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Journal of Empirical Finance最新文献

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Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes 识别高频数据的潜在成分：纯扩散与跳跃扩散过程
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-03-01 Epub Date: 2025-02-06 DOI: 10.1016/j.jempfin.2025.101594
Rodrigo Hizmeri , Marwan Izzeldin , Giovanni Urga
{"title":"Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes","authors":"Rodrigo Hizmeri ,&nbsp;Marwan Izzeldin ,&nbsp;Giovanni Urga","doi":"10.1016/j.jempfin.2025.101594","DOIUrl":"10.1016/j.jempfin.2025.101594","url":null,"abstract":"<div><div>In this paper, we examine the finite sample properties of test statistics designed to identify distinct underlying components of high-frequency financial data, specifically the Brownian component and infinite vs. finite activity jumps. We conduct a comprehensive set of Monte Carlo simulations to evaluate the tests under various types of microstructure noise, price staleness, and different levels of jump activity. We apply these tests to a dataset comprising 100 individual S&amp;P 500 constituents from diverse business sectors and the SPY (S&amp;P 500 ETF) to empirically assess the relative magnitude of these components. Our findings strongly support the presence of both Brownian and jump components. Furthermore, we investigate the time-varying nature of rejection rates and we find that periods with more jumps days are usually associated with an increase in infinite jumps and a decrease in finite jumps. This suggests a dynamic interplay between jump components over time.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101594"},"PeriodicalIF":2.1,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143349424","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
Implied local volatility models 隐含局部波动率模型
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 Epub Date: 2024-11-19 DOI: 10.1016/j.jempfin.2024.101567
Chen Xu Li , Chenxu Li , Chun Li
{"title":"Implied local volatility models","authors":"Chen Xu Li ,&nbsp;Chenxu Li ,&nbsp;Chun Li","doi":"10.1016/j.jempfin.2024.101567","DOIUrl":"10.1016/j.jempfin.2024.101567","url":null,"abstract":"<div><div>This paper proposes data-driven “implied local volatility models” that are designed to fit the observed level, slope, convexity, and term-structure slope of implied volatility surface at any maturity and strike. The method of construction hinges on the Taylor structure of implied volatility under generic local volatility models and the formula of Dupire (1994). An empirical application to the S&amp;P 500 index options data validates the stable performance of our method in and out of sample and triggers several economic interpretations before, during, and in the aftermath of COVID-19 pandemic. The flexibility of our method is further consolidated by the case study on fitting (ultra) short-maturity implied volatilities and concave implied volatility curves.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101567"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142748012","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
Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects 预测使用表明结构性断裂和不对称风险效应的预测因子来实现贝塔
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 Epub Date: 2024-12-22 DOI: 10.1016/j.jempfin.2024.101575
Jiawen Luo , Zhenbiao Chen , Mingmian Cheng
{"title":"Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects","authors":"Jiawen Luo ,&nbsp;Zhenbiao Chen ,&nbsp;Mingmian Cheng","doi":"10.1016/j.jempfin.2024.101575","DOIUrl":"10.1016/j.jempfin.2024.101575","url":null,"abstract":"<div><div>This paper studies the importance of structural breaks and asymmetric risk effects for accurate forecasts of the realized beta. Specifically, structural breaks in the realized beta are detected by Iterated Cumulative Sum of Square (ICSS) algorithm and asymmetric risk effects are captured by decomposing the realized beta further into various components following Ang et al. (2006) and Bollerslev et al. (2021). We propose a set of Heterogeneous Autoregressive (HAR) model variants by incorporating these new predictors. To achieve model parsimony and to keep only the predictors with significant power, we employ Least Absolute Shrinkage and Selection Operator (LASSO) method for variable selection. Our proposed LASSO<img>HAR model with estimators of structural breaks and asymmetric risk effects is found to yield more accurate out-of-sample beta forecasts than a variety of alternative models in terms of both statistical and economic criteria. In particular, our model successfully achieves the long-memory feature of realized betas in a tractable and parsimonious way. These empirical findings are robust across different data sampling frequencies, different estimation windows, different sub-samples, different quantiles of the beta distribution and different industrial sectors.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101575"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167419","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
