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Is machine learning a necessity? A regression-based approach for stock return prediction 机器学习是必要的吗？基于回归的股票收益预测方法
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 Epub Date: 2025-02-25 DOI: 10.1016/j.jempfin.2025.101598
Tingting Cheng , Shan Jiang , Albert Bo Zhao , Junyi Zhao
{"title":"Is machine learning a necessity? A regression-based approach for stock return prediction","authors":"Tingting Cheng ,&nbsp;Shan Jiang ,&nbsp;Albert Bo Zhao ,&nbsp;Junyi Zhao","doi":"10.1016/j.jempfin.2025.101598","DOIUrl":"10.1016/j.jempfin.2025.101598","url":null,"abstract":"<div><div>We propose a simple, linear-regression-based method for prediction of the time series of stock returns. The method achieves out-of-sample performances comparable to machine learning methods while having ignorable computational costs. The key component of the method is to integrate a straightforward cross-market factor screening into the iterated combination method proposed by Lin et al., (2018). Our empirical results on the U.S. stock market show that the method outperforms many state-of-the-art machine learning methods in certain periods. The method also exhibits greater utility gain and investment profits in most periods after considering transaction costs.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101598"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143519723","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
Skilled active liquidity management: Evidence from shocks to fund flows 熟练的主动流动性管理：来自资金流动冲击的证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 Epub Date: 2025-02-07 DOI: 10.1016/j.jempfin.2025.101579
Aleksandra Rzeźnik
{"title":"Skilled active liquidity management: Evidence from shocks to fund flows","authors":"Aleksandra Rzeźnik","doi":"10.1016/j.jempfin.2025.101579","DOIUrl":"10.1016/j.jempfin.2025.101579","url":null,"abstract":"<div><div>I examine the active liquidity management of U.S. equity mutual funds facing unexpected, persistent investor withdrawals by exploiting two independent shocks: the 2003 mutual fund scandal and the 2016 introduction of Morningstar Sustainability Ratings. I document that fund managers increase portfolio liquidity by adjusting both equity and cash holdings when subject to sudden, moderate, and prolonged outflows. Among affected funds, those that more aggressively increase portfolio liquidity significantly outperform their less liquidity-focused peers, suggesting that skilled managers employ active liquidity management to minimize costs imposed by redemption obligations.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101579"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386462","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
Corrigendum to “Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects” [Journal of Empirical Finance 80 (2025) 124/101575] “使用指示结构性断裂和不对称风险效应的预测因子预测已实现贝塔”的更正[实证金融杂志]80 (2025)124/101575]
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 Epub Date: 2025-02-26 DOI: 10.1016/j.jempfin.2025.101597
Jiawen Luo , Zhenbiao Chen , Mingmian Cheng
{"title":"Corrigendum to “Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects” [Journal of Empirical Finance 80 (2025) 124/101575]","authors":"Jiawen Luo ,&nbsp;Zhenbiao Chen ,&nbsp;Mingmian Cheng","doi":"10.1016/j.jempfin.2025.101597","DOIUrl":"10.1016/j.jempfin.2025.101597","url":null,"abstract":"","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101597"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143580644","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
Unveiling the villain: Credit supply and the debt trap 揭露恶棍：信贷供应和债务陷阱
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 Epub Date: 2025-01-31 DOI: 10.1016/j.jempfin.2025.101592
Shun Fu , Emma Li , Li Liao , Zhengwei Wang , Hongyu Xiang
{"title":"Unveiling the villain: Credit supply and the debt trap","authors":"Shun Fu ,&nbsp;Emma Li ,&nbsp;Li Liao ,&nbsp;Zhengwei Wang ,&nbsp;Hongyu Xiang","doi":"10.1016/j.jempfin.2025.101592","DOIUrl":"10.1016/j.jempfin.2025.101592","url":null,"abstract":"<div><div>Based on unique data containing the loan history and online consumption information of cash loan borrowers, we apply an exogenous credit supply shock to these borrowers and show that increased credit increases individuals' delinquency rates and reliance on cash loans. Higher credit supply increases the likelihood of a loan being overdue over 60 days by 5.7% and decreases platform exit by 33%. This effect on delinquency is significantly less prominent among individuals with greater financial literacy. Second, we demonstrate that credit expansion is positively associated with an increase in subsequent borrower consumption, particularly addictive consumption.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101592"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143231742","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
Do fees matter? Investor’s sensitivity to active management fees 收费重要吗？投资者对主动管理费的敏感度
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 Epub Date: 2025-02-13 DOI: 10.1016/j.jempfin.2025.101596
Trond Døskeland, André Wattø Sjuve, Andreas Ørpetveit
{"title":"Do fees matter? Investor’s sensitivity to active management fees","authors":"Trond Døskeland,&nbsp;André Wattø Sjuve,&nbsp;Andreas Ørpetveit","doi":"10.1016/j.jempfin.2025.101596","DOIUrl":"10.1016/j.jempfin.2025.101596","url":null,"abstract":"<div><div>Following the framework established by Berk and Green (2004), mutual fund inflows and fees should be uncorrelated at equilibrium. We empirically explore this relationship by investigating the temporal changes in fund fees and flows. Our fee metrics focus on active management services rather than diversification. We analyze the additional fee compared to passive alternatives and additional fee per unit of active management, along with the traditionally used total fee. Our analysis of global data reveals a negative time series correlation between both measures of active management fee and fund flows.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101596"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143429701","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
