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Journal of Empirical Finance最新文献

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The effect of investor attention on stock price crash risk 投资者关注如何影响股价崩盘风险
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-11-26 DOI: 10.1016/j.jempfin.2023.101456
Ting-Hsuan Chen, Kai-Sheng Chen
{"title":"The effect of investor attention on stock price crash risk","authors":"Ting-Hsuan Chen,&nbsp;Kai-Sheng Chen","doi":"10.1016/j.jempfin.2023.101456","DOIUrl":"10.1016/j.jempfin.2023.101456","url":null,"abstract":"<div><p>This study investigations the relationship between investor attention and stock price crash risk in different markets and different levels of natural-person ownership. Google's search volume is primarily employed as a proxy for investor attention. The empirical results show that the higher investor attention, the higher future crash risk, with this effect being more pronounced among firms listed on the over-the-counter market and firms with a high level of natural-person ownership. This study fills the gap in research on the factors affecting stock price crashes from the perspective of investor behavior.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101456"},"PeriodicalIF":2.6,"publicationDate":"2023-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138540232","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
Climate change concerns and mortgage lending 气候变化问题和抵押贷款
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-11-14 DOI: 10.1016/j.jempfin.2023.101445
Tinghua Duan , Frank Weikai Li
{"title":"Climate change concerns and mortgage lending","authors":"Tinghua Duan ,&nbsp;Frank Weikai Li","doi":"10.1016/j.jempfin.2023.101445","DOIUrl":"10.1016/j.jempfin.2023.101445","url":null,"abstract":"<div><p>We examine whether beliefs about climate change affect loan officers’ mortgage lending decisions. We show that abnormally high local temperature leads to elevated attention to and belief in climate change in a region. Loan officers approve fewer mortgage applications and originate lower amounts of loans in abnormally warm weather. This effect is stronger among counties heavily exposed to the risk of sea-level rise, during periods of heightened public attention to climate change, and for loans originated by small lenders. Additional tests suggest that the negative relation between temperature and approval rate is not fully explained by changes in local economic conditions and demand for mortgage credit, or deteriorating quality of loan applicants. By contrast, Fintech lenders partially fill the gap in demand left by traditional lenders when local temperature is abnormally high.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101445"},"PeriodicalIF":2.6,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135716441","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
Technological disparity and its impact on market quality 技术差距及其对市场质量的影响
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-11-10 DOI: 10.1016/j.jempfin.2023.101444
Kiseo Chung , Seoyoung Kim
{"title":"Technological disparity and its impact on market quality","authors":"Kiseo Chung ,&nbsp;Seoyoung Kim","doi":"10.1016/j.jempfin.2023.101444","DOIUrl":"10.1016/j.jempfin.2023.101444","url":null,"abstract":"<div><p>Technological investments made by speed-sensitive market participants are increasingly frequent and have thus been a focal point of recent research. We examine an important, but unexplored facet of this trend: the technological disparity between the fastest market participants and the exchange itself. Using a proprietary dataset of a high-frequency market maker's limit orders and order acknowledgments timestamped to the nanosecond, we explore the consistency and reliability of an exchange's ability to discern the correct sequence of orders when messages are submitted in rapid (sub-microsecond) succession. We find a high degree of variability in acknowledgement times, and the proportion of times in which the first order entered is also first to be acknowledged is surprisingly low when consecutive orders are placed at very high frequencies. Furthermore, we provide evidence of impaired market quality as a result. These issues remain pertinent even following substantial technological improvements made by the exchange, because of the ongoing technological disparity between the exchange and the fastest market participants, who continue to competitively invest in technological improvements.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101444"},"PeriodicalIF":2.6,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135566185","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
Corporate social responsibility and excess perks 企业社会责任和额外津贴
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-11-08 DOI: 10.1016/j.jempfin.2023.101443
Dan Xi , Yuze Wu , Xue Wang , Zhe Fu
