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Instantaneous volatility of the yield curve, variance risk premium and bond return predictability 收益曲线的瞬时波动性、方差风险溢价和债券收益可预测性
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-15 DOI: 10.1016/j.jempfin.2024.101490
Ximing Yin , Ge Yang
{"title":"Instantaneous volatility of the yield curve, variance risk premium and bond return predictability","authors":"Ximing Yin ,&nbsp;Ge Yang","doi":"10.1016/j.jempfin.2024.101490","DOIUrl":"10.1016/j.jempfin.2024.101490","url":null,"abstract":"<div><p>This paper proposes a new way of estimating the instantaneous volatility of fixed income securities using derivatives data, which can further be used to construct the corresponding yield curve variance risk premium (VRP). We show that this VRP measure exhibits strong long-horizon predictive power for bond excess returns. After controlling for the shape of the yield curve, the VRP strongly predicts 1-year holding period excess returns for 2-year to 10-year zero coupon bonds. The marginal <span><math><msup><mrow><mi>R</mi></mrow><mrow><mn>2</mn></mrow></msup></math></span> of VRP is as high as 12.6%. One standard deviation increase in the VRP is associated with 2.224% increase in the bond excess return. This result is robust when we include various other bond return predictors, such as the Cochrane–Piazzesi “tent-shaped” factor. The out-of-sample analysis suggests that this predictability is not only statistically significant, but also can be translated into economic gains. Additional tests suggest that this predictability varies with economic conditions.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101490"},"PeriodicalIF":2.6,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140156476","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 role of intermediaries in derivatives markets: Evidence from VIX options 中介机构在衍生品市场中的作用：来自 VIX 期权的证据
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-15 DOI: 10.1016/j.jempfin.2024.101492
Kris Jacobs , Anh Thu Mai
{"title":"The role of intermediaries in derivatives markets: Evidence from VIX options","authors":"Kris Jacobs ,&nbsp;Anh Thu Mai","doi":"10.1016/j.jempfin.2024.101492","DOIUrl":"10.1016/j.jempfin.2024.101492","url":null,"abstract":"<div><p>Consistent with models of intermediaries who absorb demand pressure from end-users and respond by changing prices, net option demand is positively related to option prices in the market for VIX puts and calls. VIX and SPX option markets are integrated: market-makers absorb end-users’ net long volatility positions and net demand affects prices across markets. Net demand changes in the most liquid markets result in spillover effects between the VIX and SPX markets. A dynamic characterization of prices and net demand suggests that VIX option markets and the SPX put market are integrated, while the SPX call market is more segregated.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101492"},"PeriodicalIF":2.6,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140151994","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 ripple effect of all-star females: Knowledge spillover and improved analyst performance 全明星女性的涟漪效应：知识溢出与分析师业绩提升
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-15 DOI: 10.1016/j.jempfin.2024.101493
Sima Jannati
{"title":"The ripple effect of all-star females: Knowledge spillover and improved analyst performance","authors":"Sima Jannati","doi":"10.1016/j.jempfin.2024.101493","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101493","url":null,"abstract":"<div><p>This paper studies whether all-star females’ representation in brokerages leads to positive outcomes. I find that an increase in the number of all-star females in a brokerage spurs the future performance of other analysts in that brokerage. Knowledge spillover is an economic channel that explains this effect, as analysts who cover firms in the same industry as all-star females experience a larger boost in their outcomes. A higher representation of all-star females in a brokerage further improves the timeliness of other analysts’ forecasts. Overall, the results suggest that all-star female analysts have a positive effect on the outcome of their workplace.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101493"},"PeriodicalIF":2.6,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140160622","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
Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns 股票市场波动集群：对盘中和隔夜收益的多尺度分析
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-15 DOI: 10.1016/j.jempfin.2024.101487
Xiaojun Zhao , Na Zhang , Yali Zhang , Chao Xu , Pengjian Shang