On the performance of volatility-managed equity factors — International and further evidence 波动率管理股票因子的表现--国际证据和进一步证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 Epub Date: 2024-11-17 DOI: 10.1016/j.jempfin.2024.101560
Patrick Schwarz
{"title":"On the performance of volatility-managed equity factors — International and further evidence","authors":"Patrick Schwarz","doi":"10.1016/j.jempfin.2024.101560","DOIUrl":"10.1016/j.jempfin.2024.101560","url":null,"abstract":"<div><div>I study the performance of nine (downside) volatility-managed equity factors before and after considering transaction costs in 45 international equity markets. My results suggest that volatility management is most promising for market, value, profitability, and especially momentum portfolios. The performance of volatility-managed market and value portfolios can be further enhanced by applying downside volatility as a scaling factor. Nevertheless, only the managed market and momentum strategies are partially robust to transaction cost suggesting that the persistence of abnormal returns can largely be explained by the associated transaction costs. Cross-country analysis suggests that the slow trading hypothesis is partially able to explain cross-country performance differences of volatility-managed value and momentum portfolios. Finally, performance decomposition analysis reveals additional suggestive evidence in support of the slow trading hypothesis.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101560"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142701138","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
What drives robo-advice? 是什么驱动了机器人的建议？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 Epub Date: 2024-12-10 DOI: 10.1016/j.jempfin.2024.101574
Bernd Scherer , Sebastian Lehner
{"title":"What drives robo-advice?","authors":"Bernd Scherer ,&nbsp;Sebastian Lehner","doi":"10.1016/j.jempfin.2024.101574","DOIUrl":"10.1016/j.jempfin.2024.101574","url":null,"abstract":"<div><div>The promise of robo-advisory firms is to provide low-cost access to diversified portfolios built according to academic literature on normative portfolio choice. We investigate the extent to which robo-advice aligns with normative advice. Using web-scraped portfolio recommendations for 151,200 investor types from a major US robo-advisor, we find that investment goals and time horizons significantly influence recommended equity allocations, while Merton-type hedging demands are largely ignored. Our results suggest that commercial robo-advisors prioritize simplicity and client perceptions over complex, normative models. By integrating data from the NFCS survey, we further explore how demographic factors influence the likelihood of using robo-advisory services. This study provides empirical evidence on how closely robo-advisory services align with normative portfolio theory, highlighting the practical compromises made in the pursuit of broad market appeal and user-friendly solutions.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101574"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167423","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
Market neutrality and beta crashes 市场中立和beta崩溃
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 Epub Date: 2024-12-28 DOI: 10.1016/j.jempfin.2024.101577
Xia Xu
{"title":"Market neutrality and beta crashes","authors":"Xia Xu","doi":"10.1016/j.jempfin.2024.101577","DOIUrl":"10.1016/j.jempfin.2024.101577","url":null,"abstract":"<div><div>Market neutrality is a key feature of <span><span>Frazzini and Pedersen (2014)</span></span>’s betting-against-beta (BAB) factor. However, we find that BAB fails to remain market neutral in practice, and the deviations from market neutrality often arrive in the shape of crashes. BAB resembles momentum in terms of option-like payoffs, exhibiting significant exposure to large market movements. Particularly, BAB effectuates negative market timing and negative volatility timing amid volatile markets, promoting BAB crashes. The concern of imperfect market neutrality is shared by a broad range of beta arbitrage strategies that are aimed at being market neutral. The strategy’s vulnerability to bull markets is not fundamentally explained by the liquidity and leverage rationale. Managing beta crashes significantly improves investment performance.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101577"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167422","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 neuroticism and corporate cash holdings: Evidence from CEOs’ tweets 首席执行官的神经质与公司现金持有量：来自首席执行官推文的证据
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 Epub Date: 2024-11-10 DOI: 10.1016/j.jempfin.2024.101566
Dien Giau Bui , Robin K. Chou , Chih-Yung Lin , Chien-Lin Lu
