Journal of Empirical Finance最新文献_第4页

Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model 金融波动预测：基于长记忆随机区间模型的帕金森波动测度方法

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-05-05 DOI: 10.1016/j.jempfin.2025.101617

Zhi De Khoo , Kok Haur Ng , You Beng Koh , Kooi Huat Ng

{"title":"Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model","authors":"Zhi De Khoo , Kok Haur Ng , You Beng Koh , Kooi Huat Ng","doi":"10.1016/j.jempfin.2025.101617","DOIUrl":"10.1016/j.jempfin.2025.101617","url":null,"abstract":"<div><div>This paper proposes a long memory stochastic range (LMSR) model to investigate the persistence of range-based volatility series. The latent variable in the LMSR model is derived from the established autoregressive fractionally integrated moving average process. To estimate the model parameters, there is no closed-form solution for the latent process. Hence, the parameters of the stochastic model are estimated by applying the quasi-maximum likelihood method via the Whittle approximation. A comprehensive simulation study assesses the method’s performance, with results showing that estimated parameters are close to true values and precision improves with longer simulated time series lengths. To demonstrate the applicability of the model, we conducted empirical studies based on four financial assets, and their volatilities are estimated directly using the range-based Parkinson (PK) volatility measure. The results show evidence of long memory in these volatility series using the rescaled range and Geweke-Porter-Hudak methods. We fit the resulting PK volatility estimates to the LMSR model and other competing volatility models, and their modelling performances are compared. Results indicate that all LMSR models outperform competitors according to the log-likelihood and Akaike information criterion as well as out-of-sample loss functions. Additionally, the estimated parameters of these LMSR models confirm the presence of long memory, while competing short memory models struggle to capture the persistent nature of volatility in financial markets.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101617"},"PeriodicalIF":2.1,"publicationDate":"2025-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143917903","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

Creating value through corporate social responsibility: The role of foreign institutional investors in Chinese listed firms 通过企业社会责任创造价值：境外机构投资者在中国上市公司中的作用

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-04-26 DOI: 10.1016/j.jempfin.2025.101621

Yunhe Li , Yu Liu , Mihail Miletkov , Tina Yang

{"title":"Creating value through corporate social responsibility: The role of foreign institutional investors in Chinese listed firms","authors":"Yunhe Li , Yu Liu , Mihail Miletkov , Tina Yang","doi":"10.1016/j.jempfin.2025.101621","DOIUrl":"10.1016/j.jempfin.2025.101621","url":null,"abstract":"<div><div>This study examines the interplay between two major global trends—the growing role of foreign institutional ownership (FIO) due to financial liberalization and the rise of corporate social responsibility (CSR) as an investment ethos. We choose the setting of China, the world’s second-largest economy that has recently experienced substantial growth in foreign portfolio investment and increased its commitment to CSR. We document that CSR performance significantly influences the portfolio allocation decisions of certain types of FIO. Crucially, our analysis reveals that firms with a higher level of ownership by foreign institutional investors are associated with a more positive relation between CSR performance and firm value. This finding is robust to endogeneity examinations, including quasi-natural experiments and instrumental variable estimations. The finding is stronger for non-state-owned enterprises, firms with higher customer awareness, firms with more foreign directors, and firms with more frequent corporate site visits from FIO. Monitoring and advising are two likely channels through which FIO enhance the CSR-value relation. Finally, we demonstrate that FIO enhance firms’ ability to harness the power of CSR as a driver of innovation.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101621"},"PeriodicalIF":2.1,"publicationDate":"2025-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143927581","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

Climate change risk and green bond pricing 气候变化风险与绿色债券定价

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-04-23 DOI: 10.1016/j.jempfin.2025.101616

Alfonso Del Giudice, Silvia Rigamonti, Andrea Signori

引用次数: 0

Regulatory fragmentation and corporate innovation 监管碎片化和企业创新

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-04-17 DOI: 10.1016/j.jempfin.2025.101614

Hongkang Xu

引用次数: 0

The rise of venture capital and IPO quality 风险投资的兴起与IPO质量

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-04-02 DOI: 10.1016/j.jempfin.2025.101613

Amrita Nain , Jie Ying , Joseph Arthur

引用次数: 0

The influence of long-term managerial orientation on pay inequality 长期管理导向对薪酬不平等的影响

