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Journal of Empirical Finance最新文献

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Short-term institutional investors and the diffusion of supply chain information 短期机构投资者与供应链信息扩散
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-23 DOI: 10.1016/j.jempfin.2025.101581
Rui Duan , Yelena Larkin
{"title":"Short-term institutional investors and the diffusion of supply chain information","authors":"Rui Duan ,&nbsp;Yelena Larkin","doi":"10.1016/j.jempfin.2025.101581","DOIUrl":"10.1016/j.jempfin.2025.101581","url":null,"abstract":"<div><div>What informational advantage do short-term investors have? This paper demonstrates that short-term investors can benefit from the ability to process public, but slowly diffusing, supply chain information ahead of other market participants. In support of this argument, we find that short-term investors establish larger long and short positions in firms with high customer concentration. In addition, an increase in short-term institutional ownership is associated with higher stock returns in firms with high customer concentration, supporting the informational advantage hypothesis. Finally, the relationship between customer concentration and short-term institutional ownership strengthens in high information asymmetry environment. In contrast, we do not find preference towards high customer concentration firms among long-term institutions, who are less positioned to exploit short-lived informational benefits.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101581"},"PeriodicalIF":2.1,"publicationDate":"2025-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143157558","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
Social connectedness and cross-border mergers and acquisitions 社会联系和跨国并购
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-16 DOI: 10.1016/j.jempfin.2025.101582
Zhonghao Jiang , Yukun Shi , Lu Xing
{"title":"Social connectedness and cross-border mergers and acquisitions","authors":"Zhonghao Jiang ,&nbsp;Yukun Shi ,&nbsp;Lu Xing","doi":"10.1016/j.jempfin.2025.101582","DOIUrl":"10.1016/j.jempfin.2025.101582","url":null,"abstract":"<div><div>We investigate the role of social connectedness in cross-border mergers and acquisitions (M&amp;As) using the Facebook social connectedness index. We show that stronger social connectedness between countries leads to higher announcement returns for acquirers in cross-border M&amp;As. This effect is attributed to improved information dissemination, which reduces target premiums, increases deal completion likelihood, and supports acquirers to achieve long-term success. Furthermore, social connectedness increases the frequency and dollar value of cross-border M&amp;As between countries. This relation is weaker for countries in the same customs union, but stronger in the presence of greater political disagreement or significant time zone differences. Extending our analysis to domestic M&amp;As in the U.S., we find that social connectedness between the headquarters’ cities of acquirers and targets improves acquirers’ announcement returns.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101582"},"PeriodicalIF":2.1,"publicationDate":"2025-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143100462","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
Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects 预测使用表明结构性断裂和不对称风险效应的预测因子来实现贝塔
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 DOI: 10.1016/j.jempfin.2024.101575
Jiawen Luo , Zhenbiao Chen , Mingmian Cheng
{"title":"Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects","authors":"Jiawen Luo ,&nbsp;Zhenbiao Chen ,&nbsp;Mingmian Cheng","doi":"10.1016/j.jempfin.2024.101575","DOIUrl":"10.1016/j.jempfin.2024.101575","url":null,"abstract":"<div><div>This paper studies the importance of structural breaks and asymmetric risk effects for accurate forecasts of the realized beta. Specifically, structural breaks in the realized beta are detected by Iterated Cumulative Sum of Square (ICSS) algorithm and asymmetric risk effects are captured by decomposing the realized beta further into various components following Ang et al. (2006) and Bollerslev et al. (2021). We propose a set of Heterogeneous Autoregressive (HAR) model variants by incorporating these new predictors. To achieve model parsimony and to keep only the predictors with significant power, we employ Least Absolute Shrinkage and Selection Operator (LASSO) method for variable selection. Our proposed LASSO<img>HAR model with estimators of structural breaks and asymmetric risk effects is found to yield more accurate out-of-sample beta forecasts than a variety of alternative models in terms of both statistical and economic criteria. In particular, our model successfully achieves the long-memory feature of realized betas in a tractable and parsimonious way. These empirical findings are robust across different data sampling frequencies, different estimation windows, different sub-samples, different quantiles of the beta distribution and different industrial sectors.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101575"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167419","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
