Journal of Empirical Finance最新文献

{"title":"Inverted vs maker-taker routing choice and trader information","authors":"Ryan Garvey ,&nbsp;Yaohua Qin","doi":"10.1016/j.jempfin.2024.101530","DOIUrl":"10.1016/j.jempfin.2024.101530","url":null,"abstract":"<div><p>We examine U.S. equity trader use of inverted versus maker-taker venues. Inverted (maker-taker) venues charge fees for maker (taker) executions and pay rebates for taker (maker) executions. Researchers argue maker fee orders can be used to front run same price maker rebate orders. We find maker fee orders are often routed with the intent to set market prices. They execute quicker and are more informed than maker rebate orders. Conversely, taker rebate orders execute slower and are less informed than taker fee orders. Our results suggest that maker and taker fee orders are more likely to convey information.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101530"},"PeriodicalIF":2.1,"publicationDate":"2024-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142040947","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}

{"title":"The value of information in China’s connected market","authors":"Keqi Chen ,&nbsp;Yuehan Wang ,&nbsp;Xiaoquan Zhu","doi":"10.1016/j.jempfin.2024.101526","DOIUrl":"10.1016/j.jempfin.2024.101526","url":null,"abstract":"<div><p>The paper studies the role of information in cross-border trading by using the Stock Connect as a novel laboratory. We present evidence that northbound investors have an additional informational advantage over domestic institutional investors regarding firm fundamentals. A long-short strategy earns an average weekly return of 0.34% after adjusting for the Chinese three-factor model. Furthermore, the information advantage of northbound investors is likely to work to a greater effect in asymmetric information environments. Additionally, northbound flows are useful in explaining the subsequent trading activities of domestic investors, which becomes more salient over time and among firms experiencing more attention-induced copycat trading.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101526"},"PeriodicalIF":2.1,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141978249","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}

{"title":"The aftermath of covenant violations: Evidence from China's corporate debt securities","authors":"Guang Xu ,&nbsp;Xiaoyan Zhang","doi":"10.1016/j.jempfin.2024.101528","DOIUrl":"10.1016/j.jempfin.2024.101528","url":null,"abstract":"<div><p>We document a sharp and persistent decline in bond issuances following covenant violations also called technical defaults. However, we find no evidence that firms’ investment and performance change after technical defaults. Furthermore, we document that most of the technical defaults are waived off by bondholders through the debenture holders’ meetings. Although covenants serve as tripwires for renegotiation between bond issuers and investors, control rights are rarely transferred from shareholders to bond investors following technical defaults.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101528"},"PeriodicalIF":2.1,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141963261","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}

{"title":"In the mood for creativity: Sunshine-induced mood, inventor performance, and firm value","authors":"Yangyang Chen ,&nbsp;Po-Hsuan Hsu ,&nbsp;Edward J. Podolski ,&nbsp;Madhu Veeraraghavan","doi":"10.1016/j.jempfin.2024.101527","DOIUrl":"10.1016/j.jempfin.2024.101527","url":null,"abstract":"<div><p>We investigate how firm value may be related to emotional and mental states of innovative workers via the innovation channel. By analyzing a comprehensive inventor-level dataset, we discover that the economic value inventors produce for their firms through their patenting activity is positively associated with their sunshine-induced mood. This augmentation in patent value is not due to a surge in the quantity of patents, but rather to the heightened significance and influence of the created inventions. These inventor-level observations aggregate to the firm level. The observed sunshine-enhanced effect is of a magnitude comparable to other primary behavioral drivers of innovation outcomes, such as CEO overconfidence and CEO thrill-seeking tendencies. Our research underscores the significance of the emotional and psychological states of innovative personnel that has implications for managers and shaerholders.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101527"},"PeriodicalIF":2.1,"publicationDate":"2024-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141931306","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}

{"title":"A portfolio-level, sum-of-the-parts approach to return predictability","authors":"Hongyi Xu ,&nbsp;Dean Katselas ,&nbsp;Jo Drienko","doi":"10.1016/j.jempfin.2024.101525","DOIUrl":"10.1016/j.jempfin.2024.101525","url":null,"abstract":"<div><p>Existing research on return predictability traditionally employs aggregate, market-level information. To investigate the applicability of return predictability at a finer level, we examine out-of-sample time-series return predictability at the characteristic-based portfolio level, using predictive regressions with portfolio-level predictors and a <em>sum-of-the-parts</em> approach. In addition to rejecting the null of no predictability at the market level, we detect statistically and economically significant out-of-sample predictability amongst particular portfolios. Notably, we show that large growth portfolios exhibit return predictability, consistent with predictions drawn from prior literature, while we fail to consistently detect predictability for all remaining size and book-to-market portfolios. Our results reveal a significant (relative) forecast error R-squared of 0.65 % for large-growth stocks, translating into an annualised certainty equivalent gain of 1.37 %.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101525"},"PeriodicalIF":2.1,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141849384","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}

{"title":"Forecasting realized volatility: Does anything beat linear models?","authors":"Rafael R. Branco ,&nbsp;Alexandre Rubesam ,&nbsp;Mauricio Zevallos","doi":"10.1016/j.jempfin.2024.101524","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101524","url":null,"abstract":"<div><p>We evaluate the performance of several linear and nonlinear machine learning (ML) models in forecasting the realized volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a dataset that includes past values of the RV and additional predictors, including lagged returns, implied volatility, macroeconomic and sentiment variables. We compare these models to widely used heterogeneous autoregressive (HAR) models. Our main conclusions are that (i) the additional predictors improve the out-of-sample forecasts at the daily and weekly forecast horizons; (ii) we find no evidence that nonlinear ML models can statistically outperform linear models in general; and (iii) in terms of the economic value that an investor would derive from monthly RV forecasts to build volatility-timing portfolios, simpler models without additional predictors work better.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101524"},"PeriodicalIF":2.1,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141483919","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}

