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Media, inventors, and corporate innovation 媒体、发明家和企业创新
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-12-01 Epub Date: 2025-10-10 DOI: 10.1016/j.jempfin.2025.101664
Yuqi Gu , Mahsa Kaviani , Lily Li , Hosein Maleki , Connie X. Mao
{"title":"Media, inventors, and corporate innovation","authors":"Yuqi Gu ,&nbsp;Mahsa Kaviani ,&nbsp;Lily Li ,&nbsp;Hosein Maleki ,&nbsp;Connie X. Mao","doi":"10.1016/j.jempfin.2025.101664","DOIUrl":"10.1016/j.jempfin.2025.101664","url":null,"abstract":"<div><div>We examine the impact of Sinclair Broadcast Group, the largest conservative media network in the US local TV markets, on corporate innovation following its staggered expansion across the country. We find a significant reduction in innovation output two to three years after Sinclair entry. As a larger proportion of inventors self-identify as left-leaning, we find that the effect runs through two mutually non-exclusive channels: the inventor productivity channel and the talent replacement channel. Inventors become less innovative when they stay in Sinclair-exposed firms, and firms face challenges replacing departed talent upon the local ideology shock induced by Sinclair.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101664"},"PeriodicalIF":2.4,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145321571","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
Why does the Cochrane–Piazzesi model predict treasury returns? 为什么Cochrane-Piazzesi模型可以预测国债收益率？
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-12-01 Epub Date: 2025-09-10 DOI: 10.1016/j.jempfin.2025.101650
Riccardo Rebonato , Ken Nyholm
{"title":"Why does the Cochrane–Piazzesi model predict treasury returns?","authors":"Riccardo Rebonato ,&nbsp;Ken Nyholm","doi":"10.1016/j.jempfin.2025.101650","DOIUrl":"10.1016/j.jempfin.2025.101650","url":null,"abstract":"<div><div>We explain why the Cochrane–Piazzesi (CP) model, which uses a single tent-shaped linear combination of forward rates, is so effective at predicting bond excess returns. By using a novel statistical test coupled with a popular resampling technique, first we rule out the possibility that the high predictability may be an artefact of in-sample overfitting. Then we find that, contrary to explanations proposed in the original CP paper, neither the specific tent shape of the factor loadings nor the four-to-five-year yield spread are essential for the model’s predictive power. Instead, our analysis suggests that the predictive power of the CP model lies in its ability to identify the cointegration relationship among the quasi-unit-root forward rate regressors needed to produce the stationary process of excess returns. To support this interpretation we show that cointegration relationships among forward rates directly provide strong predictors of excess returns, and we propose that the cointegration modes of attraction generate at least part of the excess returns. Our findings shed new light on the source of bond return predictability captured by the CP factor and highlight the link between cointegration properties and the dynamics of yields.<span><span><sup>1</sup></span></span></div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101650"},"PeriodicalIF":2.4,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145097580","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
Economic aggregation of return signals in global markets 全球市场回报信号的经济聚合
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-12-01 Epub Date: 2025-10-10 DOI: 10.1016/j.jempfin.2025.101663
Mengmeng Dong
{"title":"Economic aggregation of return signals in global markets","authors":"Mengmeng Dong","doi":"10.1016/j.jempfin.2025.101663","DOIUrl":"10.1016/j.jempfin.2025.101663","url":null,"abstract":"<div><div>I provide novel evidence supporting the robust predictability of the “signal zoo” by clustering and aggregating 84 signals based on economic similarity. Economic clusters not only exhibit high (low) within-cluster (between-cluster) signal correlations — comparable to <span><math><mi>k</mi></math></span>-means clusters — but also produce composites that non-redundantly explain the cross-section of U.S. stock returns. All composites exhibit robust predictability in the U.S. and certain evidence in the global regions. Subsample and long-run return tests suggest that predictability primarily arises from risk, except for momentum, which is driven by mispricing. Composites generally outperform an average-signal strategy due to their superior ability to identify less noisy stocks.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101663"},"PeriodicalIF":2.4,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145267521","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
Household debt overhang and bankruptcy abuse prevention 家庭债务积压和防止破产滥用
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-12-01 Epub Date: 2025-10-05 DOI: 10.1016/j.jempfin.2025.101665
Yunqi Zhang , Yu Meng , Xiaoyu Zhang
