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Local labor market and corporate investment 当地劳动力市场和企业投资
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-24 DOI: 10.1016/j.jempfin.2024.101554
Yao Ge , Wei Huang , Zheng Qiao , Hao Zheng
{"title":"Local labor market and corporate investment","authors":"Yao Ge ,&nbsp;Wei Huang ,&nbsp;Zheng Qiao ,&nbsp;Hao Zheng","doi":"10.1016/j.jempfin.2024.101554","DOIUrl":"10.1016/j.jempfin.2024.101554","url":null,"abstract":"<div><div>To capture local labor market pooling in agglomeration economics, we employ segment information and occupation statistics to construct firm-pair labor force similarities. Our findings indicate a positive relation between local labor market thickness and corporate investment, influenced by both employer-driven labor demand and employee-driven labor supply. The findings are more pronounced in firms with more skilled labor, less routine-task labor, and higher product and technology competitions. Firms in thicker local labor markets also display higher investment efficiency, higher operating efficiency, and higher valuation. To mitigate the endogeneity concern, we employ an instrumental variable approach to show robustness. Overall, we uncover a specific linkage between the local labor market and corporate investment.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101554"},"PeriodicalIF":2.1,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142315743","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
How does bank opacity affect credit growth and return predictability? 银行不透明如何影响信贷增长和回报可预测性？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-16 DOI: 10.1016/j.jempfin.2024.101553
Arpit Kumar Parija, Malvika Chhatwani
{"title":"How does bank opacity affect credit growth and return predictability?","authors":"Arpit Kumar Parija,&nbsp;Malvika Chhatwani","doi":"10.1016/j.jempfin.2024.101553","DOIUrl":"10.1016/j.jempfin.2024.101553","url":null,"abstract":"<div><div>Prior research finds that bank credit growth predicts lower bank equity returns in subsequent one to three years. Stocks of banks with high credit growth are initially overvalued because of overoptimism or elevated sentiment of bank shareholders. Eventually, these stocks underperform, generating lower returns. We argue that shareholder sentiment should exhibit its strongest effects on the performance of bank stocks when banks are opaque, or there is uncertainty about the quality of bank loans. Accordingly, we show that an increase in bank’s financial reporting opacity amplifies the predictive ability of credit growth for equity returns by 3 to 4 times relative to when opacity is at its mean.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101553"},"PeriodicalIF":2.1,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142319876","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
Stock price synchronicity and stock liquidity: International evidence 股价同步性与股票流动性：国际证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-12 DOI: 10.1016/j.jempfin.2024.101541
Paul Brockman , Tung Lam Dang , Thu Phuong Pham
{"title":"Stock price synchronicity and stock liquidity: International evidence","authors":"Paul Brockman ,&nbsp;Tung Lam Dang ,&nbsp;Thu Phuong Pham","doi":"10.1016/j.jempfin.2024.101541","DOIUrl":"10.1016/j.jempfin.2024.101541","url":null,"abstract":"<div><p>We examine the relationship between stock price synchronicity and stock liquidity using a comprehensive data set across 40 countries. Our <em>local</em> (within-country) empirical results reveal a positive relationship between local synchronicity and stock liquidity. The strength of this positive relationship depends on the quality of country-level institutions; the weaker the institutional environment, the stronger the synchronicity-liquidity relationship. Importantly, our <em>global</em> (across-country) findings mirror those at the local level. Overall, our study provides a comprehensive analysis of the synchronicity-liquidity relationship at both the local and global levels. In addition, our cross-sectional analyses provide new evidence on the institutional determinants of this relationship.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101541"},"PeriodicalIF":2.1,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142228803","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
Gold, platinum, and mutual fund flows 黄金、铂金和共同基金流动
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-10 DOI: 10.1016/j.jempfin.2024.101552
Ali K. Malik , Gonul Colak , Anders Löflund
