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Enhancing betting against beta with stochastic dominance 利用随机优势加强对贝塔值的投注
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-09 DOI: 10.1016/j.jempfin.2023.101465
Olga Kolokolova , Xia Xu
{"title":"Enhancing betting against beta with stochastic dominance","authors":"Olga Kolokolova ,&nbsp;Xia Xu","doi":"10.1016/j.jempfin.2023.101465","DOIUrl":"10.1016/j.jempfin.2023.101465","url":null,"abstract":"<div><p>The performance of the widely used betting-against-beta (BAB) investment strategy is improved by controlling for the stochastic dominance (SD) relation between individual stocks and the market portfolio. Dominating stocks, preferred by all risk-averse and prudent investors, are excluded from the short leg of the BAB strategy. Stocks that are dominated by the market are excluded from the long leg of the strategy. This prefiltering significantly enhances a wide range of performance and risk measures including abnormal returns relative to various factor models. The improvements are especially pronounced for the third-order SD, are robust to transaction costs and different market conditions.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"76 ","pages":"Article 101465"},"PeriodicalIF":2.6,"publicationDate":"2024-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823001329/pdfft?md5=30beaa5c874f69809ae3e523ceabf06e&pid=1-s2.0-S0927539823001329-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139414991","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
Carbon dioxide and asset pricing: Evidence from international stock markets 二氧化碳与资产定价：国际股票市场的证据
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-01 DOI: 10.1016/j.jempfin.2023.101461
Zhuo Chen , Jinyu Liu , Andrea Lu , Libin Tao
{"title":"Carbon dioxide and asset pricing: Evidence from international stock markets","authors":"Zhuo Chen ,&nbsp;Jinyu Liu ,&nbsp;Andrea Lu ,&nbsp;Libin Tao","doi":"10.1016/j.jempfin.2023.101461","DOIUrl":"10.1016/j.jempfin.2023.101461","url":null,"abstract":"<div><p>We use carbon dioxide (CO<span><math><msub><mrow></mrow><mrow><mtext>2</mtext></mrow></msub></math></span><span>) emissions growth to measure consumption risk within a consumption-based capital asset pricing model framework. Given the comprehensive worldwide coverage of CO</span><span><math><msub><mrow></mrow><mrow><mtext>2</mtext></mrow></msub></math></span> emissions, this measure allows us to use the full history of stock market data in the US, Europe, the world, and fifteen international markets. For the US (Europe/the world), we are able to explain the observed equity market premium with a relative risk aversion of 6 (10/12), which is less than half the size of that estimated using the canonical expenditures-based consumption growth measure. The average estimated relative risk aversion across fifteen other international markets is 5. We also find evidence that the growth of CO<span><math><msub><mrow></mrow><mrow><mtext>2</mtext></mrow></msub></math></span> emissions is a priced risk factor that captures the cross section of stock portfolio returns.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101461"},"PeriodicalIF":2.6,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139070410","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
Horizontal mergers and heterogeneous firm investments: evidence from the United States 横向兼并与异质企业投资：来自美国的证据
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-01 DOI: 10.1016/j.jempfin.2023.101464
Dongxu Li
{"title":"Horizontal mergers and heterogeneous firm investments: evidence from the United States","authors":"Dongxu Li","doi":"10.1016/j.jempfin.2023.101464","DOIUrl":"10.1016/j.jempfin.2023.101464","url":null,"abstract":"<div><p>I find <em>on average</em> firms respond to a horizontal merger by investing less in PP&amp;E, labor, and R&amp;D. There is notable heterogeneity among the non-merging rivals. The laggard rivals reduce investments in PP&amp;E, labor, and R&amp;D while the neck-and-neck rivals do the opposite. There is an insignificant change for the leader rivals. These results support Aghion et al. (2005) on the inverted-U relationship between competition and innovation. Also, I show evidence that financial constraints and innovativeness are two factors that drive rivals’ heterogeneous responses. This empirical study sheds light upon the pattern in which horizontal mergers shape industry evolvement.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101464"},"PeriodicalIF":2.6,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139070159","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 effects of banking market structure on corporate cash holdings and the value of cash 银行业市场结构对企业现金持有量和现金价值的影响
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-01 DOI: 10.1016/j.jempfin.2023.101460
Shengfeng Li , Liang Han , Biao Mi
