发布求助
文献互助 智能选刊 最新文献

Journal of Empirical Finance最新文献

筛选
英文 中文
Do investors reach for yield? Evidence from corporate bond mutual fund flows 投资者追求收益吗？来自公司债券共同基金流动的证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-06-11 DOI: 10.1016/j.jempfin.2025.101625
Jing-Zhi Huang , Peipei Li , Ying Wang , Yuan Wang , Xiangkun Yao , Licheng Zhang
{"title":"Do investors reach for yield? Evidence from corporate bond mutual fund flows","authors":"Jing-Zhi Huang ,&nbsp;Peipei Li ,&nbsp;Ying Wang ,&nbsp;Yuan Wang ,&nbsp;Xiangkun Yao ,&nbsp;Licheng Zhang","doi":"10.1016/j.jempfin.2025.101625","DOIUrl":"10.1016/j.jempfin.2025.101625","url":null,"abstract":"<div><div>This paper investigates the reaching-for-yield behavior of corporate bond mutual fund investors by analyzing how fund flows respond to changes in interest rates. We find that investment-grade (IG) bond funds experience increased inflows following lower interest rates, while high-yield (HY) bond funds show no significant response. Bond fund investors tend to seek higher yields during periods of lower interest rates by assuming greater interest rate risk through the purchase of longer-maturity IG funds, rather than by taking on additional credit risk. Our findings are robust to potential endogeneity concerns and alternative explanations—including investors’ flight-to-safety behavior, liquidity considerations, and fund managers’ skill—indicating that fund flows are primarily driven by investors’ reaching-for-yield behavior in response to expansionary monetary policy. Overall, this study advances the understanding of monetary policy transmission and its implications for financial stability in the corporate bond market.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101625"},"PeriodicalIF":2.1,"publicationDate":"2025-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144500851","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
(In)Attention: distracted shareholders and corporate innovation 注意力：分散的股东和企业创新
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-05-27 DOI: 10.1016/j.jempfin.2025.101634
Jing Zhao
{"title":"(In)Attention: distracted shareholders and corporate innovation","authors":"Jing Zhao","doi":"10.1016/j.jempfin.2025.101634","DOIUrl":"10.1016/j.jempfin.2025.101634","url":null,"abstract":"<div><div>Following Kempf et al. (2017), this study employs an identification strategy that exploits exogenous shocks to unrelated parts of institutional shareholders’ portfolios to measure “distraction.” I find institutional shareholder “distraction” significantly and positively affects future innovation output and input. This positive effect exhibits considerable cross-sectional and intertemporal heterogeneity. Further, the positive effect is stronger in firms where institutional shareholder monitoring is less important or efficient, or firms subject to greater managerial myopia. These include innovative firms, firms with lower product market competition, weaker managerial power and stronger monitoring, and lower institutional ownership such that any given distraction is more impactful. Consequently, distraction enhances shareholder value through its positive impact on innovation. Taken together, the evidence suggests that managers respond to reduced myopic pressures, induced by exogenous shocks to institutional investors’ portfolios that shift their attention away, by pursuing long-term, risky and value-increasing investments such as innovation. Potential limitations of this study and their implications for future research are also thoroughly discussed.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101634"},"PeriodicalIF":2.1,"publicationDate":"2025-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144563623","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 online inflation and term structure of interest rates: Evidence from China 高频在线通货膨胀与利率期限结构：来自中国的证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-05-23 DOI: 10.1016/j.jempfin.2025.101626
Tao Zhang , Ke Tang , Taoxiong Liu , Tingfeng Jiang
{"title":"High frequency online inflation and term structure of interest rates: Evidence from China","authors":"Tao Zhang ,&nbsp;Ke Tang ,&nbsp;Taoxiong Liu ,&nbsp;Tingfeng Jiang","doi":"10.1016/j.jempfin.2025.101626","DOIUrl":"10.1016/j.jempfin.2025.101626","url":null,"abstract":"<div><div>In the digital era, the information value of online prices, characterized by weak price stickiness and high sensitivity to economic shocks, deserves more attention. This paper integrates the high-frequency online inflation rate into the dynamic Nelson-Siegel (DNS) model to explore its relationship with the term structure of interest rates. The empirical results show that the weekly online inflation significantly predicts the yield curve, especially the slope factor, whereas the monthly official inflation cannot predict the yield curve and is instead predicted by the yield curve factors. The mechanism analysis reveals that, due to low price stickiness, online inflation is more sensitive to short-term economic fluctuations and better reflects money market liquidity, thereby having significant predictive power for short-term interest rates and the slope factor. Specifically, online inflation for non-durable goods and on weekdays shows stronger predictive power for the slope factor. The heterogeneity in price stickiness across these categories explains the varying impacts on the yield curve.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101626"},"PeriodicalIF":2.1,"publicationDate":"2025-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144170805","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