What drives robo-advice? 是什么驱动了机器人的建议？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 DOI: 10.1016/j.jempfin.2024.101574
Bernd Scherer , Sebastian Lehner
{"title":"What drives robo-advice?","authors":"Bernd Scherer ,&nbsp;Sebastian Lehner","doi":"10.1016/j.jempfin.2024.101574","DOIUrl":"10.1016/j.jempfin.2024.101574","url":null,"abstract":"<div><div>The promise of robo-advisory firms is to provide low-cost access to diversified portfolios built according to academic literature on normative portfolio choice. We investigate the extent to which robo-advice aligns with normative advice. Using web-scraped portfolio recommendations for 151,200 investor types from a major US robo-advisor, we find that investment goals and time horizons significantly influence recommended equity allocations, while Merton-type hedging demands are largely ignored. Our results suggest that commercial robo-advisors prioritize simplicity and client perceptions over complex, normative models. By integrating data from the NFCS survey, we further explore how demographic factors influence the likelihood of using robo-advisory services. This study provides empirical evidence on how closely robo-advisory services align with normative portfolio theory, highlighting the practical compromises made in the pursuit of broad market appeal and user-friendly solutions.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101574"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167423","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
Market neutrality and beta crashes 市场中立和beta崩溃
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 DOI: 10.1016/j.jempfin.2024.101577
Xia Xu
{"title":"Market neutrality and beta crashes","authors":"Xia Xu","doi":"10.1016/j.jempfin.2024.101577","DOIUrl":"10.1016/j.jempfin.2024.101577","url":null,"abstract":"<div><div>Market neutrality is a key feature of <span><span>Frazzini and Pedersen (2014)</span></span>’s betting-against-beta (BAB) factor. However, we find that BAB fails to remain market neutral in practice, and the deviations from market neutrality often arrive in the shape of crashes. BAB resembles momentum in terms of option-like payoffs, exhibiting significant exposure to large market movements. Particularly, BAB effectuates negative market timing and negative volatility timing amid volatile markets, promoting BAB crashes. The concern of imperfect market neutrality is shared by a broad range of beta arbitrage strategies that are aimed at being market neutral. The strategy’s vulnerability to bull markets is not fundamentally explained by the liquidity and leverage rationale. Managing beta crashes significantly improves investment performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101577"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167422","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
Geographical proximity, cultural familiarity and financial information production 地理邻近、文化熟悉和金融信息生产
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 DOI: 10.1016/j.jempfin.2024.101576
Han Hao , Chun Liu , Shunzhi Pang
{"title":"Geographical proximity, cultural familiarity and financial information production","authors":"Han Hao ,&nbsp;Chun Liu ,&nbsp;Shunzhi Pang","doi":"10.1016/j.jempfin.2024.101576","DOIUrl":"10.1016/j.jempfin.2024.101576","url":null,"abstract":"<div><div>This paper examines the distinct impacts of geography and culture on financial information production. Utilizing data from LinkedIn, we categorize Chinese-concept stock analysts into two groups: those working in China and those with a Chinese cultural background. We identify two sources of local advantages: geographical proximity, stemming from the information-access channel, and cultural familiarity, originating from the information-process channel. Additionally, our findings indicate that local advantages reduce stock return synchronicity, and investors can recognize revisions made by geographically proximate analysts.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101576"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167425","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 revisit to bias-adjusted predictive regression 对偏差调整预测回归的重新审视
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 DOI: 10.1016/j.jempfin.2024.101578
Ke-Li Xu