{"title":"Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns","authors":"Xiaojun Zhao ,&nbsp;Na Zhang ,&nbsp;Yali Zhang ,&nbsp;Chao Xu ,&nbsp;Pengjian Shang","doi":"10.1016/j.jempfin.2024.101487","DOIUrl":"10.1016/j.jempfin.2024.101487","url":null,"abstract":"<div><p>Volatility clustering, widely observed in daily equity market returns, has not been analyzed for high-resolution intraday and overnight returns, nor has its time scale dependency been systematically explored. This paper examines the volatility clustering of intraday and overnight returns in 15 global equity markets, both developed and emerging. Findings reveal universal volatility clustering in intraday and overnight returns across various time scales, from daily to monthly and beyond. It appears that the volatility clustering of overnight returns is even more pronounced than intraday returns. However, the cross clustering between two volatility series is generally weak within each market. These observations suggest both short- and long-term investment risks, providing meaningful insights for equity market investors’ risk management.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101487"},"PeriodicalIF":2.6,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140152080","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
Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns 将 MGHyp 分布与非线性收缩相结合，建立金融资产收益模型
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-03-15 DOI: 10.1016/j.jempfin.2024.101489
Simon Hediger , Jeffrey Näf
{"title":"Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns","authors":"Simon Hediger ,&nbsp;Jeffrey Näf","doi":"10.1016/j.jempfin.2024.101489","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101489","url":null,"abstract":"<div><p>The present paper combines nonlinear shrinkage with the multivariate generalized hyperbolic (MGHyp) distribution, thereby extending a flexible parametric model to high dimensions. An expectation–maximization (EM) algorithm is developed that is fast, stable, and applicable in high dimensions. Theoretical arguments for the monotonicity of the proposed algorithm are provided and it is shown in simulations that it is able to accurately retrieve parameter estimates. Finally, in an extensive Markowitz portfolio optimization analysis, the approach is compared to state-of-the-art benchmark models. The proposed model excels with a strong out-of-sample portfolio performance combined with a comparably low turnover.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101489"},"PeriodicalIF":2.6,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539824000240/pdfft?md5=84b1b3630884c1e067c4a40a2255ecc7&pid=1-s2.0-S0927539824000240-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140160588","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
Reserve holding and bank lending 储备金持有量和银行贷款
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-02-17 DOI: 10.1016/j.jempfin.2024.101478
Chun Kuang , Jiawen Yang , Wenyu Zhu
{"title":"Reserve holding and bank lending","authors":"Chun Kuang ,&nbsp;Jiawen Yang ,&nbsp;Wenyu Zhu","doi":"10.1016/j.jempfin.2024.101478","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101478","url":null,"abstract":"<div><p>Banks’ ability to convert liquidity into lending depends crucially on the various regulatory constraints they face. This paper investigates the differential lending responses of banks with varying levels of reserves, and their impact on the real economy. The distribution of reserves within the banking system became significantly more dispersed during the quantitative easing (QE) periods. Loan growth for those more liquidity-constrained does not vary meaningfully with liquidity changes, despite abundance at the aggregate level. Consequently, our findings imply that the uneven bank reserve distribution may exacerbate the spatial disparities in bank lending and regional economic development through differential lending responses of banks in different parts of the reserve distribution.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101478"},"PeriodicalIF":2.6,"publicationDate":"2024-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139914921","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
CEO narcissism and the agency cost of debt 首席执行官的自恋与债务的代理成本
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-02-15 DOI: 10.1016/j.jempfin.2024.101477
J.H. John Kim , Ronald Anderson
{"title":"CEO narcissism and the agency cost of debt","authors":"J.H. John Kim ,&nbsp;Ronald Anderson","doi":"10.1016/j.jempfin.2024.101477","DOIUrl":"10.1016/j.jempfin.2024.101477","url":null,"abstract":"<div><p>This study investigates the relationship between CEO narcissism and debt financing costs, highlighting a potential trade-off between leadership traits and firm financial well-being. While prior research has identified potential benefits associated with narcissistic CEOs, such as enhanced innovation, we demonstrate that such leadership incurs higher borrowing costs, as evidenced by elevated bond yields in firms led by narcissistic executives. This effect is amplified for grandiose narcissists, suggesting that investors are particularly wary of their risk-taking tendencies. Leveraging a natural experiment, we establish a robust causal link between narcissism and debt costs, revealing higher bond yield premiums demanded by investors in firms with narcissistic CEOs. These findings underscore the critical importance of considering CEO personality traits, particularly narcissism when evaluating corporate governance practices and ensuring optimal alignment with stakeholders' interests.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"77 ","pages":"Article 101477"},"PeriodicalIF":2.6,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139884773","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
Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China? 保证金购买、卖空和股票估值：在中国，为什么随着时间的推移，效果会发生逆转？
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-28 DOI: 10.1016/j.jempfin.2024.101476
Xiaoyuan Wan
{"title":"Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?","authors":"Xiaoyuan Wan","doi":"10.1016/j.jempfin.2024.101476","DOIUrl":"https://doi.org/10.1016/j.jempfin.2024.101476","url":null,"abstract":"<div><p>China launched a pilot program in March 2010 to lift the ban on margin-buying and short-selling. Based on the first two batches of designated stocks, the literature documents that lifting the ban has a negative effect on stock valuation. However, we show that the effect has reversed to positive for the next six batches of designated stocks. We explore several potential explanations. Our analyses show that as short-selling volume grew at a much slower pace or even declined relative to margin-buying volume over our sample period, the positive effect of margin-buying on stock valuation has dominated the negative effect of short-selling. Both time-series and cross-sectional tests show that the imbalance between margin-buying and short-selling is the main driver of the reversal. We further show that the effect of lifting margin-buying and short-selling ban on stock price efficiency and discovery also reversed over time.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"76 ","pages":"Article 101476"},"PeriodicalIF":2.6,"publicationDate":"2024-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139652699","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
Does media affect the rival response to acquisition targets? 媒体是否会影响竞争对手对收购目标的反应？
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-26 DOI: 10.1016/j.jempfin.2024.101475
Xin Gao , Zhe An , Donghui Li , Weidong Xu
{"title":"Does media affect the rival response to acquisition targets?","authors":"Xin Gao ,&nbsp;Zhe An ,&nbsp;Donghui Li ,&nbsp;Weidong Xu","doi":"10.1016/j.jempfin.2024.101475","DOIUrl":"10.1016/j.jempfin.2024.101475","url":null,"abstract":"<div><p>Employing a sample of 6,084 acquisitions from 2001 to 2017, we show that higher media coverage of rival firms (i.e., in the same industry as the target) increases their likelihood of being subsequently targeted and the announcement CARs. We conduct various tests to alleviate the endogeneity concern. Our results are robust when controlling for analyst coverage and the media coverage of acquirer and target firms. We further show that rivals with greater media attention have higher premiums when they receive future acquisition bids. Lastly, we find that the effect of media coverage on the rival response is more pronounced for rivals with a higher similarity score to the target, initial industry acquisitions, and acquisitions occur early in an industry merger wave. Our study highlights the media's vital role in shaping the rival response to acquisition targets.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"76 ","pages":"Article 101475"},"PeriodicalIF":2.6,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139585753","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
Information in unexpected bonus cuts: Firm performance and CEO firings 意外削减奖金中的信息：公司业绩与首席执行官解雇
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-22 DOI: 10.1016/j.jempfin.2024.101466
William M. Cready , Zhonglan Dai , Guang Ma , Vikram Nanda
{"title":"Information in unexpected bonus cuts: Firm performance and CEO firings","authors":"William M. Cready ,&nbsp;Zhonglan Dai ,&nbsp;Guang Ma ,&nbsp;Vikram Nanda","doi":"10.1016/j.jempfin.2024.101466","DOIUrl":"10.1016/j.jempfin.2024.101466","url":null,"abstract":"<div><p>An extensive literature finds that CEO compensation, especially bonus pay, exhibits downward rigidity. This is despite corporate boards usually retaining the discretion to deviate from their stated bonus formulae. We conjecture that the infrequent occasions in which there is an unexpected bonus cut, the board likely possesses unfavorable private information about the firm's long-term prospects and the CEO's ability. We hypothesize, therefore, that unexpected bonus cuts will be predictive of the company's future operating performance as well as forced CEO turnovers. We first validate our private information premise by showing that stock market reactions to CEO firings or earnings announcements are muted for firms experiencing unexpected bonus cuts but not for those without cuts. Consistent with these predictions, we find that unexpected bonus cuts are robust predictors of subsequent underperformance (<em>ROE</em>) and lower firm valuation (Tobin's Q) as well as CEO firings. Further, we examine the impact of Regulation S-K (2006) and show that predictive power becomes stronger post Reg. S-K, along with the disappearance of downward rigidity. This suggests that compensation transparency makes it harder for boards to deviate from stated bonus formulae and, if they do, the deviations are more informative.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"76 ","pages":"Article 101466"},"PeriodicalIF":2.6,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139517895","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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