increase is concentrated among firms with investors that increase their information acquisition. We also find that the effect is more pronounced for firms that, prior to the program, have a higher level of concern about adverse selection in equity financing. Our study offers the novel insight that a tick size increase can affect firms’ financing choices because the increased tick size generates incentives for investors to acquire more fundamental information.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101651"},"PeriodicalIF":2.4,"publicationDate":"2025-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144911817","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
Option-implied idiosyncratic skewness and expected returns: Mind the long run 期权隐含的特殊偏度和预期回报：注意长期
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-13 DOI: 10.1016/j.jempfin.2025.101642
Deshui Yu , Difang Huang , Mingtao Zhou
{"title":"Option-implied idiosyncratic skewness and expected returns: Mind the long run","authors":"Deshui Yu ,&nbsp;Difang Huang ,&nbsp;Mingtao Zhou","doi":"10.1016/j.jempfin.2025.101642","DOIUrl":"10.1016/j.jempfin.2025.101642","url":null,"abstract":"<div><div>This article examines the time-series predictive ability of the monthly option-implied idiosyncratic skewness (<span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span>) for the aggregate stock market. We find that <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> is a strong predictor of the U.S. equity premium using both in-sample and out-of-sample tests at forecast horizons up to 36 months over the period from January 1996 to December 2021. In comparison, <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> outperforms the previously used financial and macroeconomic variables. Furthermore, combining information in the transitional predictors with <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> can further improve the forecasting performance than using <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> alone. We provide two explanations for the documented predictability. First, <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> exhibits strong procyclical behavior and consistently declines ahead of economic downturns. Second, <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> acts as a forward-looking signal of investor sentiment and disagreement—positive shocks to <span><math><mrow><mi>S</mi><mi>k</mi><mi>e</mi><mi>w</mi></mrow></math></span> significantly increase both future investor sentiment and disagreement, with effects that persist over several horizons.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101642"},"PeriodicalIF":2.4,"publicationDate":"2025-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144911818","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
Default-probability-implied credit ratings for Chinese firms 违约概率隐含的中国企业信用评级
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-07 DOI: 10.1016/j.jempfin.2025.101644
Xiangzhen Li , Shida Liu , Hao Wang
{"title":"Default-probability-implied credit ratings for Chinese firms","authors":"Xiangzhen Li ,&nbsp;Shida Liu ,&nbsp;Hao Wang","doi":"10.1016/j.jempfin.2025.101644","DOIUrl":"10.1016/j.jempfin.2025.101644","url":null,"abstract":"<div><div>This paper estimates real-time probabilities of default (PDs) for Chinese firms and assigns PD-implied ratings benchmarked to the historical default rates of S&amp;P rating categories. PD-implied ratings tend to be lower and more granular than those issued by domestic credit rating agencies (DCRAs). They outperform DCRA ratings in predicting defaults and offer complementary information in credit price discovery. In terms of information content, PD-implied ratings incorporate richer and more persistent cashflow information than DCRA ratings do. Contributing factors such as implicit government guarantees and the moral hazard inherent in the issuer-pays business model play a significant role in elevating DCRA ratings, leading to greater divergence from PD-implied ratings and, consequently, differences in default prediction performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101644"},"PeriodicalIF":2.4,"publicationDate":"2025-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144852837","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
Does a sudden breakdown in public information search impair analyst forecast accuracy? Evidence from China 公共信息搜索的突然中断是否会损害分析师预测的准确性？来自中国的证据
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-08-06 DOI: 10.1016/j.jempfin.2025.101643
Zihui Li , Lijun Ma , Min Zhang
{"title":"Does a sudden breakdown in public information search impair analyst forecast accuracy? Evidence from China","authors":"Zihui Li ,&nbsp;Lijun Ma ,&nbsp;Min Zhang","doi":"10.1016/j.jempfin.2025.101643","DOIUrl":"10.1016/j.jempfin.2025.101643","url":null,"abstract":"<div><div>We examine the effect of the sudden breakdown of public information search capability caused by Google’s withdrawal from mainland China on Chinese analysts’ earnings forecasts. We observe a decrease in analysts’ forecast accuracy regarding firms with foreign trade relative to those without foreign trade post-withdrawal. This decrease suggests that Google’s withdrawal has hindered analysts’ acquisition of information about firms with foreign trade, thus decreasing the quality of their earnings forecasts. We also find that the effect of this withdrawal on forecast accuracy is stronger for firms with higher business complexity and more opaque financial reporting and for analysts with weaker information processing capacity and more attention constraints. Additionally, we identify corporate site visits as an alternative information source that can compensate for the information loss caused by Google’s withdrawal and find that decreasing forecast accuracy has partially contributed to the deterioration of capital market conditions in the post-withdrawal era.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101643"},"PeriodicalIF":2.4,"publicationDate":"2025-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144863577","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
On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance 有影响力的套息交易策略的盈利能力：数据窥探偏差与发表后绩效
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-07-31 DOI: 10.1016/j.jempfin.2025.101640
Po-Hsuan Hsu , Mark P. Taylor , Zigan Wang , Yan Li
{"title":"On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance","authors":"Po-Hsuan Hsu ,&nbsp;Mark P. Taylor ,&nbsp;Zigan Wang ,&nbsp;Yan Li","doi":"10.1016/j.jempfin.2025.101640","DOIUrl":"10.1016/j.jempfin.2025.101640","url":null,"abstract":"<div><div>This study examines whether 13 influential carry-trade strategies retain profitability after being published in the academic literature. We first implement several bootstrap methods to correct for the presence of data snooping and find that the pre-publication profitability of these strategies is not due to selection bias, demonstrating their original capacity to exploit market inefficiencies. On the other hand, their profitability has declined since their publication years. Our empirical evidence suggests that, although academic researchers may sometimes uncover market anomalies, their publication reduces inefficiencies in currency markets.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101640"},"PeriodicalIF":2.4,"publicationDate":"2025-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144841530","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
Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks 基于注意力的时空图卷积网络跨市场波动预测
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-07-29 DOI: 10.1016/j.jempfin.2025.101639
Jue Gong, Gang-Jin Wang, Yang Zhou, Chi Xie
{"title":"Cross-market volatility forecasting with attention-based spatial–temporal graph convolutional networks","authors":"Jue Gong,&nbsp;Gang-Jin Wang,&nbsp;Yang Zhou,&nbsp;Chi Xie","doi":"10.1016/j.jempfin.2025.101639","DOIUrl":"10.1016/j.jempfin.2025.101639","url":null,"abstract":"<div><div>We propose a cross-market volatility forecasting framework by applying attention-based spatial–temporal graph convolutional network model (ASTGCN) to forecast future volatility of stock indices in 18 financial markets. In our work, we construct cross-market volatility networks to integrate interrelations among financial markets and the corresponding features of each market. ASTGCN combines the spatial–temporal attention mechanisms with the spatial–temporal convolutions to simultaneously capture the dynamic spatial–temporal characteristics of global volatility data. Compared with competitive models, ASTGCN exhibits superiority in multivariate predictive accuracies under multiple forecasting horizons. Our proposed framework demonstrates outstanding stability through several robustness checks. We also inspect the training process of ASTGCN by extracting spatial attention matrices and find that interrelations among global financial markets perform differently in tranquil and turmoil periods. Our study levitates empirical findings in financial networks to practical application with a novel forecasting method in the deep learning community.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101639"},"PeriodicalIF":2.4,"publicationDate":"2025-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144757869","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
Behavioral biases, information frictions and interest rate expectations 行为偏差、信息摩擦和利率预期
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-07-22 DOI: 10.1016/j.jempfin.2025.101637
George Bulkley , Richard D.F. Harris , Vivekanand Nawosah
{"title":"Behavioral biases, information frictions and interest rate expectations","authors":"George Bulkley ,&nbsp;Richard D.F. Harris ,&nbsp;Vivekanand Nawosah","doi":"10.1016/j.jempfin.2025.101637","DOIUrl":"10.1016/j.jempfin.2025.101637","url":null,"abstract":"<div><div>We use expectations of the short rate inferred from the term structure of interest rates to test several well-known models of behavioral biases and information frictions. We classify signals about future short rates by their cost of acquisition and find evidence of overreaction to high-cost signals and underreaction to low-cost signals, providing support for the overconfidence bias. We show that our results are unlikely to be driven by time-varying risk premia. The biases are so large that the market’s forecast errors are larger at all horizons than for forecasts obtained by assuming that the short rate follows a random walk.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101637"},"PeriodicalIF":2.4,"publicationDate":"2025-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144724020","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
Public data openness and trade credit: Evidence from China 公共数据开放与贸易信用：来自中国的证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-06-24 DOI: 10.1016/j.jempfin.2025.101636
Xiao Li, Yuan Li, Xiaoxu Yu, Chun Yuan
{"title":"Public data openness and trade credit: Evidence from China","authors":"Xiao Li,&nbsp;Yuan Li,&nbsp;Xiaoxu Yu,&nbsp;Chun Yuan","doi":"10.1016/j.jempfin.2025.101636","DOIUrl":"10.1016/j.jempfin.2025.101636","url":null,"abstract":"<div><div>Exploiting the setting of public data openness in China, we demonstrate a significant trade credit provision increase following the data platforms’ introduction. Our mechanism tests confirm that the rise is driven by enhanced suppliers’ willingness and capability. We document that suppliers with more substantial incentives to offer trade credit before establishing the data platforms experience a more pronounced increase in trade credit usage. Additionally, we examine the economic consequences of public data openness, demonstrating that it not only strengthens supply chain financing but also generates spillover benefits. The impact of public data openness on trade credit provision extends to firm sales, productivity, and supply chain efficiency, resulting in significant increases in revenues and total factor productivity, and leading to significant decreases in interest expense ratio and receivable turnover days. Our results reveal that public data openness substantially improves financial conditions and fosters growth throughout the supply chain.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101636"},"PeriodicalIF":2.1,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144510953","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
Strategic implications of corporate disclosure via Twitter 通过Twitter进行企业信息披露的战略意义
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-06-23 DOI: 10.1016/j.jempfin.2025.101635
Devendra Kale , Vikram Nanda , Anin Rupp
{"title":"Strategic implications of corporate disclosure via Twitter","authors":"Devendra Kale ,&nbsp;Vikram Nanda ,&nbsp;Anin Rupp","doi":"10.1016/j.jempfin.2025.101635","DOIUrl":"10.1016/j.jempfin.2025.101635","url":null,"abstract":"<div><div>We investigate the information and strategic aspects of corporate tweets. Despite limits on message length, tweets stimulate information acquisition by investors, as indicated by post-tweet downloads from the SEC-EDGAR website. Corporations appear to be effective at leveraging tweets to enhance their information environment. Specifically, tweets are associated with reduction in firms’ earnings surprise and stock return volatility. There is a decrease in negative skewness of stock returns, suggesting a more uniform release of favorable and unfavorable news, especially in high litigation industries. These effects are more evident when the CEO has greater equity incentives and when firms are smaller and less visible.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101635"},"PeriodicalIF":2.1,"publicationDate":"2025-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144490873","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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