{"title":"A revisit to bias-adjusted predictive regression","authors":"Ke-Li Xu","doi":"10.1016/j.jempfin.2024.101578","DOIUrl":"10.1016/j.jempfin.2024.101578","url":null,"abstract":"<div><div>We consider robust inference of predictive regression based on bias correction. We propose new variance estimators which can accommodate conditionally heteroskedastic and serially correlated errors, and predictors with unspecified dependence structure. We also present a previously overlooked robustness property of the existing variance estimator. Empirically we illustrate the methods with a classical application to stock return and dividend growth predictability.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101578"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167420","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
Implied local volatility models 隐含局部波动率模型
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-11-19 DOI: 10.1016/j.jempfin.2024.101567
Chen Xu Li , Chenxu Li , Chun Li
{"title":"Implied local volatility models","authors":"Chen Xu Li ,&nbsp;Chenxu Li ,&nbsp;Chun Li","doi":"10.1016/j.jempfin.2024.101567","DOIUrl":"10.1016/j.jempfin.2024.101567","url":null,"abstract":"<div><div>This paper proposes data-driven “implied local volatility models” that are designed to fit the observed level, slope, convexity, and term-structure slope of implied volatility surface at any maturity and strike. The method of construction hinges on the Taylor structure of implied volatility under generic local volatility models and the formula of Dupire (1994). An empirical application to the S&amp;P 500 index options data validates the stable performance of our method in and out of sample and triggers several economic interpretations before, during, and in the aftermath of COVID-19 pandemic. The flexibility of our method is further consolidated by the case study on fitting (ultra) short-maturity implied volatilities and concave implied volatility curves.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101567"},"PeriodicalIF":2.1,"publicationDate":"2024-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142748012","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 performance of volatility-managed equity factors — International and further evidence 波动率管理股票因子的表现--国际证据和进一步证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-11-17 DOI: 10.1016/j.jempfin.2024.101560
Patrick Schwarz
{"title":"On the performance of volatility-managed equity factors — International and further evidence","authors":"Patrick Schwarz","doi":"10.1016/j.jempfin.2024.101560","DOIUrl":"10.1016/j.jempfin.2024.101560","url":null,"abstract":"<div><div>I study the performance of nine (downside) volatility-managed equity factors before and after considering transaction costs in 45 international equity markets. My results suggest that volatility management is most promising for market, value, profitability, and especially momentum portfolios. The performance of volatility-managed market and value portfolios can be further enhanced by applying downside volatility as a scaling factor. Nevertheless, only the managed market and momentum strategies are partially robust to transaction cost suggesting that the persistence of abnormal returns can largely be explained by the associated transaction costs. Cross-country analysis suggests that the slow trading hypothesis is partially able to explain cross-country performance differences of volatility-managed value and momentum portfolios. Finally, performance decomposition analysis reveals additional suggestive evidence in support of the slow trading hypothesis.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101560"},"PeriodicalIF":2.1,"publicationDate":"2024-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142701138","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
CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets 首席执行官的神经质与公司现金持有量：来自首席执行官推文的证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-11-10 DOI: 10.1016/j.jempfin.2024.101566
Dien Giau Bui , Robin K. Chou , Chih-Yung Lin , Chien-Lin Lu
{"title":"CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets","authors":"Dien Giau Bui ,&nbsp;Robin K. Chou ,&nbsp;Chih-Yung Lin ,&nbsp;Chien-Lin Lu","doi":"10.1016/j.jempfin.2024.101566","DOIUrl":"10.1016/j.jempfin.2024.101566","url":null,"abstract":"<div><div>We examine the effects of CEO neuroticism on corporate policies for cash holdings. After hand collecting tweets by CEOs to measure their neuroticism, we find that firms with relatively neurotic CEOs hold more cash than other firms. This positive effect is more pronounced when the firm has a higher precautionary motive to hold cash. The cash held by firms with neurotic CEOs leads to higher firm values and lower credit risks. Overall, neurotic CEOs maintain more conservative corporate policies on holding cash, resulting in a lower cost of financial distress and an improvement in the value of firms.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101566"},"PeriodicalIF":2.1,"publicationDate":"2024-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142701139","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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