{"title":"Gold, platinum, and mutual fund flows","authors":"Ali K. Malik ,&nbsp;Gonul Colak ,&nbsp;Anders Löflund","doi":"10.1016/j.jempfin.2024.101552","DOIUrl":"10.1016/j.jempfin.2024.101552","url":null,"abstract":"<div><p>Huang and Kilic (2019) demonstrate that gold to platinum price ratio (GP), which proxies for tail risk in the economy, is a priced risk factor in the cross-section of stock returns. We document that GP negatively affects the mutual fund flows of the active equity funds. In cross-sectional regressions, we find that funds with high betas with respect to the change in GP (<span><math><msub><mi>β</mi><mrow><mstyle><mi>Δ</mi></mstyle><mi>G</mi><mi>P</mi></mrow></msub></math></span>) have larger future fund flows, as such funds provide a hedge against economic distress. Further, <span><math><msub><mi>β</mi><mrow><mstyle><mi>Δ</mi></mstyle><mi>G</mi><mi>P</mi></mrow></msub></math></span> helps predict the future performance of the fund in the next few quarters. <span><math><msub><mi>β</mi><mrow><mstyle><mi>Δ</mi></mstyle><mi>G</mi><mi>P</mi></mrow></msub></math></span> also relates negatively to the downside risk of the fund, implying that funds could potentially reduce their left-tail risk by tilting towards securities with above average <span><math><msub><mi>β</mi><mrow><mstyle><mi>Δ</mi></mstyle><mi>G</mi><mi>P</mi></mrow></msub></math></span>. We also examine the flows to active corporate bond funds and passive funds. While these effects of GP are largely observable for passive funds, they are not as strongly observable for corporate bond funds.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101552"},"PeriodicalIF":2.1,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539824000860/pdfft?md5=1ee2e22a5f9b79ba44872664b642eac1&pid=1-s2.0-S0927539824000860-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142239692","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
A comparison of factor models in China 中国因素模型比较
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-08 DOI: 10.1016/j.jempfin.2024.101548
Jinzhe Wang, Yifeng Zhu
{"title":"A comparison of factor models in China","authors":"Jinzhe Wang,&nbsp;Yifeng Zhu","doi":"10.1016/j.jempfin.2024.101548","DOIUrl":"10.1016/j.jempfin.2024.101548","url":null,"abstract":"<div><p>We evaluate the performance of eleven asset pricing models in the Chinese A-share market using a variety of test portfolios and statistical methodologies. To compile the test portfolios, we construct 105 anomalies and use the 23 significant anomalies as test assets for model comparison. The results indicate that, in time-series test and anomaly explanations, the Hou et al. (2019) five-factor <em>q</em> model demonstrates the best overall performance. The pairwise cross-sectional <span><math><msup><mrow><mi>R</mi></mrow><mn>2</mn></msup></math></span> tests and multiple model comparison tests further affirm that the Hou et al. (2019) five-factor <em>q</em> model, the Fama and French (2018) six-factor (FF6) model, and the Kelly et al. (2019) five-factor Instrumented Principal Component Analysis (IPCA5) model are the top performers. Notably, the performance of the five-factor <em>q</em> model remains robust across various experimental designs.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101548"},"PeriodicalIF":2.1,"publicationDate":"2024-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142239691","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
Banker directors on board and corporate tax avoidance 董事会中的银行家董事与公司避税
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-08 DOI: 10.1016/j.jempfin.2024.101551
Qian Song , Wenjie Ding , Iftekhar Hasan , Qingwei Wang
{"title":"Banker directors on board and corporate tax avoidance","authors":"Qian Song ,&nbsp;Wenjie Ding ,&nbsp;Iftekhar Hasan ,&nbsp;Qingwei Wang","doi":"10.1016/j.jempfin.2024.101551","DOIUrl":"10.1016/j.jempfin.2024.101551","url":null,"abstract":"<div><p>We investigate how shareholder-debtholder conflict of interest affects the corporate tax avoidance using a unique setting of the affiliated and unaffiliated commercial bankers’ board representation. Consistent with the notion that board representation grants lenders’ access to private information that helps monitor and influence firms’ tax practice, we find that appointments of affiliated banker directors significantly reduce firms’ tax avoidance behavior, while appointing unaffiliated banker directors shows no such effect. The impact of affiliated banker directors on alleviating tax avoidance is stronger among firms with severer conflict of interest between shareholders and debtholders, specifically among firms with weaker corporate governance, higher financial leverage and higher CEO stock ownership.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101551"},"PeriodicalIF":2.1,"publicationDate":"2024-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142172418","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
Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data 利用高维数据对机器学习预测进行汇集和胜选，以预测股票回报率
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-02 DOI: 10.1016/j.jempfin.2024.101538
Erik Mekelburg , Jack Strauss