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-03-24 DOI: 10.1016/j.jempfin.2025.101612

Chen-Chieh Liao , Yin-Hua Yeh

引用次数: 0

Bear factor and hedge fund performance 熊市因素与对冲基金业绩

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-03-20 DOI: 10.1016/j.jempfin.2025.101611

Thang Ho , Anastasios Kagkadis , George Wang

引用次数: 0

Maxing out short-term reversals in weekly stock returns 使每周股票收益的短期逆转最大化

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-03-15 DOI: 10.1016/j.jempfin.2025.101608

Chen Chen , Andrew Cohen , Qiqi Liang , Licheng Sun

{"title":"Maxing out short-term reversals in weekly stock returns","authors":"Chen Chen , Andrew Cohen , Qiqi Liang , Licheng Sun","doi":"10.1016/j.jempfin.2025.101608","DOIUrl":"10.1016/j.jempfin.2025.101608","url":null,"abstract":"<div><div>Subrahmanyam (1991) presents a model in which increased variance in liquidity trades reduces price efficiency when market makers are risk-averse. Motivated by this theoretical insight, we hypothesize that pent-up demand from lottery-seeking investors amplifies their overreactions to news, leading to larger short-term return reversals. Consistent with this hypothesis, we identify a significant pattern in weekly U.S. stock returns for lottery-like stocks, defined by high recent maximum daily returns (MAX). Specifically, high-MAX stocks that were past 1-week losers (or winners) exhibit notably positive (or negative) returns in the following week. Applying a short-term reversal strategy to high-MAX stocks generates an average weekly return of 1.66%, significantly outperforming the 0.65% return from the same strategy applied to low-MAX stocks. This result remains robust even after controlling for market microstructure biases and survives a series of robustness tests. Interestingly, the MAX-enhanced reversal strategy proves effective only when retail order imbalance is in the highest quintile. This result holds across both value-weighted and equal-weighted portfolios, underscoring the pivotal role of retail investors. Taken together, our findings highlight a new channel through which retail investors’ preference for lottery-like payoffs amplifies their overreactions, enhancing the profitability of short-term reversal strategies.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101608"},"PeriodicalIF":2.1,"publicationDate":"2025-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143715063","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

Exploring the non-linear dynamics between Commercial Real Estate and systemic risk 探讨商业地产与系统性风险之间的非线性动态关系

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-03-07 DOI: 10.1016/j.jempfin.2025.101607

George Kladakis , Nicole Lux , Alexandros Skouralis

{"title":"Exploring the non-linear dynamics between Commercial Real Estate and systemic risk","authors":"George Kladakis , Nicole Lux , Alexandros Skouralis","doi":"10.1016/j.jempfin.2025.101607","DOIUrl":"10.1016/j.jempfin.2025.101607","url":null,"abstract":"<div><div>The commercial real estate (CRE) market significantly influences financial stability, given its size, use as collateral, and cyclicality. This study explores macro-financial vulnerabilities arising from the CRE market, revealing that adverse developments in CRE capital values amplify systemic risk across financial sub-sectors, namely, banks, insurance companies and investment trusts, consistent with the <em>collateral channel hypothesis</em>. The CRE and financial markets relationship, however, displays nonlinearities. We introduce a UK CRE Misalignment index which integrates various market indicators to assess deviations from fundamental values in the CRE sector. We find that during market misalignments, the link between systemic risk and CRE growth weakens, suggesting that further property price increases in an overheated market could lead to a bubble and heightened systemic risk, in line with the <em>deviation hypothesis</em>. Finally, we employ a quantile regression model that captures another aspect of this non-linear relationship. We find that positive (negative) developments in the CRE market decrease (increase) the right tail of the historical systemic risk distribution, but CRE variation has a weak impact on the left tail and cannot effectively reduce systemic risk in periods of growth.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101607"},"PeriodicalIF":2.1,"publicationDate":"2025-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143601267","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

Is machine learning a necessity? A regression-based approach for stock return prediction 机器学习是必要的吗？基于回归的股票收益预测方法

IF 2.1 2区经济学

Journal of Empirical Finance Pub Date : 2025-03-01 DOI: 10.1016/j.jempfin.2025.101598

Tingting Cheng , Shan Jiang , Albert Bo Zhao , Junyi Zhao

引用次数: 0