{"title":"The effects of banking market structure on corporate cash holdings and the value of cash","authors":"Shengfeng Li ,&nbsp;Liang Han ,&nbsp;Biao Mi","doi":"10.1016/j.jempfin.2023.101460","DOIUrl":"10.1016/j.jempfin.2023.101460","url":null,"abstract":"<div><p>We investigate the impact of the local banking market structure on the level of corporate cash holdings and the value of cash. We find that, in more concentrated banking markets, firms increase their cash holdings by issuing more equity. The marginal value of $1 cash increases by 10 cents with a one-standard-deviation increase in bank concentration. The positive relationship between bank concentration and value of cash is robust to a rich set of tests such as for firms having access to bond markets or firms using syndicated loans and is more prominent for more financially constrained firms. We also explore the mechanism, and our results suggest that in more concentrated banking markets firms demand more cash to shield against default risk.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101460"},"PeriodicalIF":2.6,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823001275/pdfft?md5=fe3d182024698ade6512e7adbf1be39d&pid=1-s2.0-S0927539823001275-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139052531","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
An adaptive long memory conditional correlation model 自适应长记忆条件相关模型
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-01 DOI: 10.1016/j.jempfin.2023.101463
Jonathan Dark
{"title":"An adaptive long memory conditional correlation model","authors":"Jonathan Dark","doi":"10.1016/j.jempfin.2023.101463","DOIUrl":"10.1016/j.jempfin.2023.101463","url":null,"abstract":"<div><p>We propose a conditional correlation model with long memory dependence and smooth structural change. Previous literature has considered correlation and covariance models with structural change <em>or</em> long memory, but this is the first paper to jointly model both features. The correlation matrix is decomposed into long and short run components. Short run correlations converge hypergeometrically towards a slow moving long run correlation matrix that evolves according to one or more flexible Fourier forms. The model is applied to two data sets: a US equity portfolio; and a US equity, bond, gold and oil portfolio. Model fit and out of sample forecasts over 1 to 60 day horizons support the proposed approach.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101463"},"PeriodicalIF":2.6,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823001305/pdfft?md5=23b4edaf3cb7eaeab9bf7516fb0c3cf0&pid=1-s2.0-S0927539823001305-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139069620","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
House price bubbles under the COVID-19 pandemic COVID-19 大流行下的房价泡沫
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2024-01-01 DOI: 10.1016/j.jempfin.2023.101462
Jacob H. Hansen , Stig V. Møller , Thomas Q. Pedersen , Christian M. Schütte
{"title":"House price bubbles under the COVID-19 pandemic","authors":"Jacob H. Hansen ,&nbsp;Stig V. Møller ,&nbsp;Thomas Q. Pedersen ,&nbsp;Christian M. Schütte","doi":"10.1016/j.jempfin.2023.101462","DOIUrl":"10.1016/j.jempfin.2023.101462","url":null,"abstract":"<div><p>We analyze bubble formations in house prices under the COVID-19 pandemic in 382 metropolitan areas in the U.S. with a special attention to the role of population density. We use a robust sieve-bootstrap version of the right-tailed unit root test procedure to identify periods of explosiveness in price–rent ratios across metro areas when controlling for fundamentals such as mortgage debt financing costs and the wealth of households. The bubble tests reveal evidence of explosive house prices during the COVID-19 pandemic but with important cross-area differences. In contrast to earlier bubble episodes, we find that the frequency and size of bubble formations under the pandemic have been stronger in low-density metro areas compared to high-density metro areas.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101462"},"PeriodicalIF":2.6,"publicationDate":"2024-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823001299/pdfft?md5=7d48fa629423bf6bc66d0a8144edc0bd&pid=1-s2.0-S0927539823001299-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139373258","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
International asset pricing with heterogeneous agents: Estimation and inference 异质代理的国际资产定价：估计与推论
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-12-15 DOI: 10.1016/j.jempfin.2023.101459
Roméo Tédongap , Jules Tinang
