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Improving information leadership share for measuring price discovery 提高衡量价格发现的信息领导份额
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-08-26 DOI: 10.1016/j.jempfin.2025.101638
Shulin Shen , Yixuan Zhang , Eric Zivot
{"title":"Improving information leadership share for measuring price discovery","authors":"Shulin Shen ,&nbsp;Yixuan Zhang ,&nbsp;Eric Zivot","doi":"10.1016/j.jempfin.2025.101638","DOIUrl":"10.1016/j.jempfin.2025.101638","url":null,"abstract":"<div><div>We propose an improvement to the information leadership (IL) measure of price discovery of Yan and Zivot (2010), and the information leadership share (ILS) measure of Putniņš (2013). Our improved PIL and PILS measures integrate the price discovery share (PDS) of Shen et al. (2024) with the component share (CS) measure. Our improved PIL measure accurately reflects the ratio of initial responses of competing markets to a permanent shock in the presence of correlated reduced-form vector error correction model residuals, thereby substantially generalizing the IL measure for practical applications. Simulation evidence strongly supports the superiority of our improved PIL measure over a wide spectrum of existing price discovery metrics (Lien and Shrestha, 2009; Putniņš, 2013; Sultan and Zivot, 2015; Patel et al., 2020). We demonstrate the effectiveness of our improved measure by examining price discovery for various Chinese stocks cross-listed in Shanghai and Hong Kong (SH-HK) both before and after the initiation of the Shanghai-Hong Kong Stock Connect.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101638"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144911819","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
Strategic implications of corporate disclosure via Twitter 通过Twitter进行企业信息披露的战略意义
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-06-23 DOI: 10.1016/j.jempfin.2025.101635
Devendra Kale , Vikram Nanda , Anin Rupp
{"title":"Strategic implications of corporate disclosure via Twitter","authors":"Devendra Kale ,&nbsp;Vikram Nanda ,&nbsp;Anin Rupp","doi":"10.1016/j.jempfin.2025.101635","DOIUrl":"10.1016/j.jempfin.2025.101635","url":null,"abstract":"<div><div>We investigate the information and strategic aspects of corporate tweets. Despite limits on message length, tweets stimulate information acquisition by investors, as indicated by post-tweet downloads from the SEC-EDGAR website. Corporations appear to be effective at leveraging tweets to enhance their information environment. Specifically, tweets are associated with reduction in firms’ earnings surprise and stock return volatility. There is a decrease in negative skewness of stock returns, suggesting a more uniform release of favorable and unfavorable news, especially in high litigation industries. These effects are more evident when the CEO has greater equity incentives and when firms are smaller and less visible.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101635"},"PeriodicalIF":2.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144490873","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
On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance 有影响力的套息交易策略的盈利能力：数据窥探偏差与发表后绩效
IF 2.4 2区 经济学
Journal of Empirical Finance Pub Date : 2025-09-01 Epub Date: 2025-07-31 DOI: 10.1016/j.jempfin.2025.101640
Po-Hsuan Hsu , Mark P. Taylor , Zigan Wang , Yan Li
{"title":"On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance","authors":"Po-Hsuan Hsu ,&nbsp;Mark P. Taylor ,&nbsp;Zigan Wang ,&nbsp;Yan Li","doi":"10.1016/j.jempfin.2025.101640","DOIUrl":"10.1016/j.jempfin.2025.101640","url":null,"abstract":"<div><div>This study examines whether 13 influential carry-trade strategies retain profitability after being published in the academic literature. We first implement several bootstrap methods to correct for the presence of data snooping and find that the pre-publication profitability of these strategies is not due to selection bias, demonstrating their original capacity to exploit market inefficiencies. On the other hand, their profitability has declined since their publication years. Our empirical evidence suggests that, although academic researchers may sometimes uncover market anomalies, their publication reduces inefficiencies in currency markets.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"83 ","pages":"Article 101640"},"PeriodicalIF":2.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144841530","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
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 : 2025-06-01 Epub Date: 2025-03-20 DOI: 10.1016/j.jempfin.2025.101611
Thang Ho , Anastasios Kagkadis , George Wang
{"title":"Bear factor and hedge fund performance","authors":"Thang Ho ,&nbsp;Anastasios Kagkadis ,&nbsp;George Wang","doi":"10.1016/j.jempfin.2025.101611","DOIUrl":"10.1016/j.jempfin.2025.101611","url":null,"abstract":"<div><div>We find that hedge funds that have low (negative) return covariance with the return of a bear spread portfolio (i.e., Bear factor) after controlling for the market factor, earn significantly higher returns in the cross-section. The return spread does not reflect bear risk premia; instead, it represents a low risk-high return relation. We decompose the Bear factor into different components to identify the one driving the bear beta effect on fund performance and show that the return spread can be attributed to the differential ability of low bear beta funds to reduce their market exposures when the market declines and the VIX increases (i.e., downside timing). Further analysis suggests that these fund managers are more skilled at selling overpriced insurance during volatile market periods. Overall, we propose a simple option-implied predictor of hedge fund returns and unravel a novel economic mechanism that associates the Bear factor exposure with fund performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101611"},"PeriodicalIF":2.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143705250","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
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 : 2025-06-01 Epub Date: 2025-03-24 DOI: 10.1016/j.jempfin.2025.101612
Chen-Chieh Liao , Yin-Hua Yeh
{"title":"The influence of long-term managerial orientation on pay inequality","authors":"Chen-Chieh Liao ,&nbsp;Yin-Hua Yeh","doi":"10.1016/j.jempfin.2025.101612","DOIUrl":"10.1016/j.jempfin.2025.101612","url":null,"abstract":"<div><div>This paper examines the relationship between a firm's long-term managerial orientation and in-firm pay inequality. We exploit two exogenous shocks to firms’ long-term orientation, in the form of inheritance and estate tax changes in Taiwan in 2008 and 2017. Using over a decade's worth of pay inequality data, we demonstrate that a more (less) long-term managerial orientation in a firm, driven by decreases (increases) in estate tax, leads to an increase (decrease) of in-firm pay inequality. Further analysis suggests that changes in-firm pay inequality are associated with changes in executive compensation, rather than with changes in ordinary employee compensation. Furthermore, our results are more pronounced in firms with higher degrees of family ownership and firms in more competitive industries. This paper suggests policy implications for amendments to estate tax since in-firm pay inequality will increase as a result of decreases in estate tax, via effects on firms’ long-term managerial orientation.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"82 ","pages":"Article 101612"},"PeriodicalIF":2.1,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143739839","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 : 2025-06-01 Epub 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":"2025-06-01","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
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 : 2025-06-01 Epub 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":"2025-06-01","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
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 : 2025-06-01 Epub 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":"2025-06-01","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
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 : 2025-06-01 Epub 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 ,&nbsp;Nicole Lux ,&nbsp;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":"2025-06-01","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
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 : 2025-06-01 Epub 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 ,&nbsp;Andrew Cohen ,&nbsp;Qiqi Liang ,&nbsp;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":"2025-06-01","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
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