Credit distortions in Japanese momentum 日本势头中的信贷扭曲
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-05-17 DOI: 10.1016/j.jempfin.2025.101615
Sharon Y. Ross
{"title":"Credit distortions in Japanese momentum","authors":"Sharon Y. Ross","doi":"10.1016/j.jempfin.2025.101615","DOIUrl":"10.1016/j.jempfin.2025.101615","url":null,"abstract":"<div><div>Persistent credit distortions have warped equity returns in Japan, where decades of subsidized bank credit to “zombie firms” suppressed momentum premiums. Controlling for zombies revives Japan’s momentum effect: momentum earns significant alpha after adjusting for zombies, and momentum’s expected return and Sharpe ratio triple. The zombie-adjusted factor commands a positive price of risk, becomes unspanned by other factors, and aligns more closely with international patterns. Why? Zombies depend on forbearance from their banks, and zombie losers’ outsized betas to bank returns depress momentum. Analysis of syndicated loan data confirms that firms with forbearance-prone lenders drive Japan’s persistently low momentum returns.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101615"},"PeriodicalIF":2.1,"publicationDate":"2025-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144131312","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
Unlocking efficiency: How capital market liberalization shapes firm productivity 解锁效率：资本市场自由化如何塑造企业生产率
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-05-14 DOI: 10.1016/j.jempfin.2025.101624
Lu Jolly Zhou , Nan Deng , Chenchen Li
{"title":"Unlocking efficiency: How capital market liberalization shapes firm productivity","authors":"Lu Jolly Zhou ,&nbsp;Nan Deng ,&nbsp;Chenchen Li","doi":"10.1016/j.jempfin.2025.101624","DOIUrl":"10.1016/j.jempfin.2025.101624","url":null,"abstract":"<div><div>This study examines the granular impact of capital market liberalization on the real economy, utilizing the distinctive context of the Chinese market as a quasi-natural experimental setting. Our analysis demonstrates that capital market liberalization positively influences firm-level productivity. We further explore the mechanisms and provide empirical evidence that capital market liberalization improves asset pricing efficiency by enhancing informed trading effectiveness and rectifying stock mispricing. It also optimizes corporate governance from four distinct perspectives: mitigating agency costs, augmenting operational profitability, bolstering labor productivity, and enhancing transparency. These factors collectively contribute to improved productivity at the firm level, confirming the granular impact of financial liberalization in the product market.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101624"},"PeriodicalIF":2.1,"publicationDate":"2025-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144098664","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 system of time-varying models for predictive regressions 用于预测回归的时变模型系统
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-05-13 DOI: 10.1016/j.jempfin.2025.101622
Deshui Yu , Yayi Yan
{"title":"A system of time-varying models for predictive regressions","authors":"Deshui Yu ,&nbsp;Yayi Yan","doi":"10.1016/j.jempfin.2025.101622","DOIUrl":"10.1016/j.jempfin.2025.101622","url":null,"abstract":"<div><div>This paper proposes a system of time-varying models for predictive regressions, where a time-varying autoregressive (TV-AR) process is introduced to model the dynamics of the predictors and a linear control function approach is used to improve the estimation efficiency. We employ a profile likelihood estimation method to estimate both constant and time-varying coefficients and propose a hypothesis test to examine the parameter stability. We establish the asymptotic properties of the proposed estimators and test statistics accordingly. Monte Carlo simulations show that the proposed methods work well in finite samples. Empirically, the TV-AR process effectively approximates the time-series behavior of a broad set of potential predictors. Furthermore, we reject the stability assumption of predictive models for more than half of these predictors. Finally, the linear projection method not only improves estimator efficiency but also enhances out-of-sample forecasting performance, leading to significant utility gains in forecasting experiments.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101622"},"PeriodicalIF":2.1,"publicationDate":"2025-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143937810","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 robust latent factor model for high-dimensional portfolio selection 高维投资组合选择的稳健潜在因素模型
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-05-13 DOI: 10.1016/j.jempfin.2025.101623
Fangquan Shi , Lianjie Shu , Xinhua Gu