{"title":"Household debt overhang and bankruptcy abuse prevention","authors":"Yunqi Zhang ,&nbsp;Yu Meng ,&nbsp;Xiaoyu Zhang","doi":"10.1016/j.jempfin.2025.101665","DOIUrl":"10.1016/j.jempfin.2025.101665","url":null,"abstract":"<div><div>Bankruptcy abuse prevention has been criticized for <em>increasing</em> foreclosure rates, imposing negative impacts on housing markets, and aggravating the financial crisis. By contrast, this paper documents that bankruptcy abuse prevention <em>reduces</em> household debt overhang, a phenomenon harmful to home values and housing markets. Using a difference-in-differences analysis, we find that households in recourse states increased their home improvement and maintenance expenditures after the Bankruptcy Abuse Prevention and Consumer Protection Act, a period during which the households paid considerable attention to the downside risk of the housing market, and that the effects vary by home equity level. The results remain unchanged with alternative specifications and cannot be explained by credit changes, judicial and nonjudicial foreclosures, homestead exemption, house sales, or heterogeneous expectations. Last but not least, we use entropy balancing to eliminate the differences between the treatment and control groups and get similar results.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101665"},"PeriodicalIF":2.4,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145568542","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
Momentum is still there conditional on volatility-amplified pessimism 动能仍在，但前提是波动性放大的悲观情绪
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-12-01 Epub Date: 2025-09-17 DOI: 10.1016/j.jempfin.2025.101653
Soroush Ghazi , Mark Schneider , Jack Strauss
{"title":"Momentum is still there conditional on volatility-amplified pessimism","authors":"Soroush Ghazi ,&nbsp;Mark Schneider ,&nbsp;Jack Strauss","doi":"10.1016/j.jempfin.2025.101653","DOIUrl":"10.1016/j.jempfin.2025.101653","url":null,"abstract":"<div><div>We present a representative agent model with probability weighting that predicts expected momentum returns decrease in market volatility and pessimism, and predicts the opposite for the equity premium. Hence, the model predicts that the expected market and momentum returns move in opposite directions and can be used to form a dynamic hedging strategy that conditions on market volatility and market pessimism. Our asset pricing model motivates an index of volatility-amplified pessimism (VAP) that predicts both momentum and market returns as well as a real-time trading strategy that uses the index to switch between the market and momentum portfolios. In high VAP states, the market generates high returns and Sharpe ratios, while momentum generates high returns and Sharpe ratios in low VAP states. Although most momentum strategies have recently disappeared we find that momentum is still there, conditional on the interaction between market pessimism and market volatility.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101653"},"PeriodicalIF":2.4,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145097593","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
Insider trading and anomalies 内幕交易和异常情况
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-12-01 Epub Date: 2025-10-16 DOI: 10.1016/j.jempfin.2025.101666
Jiaxing Tian , Hong Xiang , Minghai Xu
{"title":"Insider trading and anomalies","authors":"Jiaxing Tian ,&nbsp;Hong Xiang ,&nbsp;Minghai Xu","doi":"10.1016/j.jempfin.2025.101666","DOIUrl":"10.1016/j.jempfin.2025.101666","url":null,"abstract":"<div><div>We show that the insider trading pattern on anomaly long-short portfolio stocks can forecast anomaly returns. Specifically, we use the fraction of anomaly long-leg (short-leg) stocks being bought (sold) by insiders as a signal to extract insiders’ information on expected returns of the anomaly. Based on a composite anomaly measure that combines 11 prominent anomalies, we show that the insider trading signal significantly forecasts anomaly returns both in-sample and out-of-sample. These findings also help disentangle the risk-based and the mispricing-based explanations for anomaly returns.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101666"},"PeriodicalIF":2.4,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145321572","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
Bank dividends, interest expenses, and leverage 银行分红、利息支出和杠杆
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-12-01 Epub Date: 2025-11-01 DOI: 10.1016/j.jempfin.2025.101667
Pierluca Pannella