{"title":"Corporate social responsibility and excess perks","authors":"Dan Xi ,&nbsp;Yuze Wu ,&nbsp;Xue Wang ,&nbsp;Zhe Fu","doi":"10.1016/j.jempfin.2023.101443","DOIUrl":"10.1016/j.jempfin.2023.101443","url":null,"abstract":"<div><p>This study examines the effect of mandatory corporate social responsibility (CSR) on firm excess perks by exploiting China's 2008 mandate requiring firms to disclose CSR activities with a difference-in-differences design. We find that firms mandated to report CSR experience a decrease in excess perks subsequent to the mandate. Our empirical results also reveal that the decrease in excessive perks is more pronounced for firms with worse information environments, suggesting that mandatory CSR disclosure significantly reduces executive excessive perks and restricts managers’ unethical behavior by improving the quality of the information environment for investors. Also, we investigate an alternative channel from a managerial human capital dimension and find that reputed CEOs are more likely to regulate their behavior when mandated to disclose more non-financial information. Finally, we find that the mandatory CSR disclosure seems to improve firms’ sensitivity of pay-for-performance but show no impact on excess total cash compensation, suggesting that the improved performance-driven incentives are mainly driven by the reduced excessive perks.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101443"},"PeriodicalIF":2.6,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135516524","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
Option gamma and stock returns 期权γ和股票收益
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-11-08 DOI: 10.1016/j.jempfin.2023.101442
Amar Soebhag
{"title":"Option gamma and stock returns","authors":"Amar Soebhag","doi":"10.1016/j.jempfin.2023.101442","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101442","url":null,"abstract":"<div><p>Stocks with high net gamma exposure systematically underperform stocks with low net gamma exposure. This effect is distinct from other well-known return predictors, and survives many robustness checks. We show that stocks with low net gamma exposure negatively predict future realized volatility, and argue that investors command a risk premium to hold low net gamma exposure stocks, which are riskier. Lastly, we show that the volatility predictability stems from a non-informational channel, and not from private information.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101442"},"PeriodicalIF":2.6,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927539823001093/pdfft?md5=2b497eaa12643692e3176f8490377fb1&pid=1-s2.0-S0927539823001093-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90017420","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 financial modeling approach to industry exchange-traded funds selection 行业交易所交易基金选择的金融建模方法
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-11-06 DOI: 10.1016/j.jempfin.2023.101441
Thomas Conlon , John Cotter , Illia Kovalenko , Thierry Post
{"title":"A financial modeling approach to industry exchange-traded funds selection","authors":"Thomas Conlon ,&nbsp;John Cotter ,&nbsp;Illia Kovalenko ,&nbsp;Thierry Post","doi":"10.1016/j.jempfin.2023.101441","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101441","url":null,"abstract":"<div><p>This study uses a comprehensive approach to optimize the portfolio allocation to equity sector Exchange Traded Funds. We combine data on the market prices of options written on the funds, the Heston stochastic volatility model, risk premium transformation, copulas, and optimization with stochastic dominance constraints. This comprehensive strategy provides significant performance out-of-sample gains relative to the passive and active alternative strategies, both before and after accounting for risk and transaction costs. Our findings point at market inefficiencies that can be exploited using sector funds, past public data, and blending multiple methods.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101441"},"PeriodicalIF":2.6,"publicationDate":"2023-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134655902","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
Expensive anomalies 昂贵的异常
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-11-03 DOI: 10.1016/j.jempfin.2023.101440
Deniz Anginer , Sugata Ray , H. Nejat Seyhun , Luqi Xu
{"title":"Expensive anomalies","authors":"Deniz Anginer ,&nbsp;Sugata Ray ,&nbsp;H. Nejat Seyhun ,&nbsp;Luqi Xu","doi":"10.1016/j.jempfin.2023.101440","DOIUrl":"10.1016/j.jempfin.2023.101440","url":null,"abstract":"<div><p>We show that thirteen well-known stock market anomalies have higher future abnormal returns when they exhibit a value orientation with respect to their historical levels. We find anomalies that exhibit a value orientation (cheap) outperform anomalies that exhibit a growth orientation (expensive) going forward by about 30 basis points (bps) per month. Furthermore, we find favorable anomalies based on combined value and momentum orientations outperform unfavorable anomalies by about 90 bps per month and exhibit more than double the Sharpe ratios. Alternatively, over 96 % of the dollar return for the 13 anomalies disappears when they have negative-momentum and expensive orientations.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"75 ","pages":"Article 101440"},"PeriodicalIF":2.6,"publicationDate":"2023-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135410473","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
Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments 黄金是对冲股市的工具还是避险工具?来自条件评论的证据
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-11-02 DOI: 10.1016/j.jempfin.2023.101439
Lei Ming , Ping Yang , Qianqiu Liu
{"title":"Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments","authors":"Lei Ming ,&nbsp;Ping Yang ,&nbsp;Qianqiu Liu","doi":"10.1016/j.jempfin.2023.101439","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101439","url":null,"abstract":"<div><p>In this study, we estimate the conditional correlation and coskewness between gold and stock returns using a bivariate regime-switching model. Motivated by Yang, Zhou, and Wang (2010), we define gold as a strong hedge if the average correlation is negative and the coskewness is positive in the sample. Gold is a strong safe haven if these hold under market turmoil. We empirically examine the property of gold in 24 countries for a sample period spanning over 40 years and find that gold acts as a strong hedge and safe haven in Brazil, India, Indonesia, Italy, Mexico, Russia, South Korea, and Turkey. The interplay between cultural characteristics and the state of financial markets collectively defines gold's role in various countries. We construct a conditional comoment-based dynamic trading strategy and add gold to the stock portfolio when it can serve as a hedge or safe haven. Its out-of-sample performance dominates the buy-and-hold and correlation-based strategies, especially when we consider the safe haven property of gold.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101439"},"PeriodicalIF":2.6,"publicationDate":"2023-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134656044","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
What drives the TIPS–Treasury bond mispricing? 是什么导致了tips -国库券的错误定价?
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-11-02 DOI: 10.1016/j.jempfin.2023.101438
Jungkyu Ahn , Yongkil Ahn
{"title":"What drives the TIPS–Treasury bond mispricing?","authors":"Jungkyu Ahn ,&nbsp;Yongkil Ahn","doi":"10.1016/j.jempfin.2023.101438","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101438","url":null,"abstract":"<div><p>Inflation-swapped Treasury Inflation-Protected Securities (TIPS) are usually undervalued compared to cash flow-matched Treasury bonds. From 2005 to 2022, TIPS discounts are persistent, averaging approximately 3.18 % of the face value, with a peak of 16.10 %. We elucidate the factors associated with this persistent mispricing and the extent of this association. The results from feature selection techniques and the variable importance-in-projection method reveal that marking-to-market concerns and intermediation frictions are key to understanding the underpricing of TIPS relative to comparable nominal Treasury securities. We conclude that when strategic concerns overwhelm fundamental analysis, asset prices could deviate from fundamental values over a prolonged period.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101438"},"PeriodicalIF":2.6,"publicationDate":"2023-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92024861","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 returns in global value chains: The role of upstreamness and downstreamness 全球价值链中的股票收益:上游和下游的作用
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2023-10-31 DOI: 10.1016/j.jempfin.2023.101437
Nicole Branger , René Marian Flacke , Paul Meyerhof , Steffen Windmüller
{"title":"Stock returns in global value chains: The role of upstreamness and downstreamness","authors":"Nicole Branger ,&nbsp;René Marian Flacke ,&nbsp;Paul Meyerhof ,&nbsp;Steffen Windmüller","doi":"10.1016/j.jempfin.2023.101437","DOIUrl":"https://doi.org/10.1016/j.jempfin.2023.101437","url":null,"abstract":"<div><p>We study how upstreamness and downstreamness affect stock returns in global value chains. Upstreamness and downstreamness, which are computed from world input–output tables, measure the average distance from final consumption and primary inputs. We find that downstreamness explains expected returns, whereas upstreamness does not. The downstreamness return premium reflects investors’ compensation for taking on supply-side risks that accumulate along global value chains, such as labor and competition risks. We show that investors perceive far downstream industries as riskier when their suppliers have high unionization rates or labor shares. In addition, far downstream industries operate in more competitive value chains and are characterized by elevated input and output price uncertainties, which makes them particularly risky.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"74 ","pages":"Article 101437"},"PeriodicalIF":2.6,"publicationDate":"2023-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92024860","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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