{"title":"Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data","authors":"Erik Mekelburg ,&nbsp;Jack Strauss","doi":"10.1016/j.jempfin.2024.101538","DOIUrl":"10.1016/j.jempfin.2024.101538","url":null,"abstract":"<div><p>We evaluate US market return predictability using a novel data set of several hundred ag- gregated firm-level characteristics. We apply LASSO, Elastic Net, Random Forest, Neural Net, Extreme Gradient Boosting, and Light Gradient Boosting Machine methods and find these models experience large prediction errors that lead to forecast failures. However, winsorizing and pooling machine learning model forecasts provides consistent out-of-sample predictability. To assess robustness, we apply machine learning methods to high-dimensional data for Canada, China, Germany and the UK as well as the Goyal–Welch data. All machine learning models we consider, except for the ensemble pooled methods, fail to significantly predict returns across our samples, highlighting the importance of pooling, evaluating additional economies, and the fragility of individual machine learning methods. Our results shed light on the sparsity versus density debate as the degree of sparsity and variable importance evolves over time.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101538"},"PeriodicalIF":2.1,"publicationDate":"2024-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539824000732/pdfft?md5=a9db7e6e4ae641bec07f185220532c35&pid=1-s2.0-S0927539824000732-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142168694","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
Time-varying relative risk aversion: Theoretical mechanism and empirical evidence 时变相对风险规避：理论机制和经验证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-01 DOI: 10.1016/j.jempfin.2024.101535
Xuan Liu , Haiyong Liu , Zongwu Cai
{"title":"Time-varying relative risk aversion: Theoretical mechanism and empirical evidence","authors":"Xuan Liu ,&nbsp;Haiyong Liu ,&nbsp;Zongwu Cai","doi":"10.1016/j.jempfin.2024.101535","DOIUrl":"10.1016/j.jempfin.2024.101535","url":null,"abstract":"<div><p>This paper explores the issue of understanding time-varying relative risk aversion with household-level data on two classical portfolio choice problems. First, we derive an analytic form solution to a parsimonious portfolio choice model with the preference given by Greenwood, Hercowitz and Huffman (1988, GHH), and then, the solution identifies four partial equilibrium effects in our model with the GHH preference on risky shares through two channels and two net effects whose signs hinge on the value of a key structural parameter. Based on household-level data, our empirical results from both mean and quantile regression models show clearly that wealth negatively affects risky shares and the estimated effects are statistically significant and robust, which is in line with the theory. Finally, we show that the GHH preference alone is not sufficient in explaining how risky shares respond to labor income in the household-level data.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101535"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142096598","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
Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA 错误定价与异常现象：来自 JGTRRA 的卖空外生冲击
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-01 DOI: 10.1016/j.jempfin.2024.101537
Yufeng Han , Yueliang (Jacques) Lu , Weike Xu , Guofu Zhou
{"title":"Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA","authors":"Yufeng Han ,&nbsp;Yueliang (Jacques) Lu ,&nbsp;Weike Xu ,&nbsp;Guofu Zhou","doi":"10.1016/j.jempfin.2024.101537","DOIUrl":"10.1016/j.jempfin.2024.101537","url":null,"abstract":"<div><p>We investigate the causal impact of short-sale constraints on market anomalies by analyzing a comprehensive set of 182 anomalies. Our approach leverages a persistent, robust, and plausibly exogenous shock to short-selling supply caused by the dividend tax law change in the Job and Growth Tax Relief Reconciliation Act (JGTRRA) of 2003. Our findings reveal that anomalies decline after JGTRRA. However, this tax law change impedes arbitrageurs’ ability to correct mispricing, resulting in anomalies decaying less following dividend record months compared to other months post-JGTRRA. Furthermore, this effect is concentrated on overpriced stocks as opposed to underpriced stocks. Interestingly, while this shock significantly affects most types of anomalies, valuation anomalies remain unaffected.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101537"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142097431","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 risk–return tradeoff among equity factors 股票因素之间的风险收益权衡
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-09-01 DOI: 10.1016/j.jempfin.2024.101518
Pedro Barroso , Paulo Maio
{"title":"The risk–return tradeoff among equity factors","authors":"Pedro Barroso ,&nbsp;Paulo Maio","doi":"10.1016/j.jempfin.2024.101518","DOIUrl":"10.1016/j.jempfin.2024.101518","url":null,"abstract":"<div><p>We examine the time-series risk–return tradeoff among equity factors. We obtain a positive tradeoff for profitability and investment factors, which is consistent with the APT. Such relationship subsists when we control by the covariance with the market factor, which represents consistency with Merton’s ICAPM. Critically, we obtain an insignificant risk–return relationship for the market and other factors. The tradeoff is weaker among international equity markets. The out-of-sample forecasting power tends to be economically significant for the investment and profitability factors. Our results suggest that the risk–return tradeoff is stronger within segments of the stock market than for the whole.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101518"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142096599","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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