{"title":"Bank dividends, interest expenses, and leverage","authors":"Pierluca Pannella","doi":"10.1016/j.jempfin.2025.101667","DOIUrl":"10.1016/j.jempfin.2025.101667","url":null,"abstract":"<div><div>This paper documents that the dividend payout ratios of larger US banks rise when interest rates increase. To account for this pattern, I develop a model of optimal investment and deposit issuance under a risk-based constraint. Smaller banks primarily generate profits from the Fed funds-deposit spread, which typically widens with higher rates. Larger banks, by contrast, hold a greater share of risky assets and keep government bonds mainly as precautionary buffers. In high-interest-rate environments, these larger banks see only a modest increase in profitability. Consequently, they have weaker incentives to expand their investments and instead opt to reduce their buffer of safe assets to distribute higher dividends. Empirical evidence on payout behavior and leverage across banks that gain different shares of income from government bonds aligns with the prediction of the model. The findings highlight the importance of monitoring banks’ payout and leverage during periods of rising interest rates.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101667"},"PeriodicalIF":2.4,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145516363","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 unified duration-based explanation of the value, profitability, and investment anomalies 对价值、盈利能力和投资异常进行统一的基于持续时间的解释
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-12-01 Epub Date: 2025-09-13 DOI: 10.1016/j.jempfin.2025.101645
Shan Chen , Tao Li
{"title":"A unified duration-based explanation of the value, profitability, and investment anomalies","authors":"Shan Chen ,&nbsp;Tao Li","doi":"10.1016/j.jempfin.2025.101645","DOIUrl":"10.1016/j.jempfin.2025.101645","url":null,"abstract":"<div><div>Two duration factors that arise from the downward-sloping term structure of equity returns explain the value, profitability, and investment premiums. One factor captures the spread of returns between short and long durations, and the other measures the difference in risk premiums associated with duration transitions. These duration effects jointly subsume the explanatory power of the value, profitability, and investment in the cross-section of equity returns. Our study shows that these three and other related anomalies can be unified in a risk-based framework. These anomalies may arise from the dynamic relations between firms’ durations and their fundamentals.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101645"},"PeriodicalIF":2.4,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145061350","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 stock return predictability of treasury bond yield in China 中国国债收益率的股票收益可预测性
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-12-01 Epub Date: 2025-09-16 DOI: 10.1016/j.jempfin.2025.101654
Han Zhang , Xiong Xiong , Bin Guo
{"title":"The stock return predictability of treasury bond yield in China","authors":"Han Zhang ,&nbsp;Xiong Xiong ,&nbsp;Bin Guo","doi":"10.1016/j.jempfin.2025.101654","DOIUrl":"10.1016/j.jempfin.2025.101654","url":null,"abstract":"<div><div>We provide empirical evidence that the average treasury bond yield across one- to ten-year maturities can negatively predict stock returns in the Chinese stock market. The substantial predictive power of bond yield underscores that the flight-to-safety effect associated with treasury bonds plays a predominant role in driving this predictive relationship. However, we find that bond yield does not operate as a systematic risk factor that explains cross-sectional variations in average stock returns, suggesting that it does not qualify as a state variable within the intertemporal capital asset pricing model framework proposed by Merton (1973). Using an affine market price of risk model, we demonstrate that the average bond yield serves as a pivotal determinant of the time-varying pattern of market prices for the market excess return factor, thereby establishing the theoretical foundation for its predictive power regarding stock returns.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101654"},"PeriodicalIF":2.4,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145097592","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
Managerial job security and firm diversification 管理工作保障与企业多元化
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-12-01 Epub Date: 2025-09-02 DOI: 10.1016/j.jempfin.2025.101646
Ziwen Bu , Suyang Li , Rongbing Xiao
{"title":"Managerial job security and firm diversification","authors":"Ziwen Bu ,&nbsp;Suyang Li ,&nbsp;Rongbing Xiao","doi":"10.1016/j.jempfin.2025.101646","DOIUrl":"10.1016/j.jempfin.2025.101646","url":null,"abstract":"<div><div>We analyze the effects of managerial job security on firm diversification. Our results indicate that enacting legal protection for managers’ employment is conducive to less corporate diversification. Our findings suggest that, in relation to managerial entrenchment and empire-building theories, hedging against employment risk is more likely to be the primary factor for managers when deciding to conduct firm diversification. Consistent with the explanation of agency theory in relation to firm diversification, we also document that refocusing firms increase firm value after enacting the implied-contract exception. The incremental firm value likely reflects the improved efficiency of capital allocation across divisions, as we find that firms increase the efficiency of their capital allocation after the adoption of the law.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"84 ","pages":"Article 101646"},"PeriodicalIF":2.4,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145097581","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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