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Technological shocks and stock market volatility over a century 一个世纪以来的技术冲击和股市波动
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-10-25 DOI: 10.1016/j.jempfin.2024.101561
Afees A. Salisu , Riza Demirer , Rangan Gupta
{"title":"Technological shocks and stock market volatility over a century","authors":"Afees A. Salisu ,&nbsp;Riza Demirer ,&nbsp;Rangan Gupta","doi":"10.1016/j.jempfin.2024.101561","DOIUrl":"10.1016/j.jempfin.2024.101561","url":null,"abstract":"<div><div>This paper provides a novel perspective on the innovation-stock market nexus by examining the predictive relationship between technological shocks and stock market volatility using data over a period of more than 140 years. Utilizing annual patent data for the U.S. and a large set of economies to create proxies for local and global technological shocks and a mixed-sampling data (MIDAS) framework, we present robust evidence that technological shocks capture significant predictive information regarding future realizations of stock market volatility, both in- and out-of-sample and at both the short and long forecast horizons. Further economic analysis shows that investment portfolios created by the volatility forecasts obtained from the forecasting models that incorporate technological shocks as predictors in volatility models experience significantly lower return volatility in the out-of-sample horizons, which in turn helps to improve the risk-return profile of those portfolios. Our findings present a novel take on the nexus between technological innovations and stock market dynamics and pave the way for several interesting avenues for future research regarding the role of technological innovations on asset pricing tests and portfolio models.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101561"},"PeriodicalIF":2.1,"publicationDate":"2024-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142571895","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
Is firm-level political risk priced in the corporate bond market? 公司层面的政治风险是否已在公司债券市场上定价？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-10-24 DOI: 10.1016/j.jempfin.2024.101562
Luis Ceballos , Vanja Piljak , Laurens Swinkels
{"title":"Is firm-level political risk priced in the corporate bond market?","authors":"Luis Ceballos ,&nbsp;Vanja Piljak ,&nbsp;Laurens Swinkels","doi":"10.1016/j.jempfin.2024.101562","DOIUrl":"10.1016/j.jempfin.2024.101562","url":null,"abstract":"<div><div>We investigate whether political risk is priced in the cross-section of corporate bond returns by using a text-based measure of firm-level political risk. We document a positive and significant political risk premium after controlling for bond and firm characteristics, conventional risk factors, and exposure to aggregate economic policy uncertainty. Bonds with higher political and credit risk, as well as smaller, more illiquid, and longer maturity corporate bonds exhibit a larger political risk premium. Time-series analysis indicates that monetary policy shocks and common shocks in the equity and bond market exhibit a statistically significant and positive association with the political risk premium. Our findings reveal the importance of idiosyncratic political risk beyond common risk factors and aggregate economic policy uncertainty.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101562"},"PeriodicalIF":2.1,"publicationDate":"2024-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142571894","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
Are stablecoins the money market mutual funds of the future? 稳定币是未来的货币市场共同基金吗？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-10-22 DOI: 10.1016/j.jempfin.2024.101557
Nico Oefele, Dirk G. Baur, Lee A. Smales
{"title":"Are stablecoins the money market mutual funds of the future?","authors":"Nico Oefele,&nbsp;Dirk G. Baur,&nbsp;Lee A. Smales","doi":"10.1016/j.jempfin.2024.101557","DOIUrl":"10.1016/j.jempfin.2024.101557","url":null,"abstract":"<div><div>This paper is the first to provide a comprehensive comparison of two financial instruments: stablecoins and money market mutual funds (MMFs). We observe similar reserve asset backing for fiat reserve backed (FRB) stablecoins and MMFs, similar importance of sponsor support, and the same negative association between macroeconomic indicators and peg deviations. Both instruments serve as short-term facilities for investors to park funds and their primary market microstructure is similar. However, FRB stablecoins exhibit larger dispersions from the dollar peg, significantly higher volatility, and a lack of transparency in their market infrastructure. Larger FRB stablecoins show reduced volatility compared to their smaller counterparts, with peg deviation drivers more closely resembling those of MMFs. We conclude that FRB stablecoins demonstrate remarkable similarities to MMFs and have the potential to become the MMFs of the future.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101557"},"PeriodicalIF":2.1,"publicationDate":"2024-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653724","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
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
{"title":"Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?","authors":"Marie Dutordoir ,&nbsp;Joshua Shemesh ,&nbsp;Chris Veld ,&nbsp;Qing Wang","doi":"10.1016/j.jempfin.2024.101558","DOIUrl":"10.1016/j.jempfin.2024.101558","url":null,"abstract":"<div><div>We document substantial increases in corporate security offerings during the COVID pandemic. While the increase in seasoned equity offerings (SEOs) can be attributed to shifts in macroeconomic conditions, increases in convertible and straight bond offerings cannot be explained by standard security choice determinants. We furthermore find that COVID-period SEO announcements are often contaminated with Research and Development (R&amp;D)-related news, with the SEO proceeds more likely to be hoarded as cash. Overall, COVID-period SEOs align with market timing behavior, but the increase in COVID-period convertibles and straight bonds cannot be reconciled with pre-pandemic corporate financing rationales or government interventions. We furthermore demonstrate that the COVID pandemic differs substantially from the Global Financial Crisis (GFC) in terms of security offering choices and announcement returns.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101558"},"PeriodicalIF":2.1,"publicationDate":"2024-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142553629","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