{"title":"CEO neuroticism and corporate cash holdings: Evidence from CEOs’ tweets","authors":"Dien Giau Bui ,&nbsp;Robin K. Chou ,&nbsp;Chih-Yung Lin ,&nbsp;Chien-Lin Lu","doi":"10.1016/j.jempfin.2024.101566","DOIUrl":"10.1016/j.jempfin.2024.101566","url":null,"abstract":"<div><div>We examine the effects of CEO neuroticism on corporate policies for cash holdings. After hand collecting tweets by CEOs to measure their neuroticism, we find that firms with relatively neurotic CEOs hold more cash than other firms. This positive effect is more pronounced when the firm has a higher precautionary motive to hold cash. The cash held by firms with neurotic CEOs leads to higher firm values and lower credit risks. Overall, neurotic CEOs maintain more conservative corporate policies on holding cash, resulting in a lower cost of financial distress and an improvement in the value of firms.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101566"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142701139","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
Geographical proximity, cultural familiarity and financial information production 地理邻近、文化熟悉和金融信息生产
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 Epub Date: 2024-12-27 DOI: 10.1016/j.jempfin.2024.101576
Han Hao , Chun Liu , Shunzhi Pang
{"title":"Geographical proximity, cultural familiarity and financial information production","authors":"Han Hao ,&nbsp;Chun Liu ,&nbsp;Shunzhi Pang","doi":"10.1016/j.jempfin.2024.101576","DOIUrl":"10.1016/j.jempfin.2024.101576","url":null,"abstract":"<div><div>This paper examines the distinct impacts of geography and culture on financial information production. Utilizing data from LinkedIn, we categorize Chinese-concept stock analysts into two groups: those working in China and those with a Chinese cultural background. We identify two sources of local advantages: geographical proximity, stemming from the information-access channel, and cultural familiarity, originating from the information-process channel. Additionally, our findings indicate that local advantages reduce stock return synchronicity, and investors can recognize revisions made by geographically proximate analysts.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101576"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167425","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
A revisit to bias-adjusted predictive regression 对偏差调整预测回归的重新审视
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2025-01-01 Epub Date: 2024-12-27 DOI: 10.1016/j.jempfin.2024.101578
Ke-Li Xu
{"title":"A revisit to bias-adjusted predictive regression","authors":"Ke-Li Xu","doi":"10.1016/j.jempfin.2024.101578","DOIUrl":"10.1016/j.jempfin.2024.101578","url":null,"abstract":"<div><div>We consider robust inference of predictive regression based on bias correction. We propose new variance estimators which can accommodate conditionally heteroskedastic and serially correlated errors, and predictors with unspecified dependence structure. We also present a previously overlooked robustness property of the existing variance estimator. Empirically we illustrate the methods with a classical application to stock return and dividend growth predictability.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101578"},"PeriodicalIF":2.1,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167420","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 shocks and stock market volatility over a century 一个世纪以来的技术冲击和股市波动
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-12-01 Epub Date: 2024-10-25 DOI: 10.1016/j.jempfin.2024.101561
Afees A. Salisu , Riza Demirer , Rangan Gupta
{"title":"Technological shocks and stock market volatility over a century","authors":"Afees A. Salisu ,&nbsp;Riza Demirer ,&nbsp;Rangan Gupta","doi":"10.1016/j.jempfin.2024.101561","DOIUrl":"10.1016/j.jempfin.2024.101561","url":null,"abstract":"<div><div>This paper provides a novel perspective on the innovation-stock market nexus by examining the predictive relationship between technological shocks and stock market volatility using data over a period of more than 140 years. Utilizing annual patent data for the U.S. and a large set of economies to create proxies for local and global technological shocks and a mixed-sampling data (MIDAS) framework, we present robust evidence that technological shocks capture significant predictive information regarding future realizations of stock market volatility, both in- and out-of-sample and at both the short and long forecast horizons. Further economic analysis shows that investment portfolios created by the volatility forecasts obtained from the forecasting models that incorporate technological shocks as predictors in volatility models experience significantly lower return volatility in the out-of-sample horizons, which in turn helps to improve the risk-return profile of those portfolios. Our findings present a novel take on the nexus between technological innovations and stock market dynamics and pave the way for several interesting avenues for future research regarding the role of technological innovations on asset pricing tests and portfolio models.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101561"},"PeriodicalIF":2.1,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142571895","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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