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Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain 影响者检测与网络自回归--比特币区块链中的影响区域
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-08-13 DOI: 10.1016/j.jempfin.2024.101529
Simon Trimborn , Hanqiu Peng , Ying Chen
{"title":"Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain","authors":"Simon Trimborn ,&nbsp;Hanqiu Peng ,&nbsp;Ying Chen","doi":"10.1016/j.jempfin.2024.101529","DOIUrl":"10.1016/j.jempfin.2024.101529","url":null,"abstract":"<div><p>Known as an active global virtual money network, the Bitcoin blockchain, with millions of accounts, has played a continually increasingly important role in fund transition, digital payment, and hedging. We propose a method to Detect Influencers in Network AutoRegressive models (DINAR) via sparse-group regularization to detect regions influencing others across borders. For a granular analysis, we analyse whether the transaction size plays a role in the dynamics of the cross-border transactions in the network. With two-layer sparsity, DINAR enables discovering (1) the active regions with influential impact on the global digital money network and (2) whether changes in the size of the transaction affect the dynamic evolution of Bitcoin transactions. In the analysis of real data of the Bitcoin blockchain from Feb 2012 to December 2021, we find that influence from certain regions is linked to the economic need to use BTC, such as to circumvent sanctions, avoid high inflation, and to carry out transactions through off-shore markets. The effects are robust to different groupings, evaluation periods, and choices of regularization parameters.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101529"},"PeriodicalIF":2.1,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539824000641/pdfft?md5=4096f472519c9f96a00ba2d6ac6cbda5&pid=1-s2.0-S0927539824000641-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142044366","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
Big portfolio selection by graph-based conditional moments method 基于图的条件矩法的大组合选择
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-08-13 DOI: 10.1016/j.jempfin.2024.101533
Zhoufan Zhu , Ningning Zhang , Ke Zhu
{"title":"Big portfolio selection by graph-based conditional moments method","authors":"Zhoufan Zhu ,&nbsp;Ningning Zhang ,&nbsp;Ke Zhu","doi":"10.1016/j.jempfin.2024.101533","DOIUrl":"10.1016/j.jempfin.2024.101533","url":null,"abstract":"<div><p>This paper proposes a new <u>gra</u>ph-based <u>c</u>onditional mom<u>e</u>nts (GRACE) method to do portfolio selection based on thousands of stocks or even more. The GRACE method first learns the conditional quantiles and mean of stock returns via a factor-augmented temporal graph convolutional network, which is guided by the set of stock-to-stock relations as well as the set of factor-to-stock relations. Next, the GRACE method learns the conditional variance, skewness, and kurtosis of stock returns from the learned conditional quantiles via the quantiled conditional moment method. Finally, the GRACE method uses the learned conditional mean, variance, skewness, and kurtosis to construct several performance measures, which are criteria to sort the stocks to proceed the portfolio selection in the well-known 10-decile framework. An application to NASDAQ and NYSE stock markets shows that the GRACE method performs much better than its competitors, particularly when the performance measures are comprised of conditional variance, skewness, and kurtosis.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101533"},"PeriodicalIF":2.1,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142002283","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
Inverted vs maker-taker routing choice and trader information 反向与做市商路由选择和交易者信息
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-08-11 DOI: 10.1016/j.jempfin.2024.101530
Ryan Garvey , Yaohua Qin
{"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}
引用次数: 0
The value of information in China’s connected market 中国互联市场的信息价值
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-08-08 DOI: 10.1016/j.jempfin.2024.101526
Keqi Chen , Yuehan Wang , Xiaoquan Zhu
{"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}
引用次数: 0
The aftermath of covenant violations: Evidence from China's corporate debt securities 违反契约的后果：来自中国公司债券的证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-08-06 DOI: 10.1016/j.jempfin.2024.101528
Guang Xu , Xiaoyan Zhang
{"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}
引用次数: 0
In the mood for creativity: Sunshine-induced mood, inventor performance, and firm value 创造的心情：阳光引发的情绪、发明者的绩效和公司价值
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-08-03 DOI: 10.1016/j.jempfin.2024.101527
Yangyang Chen , Po-Hsuan Hsu , Edward J. Podolski , Madhu Veeraraghavan
{"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}
引用次数: 0
A portfolio-level, sum-of-the-parts approach to return predictability 投资组合层面的收益可预测性总和法
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-07-25 DOI: 10.1016/j.jempfin.2024.101525
Hongyi Xu , Dean Katselas , Jo Drienko
{"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}
引用次数: 0
Forecasting realized volatility: Does anything beat linear models? 预测已实现波动率：有什么能打败线性模型吗？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-06-18 DOI: 10.1016/j.jempfin.2024.101524
Rafael R. Branco , Alexandre Rubesam , Mauricio Zevallos
{"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}
引用次数: 0
Betting on success: Unveiling the role of local gambling culture in equity crowdfunding 押宝成功：揭示地方赌博文化在股权众筹中的作用
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-06-14 DOI: 10.1016/j.jempfin.2024.101521
Hui-Ching Hsieh, Dat Thanh Nguyen, Thien Le-Hoang Nguyen
{"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}
引用次数: 0
The correlated trading and investment performance of individual investors 个人投资者的相关交易和投资业绩
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-06-12 DOI: 10.1016/j.jempfin.2024.101522
Wei-Yu Kuo , Tse-Chun Lin , Jing Zhao
{"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}
引用次数: 0
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