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 ,&nbsp;Chris Stivers ,&nbsp;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
{"title":"Financial statement disaggregation and bank loan pricing","authors":"Chien-Lin Lu ,&nbsp;Chih-Yung Lin ,&nbsp;Tse-Chun Lin ,&nbsp;Bin Miao","doi":"10.1016/j.jempfin.2024.101555","DOIUrl":"10.1016/j.jempfin.2024.101555","url":null,"abstract":"<div><div>We analyze whether the disaggregation quality (DQ) of a borrower's financial statement is associated with its bank loan pricing. We find that firms with high DQ have low spreads on their bank loans. This result is more pronounced for firms with positive financial prospects, higher risk, and no prior banking relationship with the lenders. Moreover, a high DQ is associated with a low total cost of borrowing, high credit rating, and low spreads on bond issues. Overall, our results show that disaggregated financial statements facilitate bank loan pricing by enabling lenders to make better predictions of their borrowers’ future performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101555"},"PeriodicalIF":2.1,"publicationDate":"2024-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142424067","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
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
{"title":"Local labor market and corporate investment","authors":"Yao Ge ,&nbsp;Wei Huang ,&nbsp;Zheng Qiao ,&nbsp;Hao Zheng","doi":"10.1016/j.jempfin.2024.101554","DOIUrl":"10.1016/j.jempfin.2024.101554","url":null,"abstract":"<div><div>To capture local labor market pooling in agglomeration economics, we employ segment information and occupation statistics to construct firm-pair labor force similarities. Our findings indicate a positive relation between local labor market thickness and corporate investment, influenced by both employer-driven labor demand and employee-driven labor supply. The findings are more pronounced in firms with more skilled labor, less routine-task labor, and higher product and technology competitions. Firms in thicker local labor markets also display higher investment efficiency, higher operating efficiency, and higher valuation. To mitigate the endogeneity concern, we employ an instrumental variable approach to show robustness. Overall, we uncover a specific linkage between the local labor market and corporate investment.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101554"},"PeriodicalIF":2.1,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142315743","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
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
{"title":"How does bank opacity affect credit growth and return predictability?","authors":"Arpit Kumar Parija,&nbsp;Malvika Chhatwani","doi":"10.1016/j.jempfin.2024.101553","DOIUrl":"10.1016/j.jempfin.2024.101553","url":null,"abstract":"<div><div>Prior research finds that bank credit growth predicts lower bank equity returns in subsequent one to three years. Stocks of banks with high credit growth are initially overvalued because of overoptimism or elevated sentiment of bank shareholders. Eventually, these stocks underperform, generating lower returns. We argue that shareholder sentiment should exhibit its strongest effects on the performance of bank stocks when banks are opaque, or there is uncertainty about the quality of bank loans. Accordingly, we show that an increase in bank’s financial reporting opacity amplifies the predictive ability of credit growth for equity returns by 3 to 4 times relative to when opacity is at its mean.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101553"},"PeriodicalIF":2.1,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142319876","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
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
{"title":"Stock price synchronicity and stock liquidity: International evidence","authors":"Paul Brockman ,&nbsp;Tung Lam Dang ,&nbsp;Thu Phuong Pham","doi":"10.1016/j.jempfin.2024.101541","DOIUrl":"10.1016/j.jempfin.2024.101541","url":null,"abstract":"<div><p>We examine the relationship between stock price synchronicity and stock liquidity using a comprehensive data set across 40 countries. Our <em>local</em> (within-country) empirical results reveal a positive relationship between local synchronicity and stock liquidity. The strength of this positive relationship depends on the quality of country-level institutions; the weaker the institutional environment, the stronger the synchronicity-liquidity relationship. Importantly, our <em>global</em> (across-country) findings mirror those at the local level. Overall, our study provides a comprehensive analysis of the synchronicity-liquidity relationship at both the local and global levels. In addition, our cross-sectional analyses provide new evidence on the institutional determinants of this relationship.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101541"},"PeriodicalIF":2.1,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142228803","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
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 ,&nbsp;Gonul Colak ,&nbsp;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
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