{"title":"A robust latent factor model for high-dimensional portfolio selection","authors":"Fangquan Shi ,&nbsp;Lianjie Shu ,&nbsp;Xinhua Gu","doi":"10.1016/j.jempfin.2025.101623","DOIUrl":"10.1016/j.jempfin.2025.101623","url":null,"abstract":"<div><div>Portfolio selection, faced with large volatile data sets of strongly correlated asset returns, is prone to unstable portfolio weights and serious estimation error. To attenuate this problem, our work proposes a new latent factor model equipped with both a suitable robust estimator to deal with cellwise data contamination and a diagonally-dominant (DD) covariance structure to account for cross-sectional dependence among residual returns. The proposed robust DD model is found to compare favorably with various competitors from the literature in terms of out-of-sample portfolio performance across real-world data sets.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101623"},"PeriodicalIF":2.1,"publicationDate":"2025-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144139764","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
Portfolio optimization with estimation errors—A robust linear regression approach 具有估计误差的投资组合优化——一种鲁棒线性回归方法
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-05-08 DOI: 10.1016/j.jempfin.2025.101619
Yilin Du , Wenfeng He , Xiaoling Mei
{"title":"Portfolio optimization with estimation errors—A robust linear regression approach","authors":"Yilin Du ,&nbsp;Wenfeng He ,&nbsp;Xiaoling Mei","doi":"10.1016/j.jempfin.2025.101619","DOIUrl":"10.1016/j.jempfin.2025.101619","url":null,"abstract":"<div><div>Covariance and precision matrices of asset returns are unknown in practice and must be estimated in minimum variance portfolio optimizations. Although a variety of estimators have been proposed that give better out-of-sample performance than the sample covariance matrix, they nevertheless contain estimation error of the type that is most likely to disrupt the optimizer. In this study, we propose a robust optimization framework to tackle the estimation error issue. Rather than the sample covariance matrix, as is the case with the existing approaches, our framework focuses on the row sums of estimates of the precision matrix, which can greatly minimize the number of unknown parameters. A robust linear regression framework is developed to tackle the estimate error by first rewriting the portfolio optimization as a least-squares regression model. Furthermore, our results on both simulated and empirical data reveal that the suggested robust portfolios are more stable and perform better out-of-sample than existing estimators in general.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101619"},"PeriodicalIF":2.1,"publicationDate":"2025-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143942185","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 role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 宏观金融因素在股票市场波动预测中的作用：一个潜在阈值动态模型
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-05-07 DOI: 10.1016/j.jempfin.2025.101620
John M. Maheu , Azam Shamsi Zamenjani
{"title":"The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model","authors":"John M. Maheu ,&nbsp;Azam Shamsi Zamenjani","doi":"10.1016/j.jempfin.2025.101620","DOIUrl":"10.1016/j.jempfin.2025.101620","url":null,"abstract":"<div><div>Measuring, modeling, and forecasting volatility are of great importance in financial applications such as asset pricing, portfolio management, and risk management. In this paper, we investigate predictability of stock market volatility by macro-finance variables in a dynamic regression framework using latent thresholding. The latent threshold models allow data-driven shrinkage of regression coefficients by collapsing them to zero for irrelevant predictor variables and allowing for time-varying nonzero coefficients when supported by the data. This is a parsimonious framework which selects what potential predictor variables should be included in the regressions and when. We extend this model to allow for stochastic volatility for realized volatility innovations and discuss Bayesian estimation methods. We apply the models to monthly S&amp;P 500 and NASDAQ 100 volatility and find that using macro-finance variables in volatility forecasts enhances model performance statistically and economically, particularly when we allow for dynamic inclusion/exclusion of these variables.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101620"},"PeriodicalIF":2.1,"publicationDate":"2025-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144072372","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 economic value of equity implied volatility forecasting with machine learning 用机器学习预测股票隐含波动率的经济价值
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-05-06 DOI: 10.1016/j.jempfin.2025.101618
Paul Borochin , Yanhui Zhao
{"title":"The economic value of equity implied volatility forecasting with machine learning","authors":"Paul Borochin ,&nbsp;Yanhui Zhao","doi":"10.1016/j.jempfin.2025.101618","DOIUrl":"10.1016/j.jempfin.2025.101618","url":null,"abstract":"<div><div>We evaluate the importance of nonlinear and interactive effects in implied volatility innovation forecasting by comparing the performance of machine learning models that can search for interactive effects relative to classical ones that cannot, measuring the economic significance of these predictions in cross-sectional and time series pricing tests of delta-hedged option returns. Machine learning models offer superior out of sample performance. Since the predictive variables are the same across all models, these performance differences likely capture the value of nonlinear and interactive effects in implied volatility forecasts. Our results are robust to look-ahead bias and model overfitting.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101618"},"PeriodicalIF":2.1,"publicationDate":"2025-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143923621","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信