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 : 2025-03-01 Epub 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":"2025-03-01","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
Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies 用外生预测因子预测多元波动：在产业多元化策略中的应用
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 Epub Date: 2025-02-01 DOI: 10.1016/j.jempfin.2025.101595
Jiawen Luo , Oguzhan Cepni , Riza Demirer , Rangan Gupta
{"title":"Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies","authors":"Jiawen Luo ,&nbsp;Oguzhan Cepni ,&nbsp;Riza Demirer ,&nbsp;Rangan Gupta","doi":"10.1016/j.jempfin.2025.101595","DOIUrl":"10.1016/j.jempfin.2025.101595","url":null,"abstract":"<div><div>We propose a procedure to forecast the realized covariance matrix for a given set of assets within a multivariate heterogeneous autoregressive (MHAR) framework. Utilizing high-frequency data for the U.S. aggregate and industry indexes and a large set of exogenous predictors that include financial, macroeconomic, sentiment, and climate-based factors, we evaluate the out-of-sample performance of industry portfolios constructed from forecasted realized covariance matrices across various univariate and multivariate forecasting models. Our findings show that LASSO-based multivariate HAR models employing predictors that capture climate uncertainty generally yield more consistent evidence regarding the accuracy of the realized covariance forecasts, providing further support for the growing evidence that climate related factors significantly drive return and volatility dynamics in financial markets. While international summits and global warming stand out as the dominant climate predictors for realized volatility forecasts, both climate and macroeconomic predictors prove equally important for longer term correlation forecasts. In these forecasts, the U.S. EPU index and natural disasters, along with U.S. climate policy uncertainty, play dominant predictive roles. Our results suggest that the MHAR framework, coupled with DRD decomposition that splits the covariance matrix into a diagonal matrix of realized variances and realized correlations, can be utilized in a high-frequency setting to implement diversification and smart beta strategies for various investment horizons.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101595"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143157559","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
Smart beta, “smarter” flows Smart beta，“更聪明”的流动
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 Epub Date: 2025-01-27 DOI: 10.1016/j.jempfin.2025.101580
Jie Cao , Jason C. Hsu , Linjia Song , Zhanbing Xiao , Xintong Zhan
{"title":"Smart beta, “smarter” flows","authors":"Jie Cao ,&nbsp;Jason C. Hsu ,&nbsp;Linjia Song ,&nbsp;Zhanbing Xiao ,&nbsp;Xintong Zhan","doi":"10.1016/j.jempfin.2025.101580","DOIUrl":"10.1016/j.jempfin.2025.101580","url":null,"abstract":"<div><div>We document that when smart beta ETFs are more actively traded, mutual fund flow sensitivity to multi-factor alphas increases significantly. This evidence is consistent with a friction hypothesis that active smart beta ETF trading reduces the costs of investing in non-market risk factors (e.g., SMB and HML). Consequently, when this friction is diminished, investors reward mutual fund managers more for multi-factor alphas. We show that the results are driven by sophisticated investors, ruling out behavioral explanations. The results are concentrated among mutual funds with high exposures to non-market risk factors. We further find that the gap between CAPM alpha and multi-factor alphas in explaining flows reduces when smart beta ETFs are actively traded.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101580"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143157557","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 risk dynamics of banks with score-driven extreme value models 基于分数驱动极值模型的银行尾部风险动态
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 Epub Date: 2025-02-07 DOI: 10.1016/j.jempfin.2025.101593
Fernanda Fuentes , Rodrigo Herrera , Adam Clements
{"title":"Tail risk dynamics of banks with score-driven extreme value models","authors":"Fernanda Fuentes ,&nbsp;Rodrigo Herrera ,&nbsp;Adam Clements","doi":"10.1016/j.jempfin.2025.101593","DOIUrl":"10.1016/j.jempfin.2025.101593","url":null,"abstract":"<div><div>This paper proposes a new class of marked point process models to capture the clustering behavior in extreme financial events. The idea of multiple dynamic parameters embedded in the context of score driven models is utilized to estimate a dynamic extreme value approach, labeled as the Orthogonal Score-Driven Peaks Over Threshold model. A Monte-Carlo study is conducted to study different time-varying parameter specifications. The results show that this approach can capture a range of different dynamics for the parameters. In an empirical application, we study the dynamics of the tail distribution over time, and in particular on VaR and ES forecasts, for the constituents of the S&amp;P Banks Index. Finally, we study the behavior of extremely adverse returns in the financial system by means of a decomposition of the tail-<span><math><mi>β</mi></math></span> risk measure, giving a deeper understanding of both the dynamics of the risk of an individual bank, and the systemic linkages associated with the stability of the global financial system.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101593"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143372713","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
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 : 2025-03-01 Epub 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":"2025-03-01","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
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