{"title":"Betting on success: Unveiling the role of local gambling culture in equity crowdfunding","authors":"Hui-Ching Hsieh,&nbsp;Dat Thanh Nguyen,&nbsp;Thien Le-Hoang Nguyen","doi":"10.1016/j.jempfin.2024.101521","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101521","url":null,"abstract":"<div><p>This study explores how local gambling culture, as measured by state-level religious composition, influences equity crowdfunding success. Our research uncovers a positive relationship between local gambling culture and equity crowdfunding success, driven by the state's innovation propensity. We also shed light on the positive effect of local gambling culture on firms’ document amendment behaviors, influenced by state regulation restrictions. Further analyses indicate that firms’ ownership structure moderates the positive relationships between local gambling culture and both equity crowdfunding success and document amendment behaviors. Our study centers on equity crowdfunding, demonstrating the important role of local gambling culture in determining entrepreneurial fundraising outcomes.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101521"},"PeriodicalIF":2.6,"publicationDate":"2024-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141325826","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}

{"title":"The correlated trading and investment performance of individual investors","authors":"Wei-Yu Kuo ,&nbsp;Tse-Chun Lin ,&nbsp;Jing Zhao","doi":"10.1016/j.jempfin.2024.101522","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101522","url":null,"abstract":"<div><p>Individual investors tend to trade in the same direction as other individual investors in the same broker branch. The more pronounced an individual investor's herding behavior, the worse his/her investment performance. We find that the limit orders of herding investors have a lower execution ratio, a longer time-to-execution, and a higher probability of being picked up by institutional investors, indicating that their orders are subject to the pick-off risk as they face fierce execution competition and tend to become stale after submissions. Finally, we find that individual investors learn from experience and herd less in the future.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101522"},"PeriodicalIF":2.1,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141480944","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}

{"title":"Does carbon risk exposure make funds more vulnerable?","authors":"Hu Wang","doi":"10.1016/j.jempfin.2024.101523","DOIUrl":"10.1016/j.jempfin.2024.101523","url":null,"abstract":"<div><p>How carbon risk exposure affects fund vulnerability is an important and unexplored topic. On this basis, I explore the impact of the carbon risk exposure of funds on their vulnerability. I find that funds with higher carbon risk exposure are more vulnerable. I further investigate the mechanism by which the carbon risk exposure of funds affects their vulnerability and verify the fund flow correlation and fund portfolio liquidity channels. I find that the increase in the carbon risk exposure of funds increases flow correlation and reduces portfolio liquidity, thereby increasing their vulnerability. The heterogeneity analysis results also highlight the greater impact of carbon risk exposure on the vulnerability of funds with poor social responsibility performance and higher portfolio concentration.</p><p>G11; G12; G23</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101523"},"PeriodicalIF":2.6,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141402838","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}

{"title":"Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models","authors":"Katja Ignatieva,&nbsp;Patrick Wong","doi":"10.1016/j.jempfin.2024.101519","DOIUrl":"10.1016/j.jempfin.2024.101519","url":null,"abstract":"<div><p>This paper investigates the dynamics of the United States oil (USO) exchange traded fund (ETF). Daily USO returns are modelled using stochastic volatility (SV) frameworks derived from three different model classes: SV models with contemporaneous jumps in returns and volatility (SVCJ); SV model with jumps in returns only (SVJ); and a pure SV model class without jumps. Six affine and non-affine models are considered within each model class that depend on specification of the drift and the diffusion terms in the variance process, resulting in a total of 18 models that are estimated using particle Markov Chain Monte Carlo (PMCMC) approach. Model evaluation is conducted using the Deviance Information Criterion (DIC), Bayes factors, probability plots, and deviation measures to assess the discrepancy between the estimated volatility and key benchmarks, the crude oil ETF volatility index (OVX) and the realised volatility (RV). Our analysis indicates that models incorporating jumps, particularly the SVCJ-PLY-0.5 and SVCJ-PLY-1.0, more accurately capture USO dynamics than standard SV models. The SVCJ-PLY-0.5 model ranks highest based on DIC statistics and Bayes factors, and both models excel in aligning their estimated volatility with the OVX and RV benchmarks. Overall, the statistical criteria employed in our comparison favour models with jumps over the standard SV model class, suggesting that models incorporating jumps in both return and variance processes (SVCJ) are superior to those with jumps solely in the return process (SVJ). The affine models SVJ-LIN-0.5 and SVCJ-LIN-0.5 with linear variance drift and square root diffusion that are particularly interesting for theoretical finance applications are highly ranked among considered frameworks, outperforming several non-affine alternatives. Our analysis of the regression model for volatility forecasting reveals a significant predictive accuracy in the evaluated models, demonstrating their effectiveness in anticipating future volatility trends.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101519"},"PeriodicalIF":2.6,"publicationDate":"2024-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539824000549/pdfft?md5=94a378f12e4d90ee28ed7269c27762d6&pid=1-s2.0-S0927539824000549-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141391288","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}