{"title":"International asset pricing with heterogeneous agents: Estimation and inference","authors":"Roméo Tédongap ,&nbsp;Jules Tinang","doi":"10.1016/j.jempfin.2023.101459","DOIUrl":"10.1016/j.jempfin.2023.101459","url":null,"abstract":"<div><p>This paper empirically validates (Constantinides and Ghosh’s, 2017) heterogeneous-agents consumption-based asset pricing model for predicting expected returns in international equity markets. Using the model’s implications, we proxy the unobservable state variable driving income shocks with the principal component of consumption growth cumulants across agents. We confirm that both the level and changes in this cross-sectional consumption risk serve as pricing factors, emphasizing the importance of higher moments like skewness. The estimated structural parameters obtained from the Euler equations are statistically significant and plausible, while the factor risk premium estimates align with theoretical expectations. Our approach effectively explains the emerging versus developed premium, outperforming traditional methods reliant on cross-sectional variance. Our findings, robust across different model specifications and asset menus, highlight the imprecision of consumption-based factor risk premia estimates when limited to developed markets, a limitation mitigated by including emerging markets. The model demonstrates a 60% explanatory power, surpassing the global Fama–French model.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101459"},"PeriodicalIF":2.6,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138680131","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
Factor momentum in the Chinese stock market 中国股市的因素动量
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-12-07 DOI: 10.1016/j.jempfin.2023.101458
Tian Ma , Cunfei Liao , Fuwei Jiang
{"title":"Factor momentum in the Chinese stock market","authors":"Tian Ma ,&nbsp;Cunfei Liao ,&nbsp;Fuwei Jiang","doi":"10.1016/j.jempfin.2023.101458","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101458","url":null,"abstract":"<div><p>Based on 10 commonly used factors, we construct a novel factor momentum strategy in the Chinese stock market, which earns an annualized return of 9.91 %, with a Sharpe ratio of 1.15. Factor momentum subsumes stock momentum, high-priced momentum, and industry momentum, digests its component factors and a variety of anomalies, and represents the momentum anomaly in China. Furthermore, mispricing correction helps explain factor momentum, which produces stronger returns during higher aggregate idiosyncratic volatility periods as well as among stocks with higher information asymmetry and short-sale constraints. Exposure to factor premiums and the manifestation of predictability determine factor momentum in China.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101458"},"PeriodicalIF":2.6,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138564291","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
Tail risks and private equity performance 尾部风险与私募股权投资业绩
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-12-01 DOI: 10.1016/j.jempfin.2023.101457
Hrvoje Kurtović, Garen Markarian
{"title":"Tail risks and private equity performance","authors":"Hrvoje Kurtović,&nbsp;Garen Markarian","doi":"10.1016/j.jempfin.2023.101457","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101457","url":null,"abstract":"<div><p>We examine the drivers of private equity in response to the fully exogenous Covid-19 shock, employing listed private equity as a proxy for traditional non-listed private equity. This approach enables us to reliably measure firm characteristics and performance in real-time. Listed private equity firms, on average, underperformed significantly during the crisis, with a performance drop ranging from 9.2 % to 43.6 %, depending on the model used. However, there is substantial cross-sectional variation driven by unique firm-level attributes including access to capital, liquidity, transparency, and ownership structure. Listed private equity with better access to capital and higher transparency shows resilience during the crisis, while higher illiquidity and opacity exacerbate the negative effects. This study offers early evidence on Covid-19′s impact on private equity firms, highlighting value drivers and performance dynamics of this alternative asset class during a period of extreme tail risk.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101457"},"PeriodicalIF":2.6,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S092753982300124X/pdfft?md5=f859787ad113c2b6d80bf7a2dcd8f889&pid=1-s2.0-S092753982300124X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138490887","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
Introducing article numbering to Journal of Empirical Finance 《实证金融杂志》文章编号介绍
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-11-28 DOI: 10.1016/S0927-5398(23)00117-2
Lianne van der Zant
{"title":"Introducing article numbering to Journal of Empirical Finance","authors":"Lianne van der Zant","doi":"10.1016/S0927-5398(23)00117-2","DOIUrl":"https://doi.org/10.1016/S0927-5398(23)00117-2","url":null,"abstract":"","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101450"},"PeriodicalIF":2.6,"publicationDate":"2023-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823001172/pdfft?md5=f1cc3232d9f23c99ff4702cd371050f6&pid=1-s2.0-S0927539823001172-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138453906","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
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