Journal of Applied Finance & Banking最新文献

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Speed for Safety: The Establishment of Bankruptcy Courts and Bank Credit Risk in China 安全的速度:破产法院的设立与中国银行信用风险
Journal of Applied Finance & Banking Pub Date : 2023-07-14 DOI: 10.47260/jafb/1362
Yue Zhang
{"title":"Speed for Safety: The Establishment of Bankruptcy Courts and Bank Credit Risk in China","authors":"Yue Zhang","doi":"10.47260/jafb/1362","DOIUrl":"https://doi.org/10.47260/jafb/1362","url":null,"abstract":"Abstract\u0000\u0000We investigate the effect of bankruptcy court establishment on the credit risk of municipal commercial banks in China from 2013 to 2020. Establishing bankruptcy courts reduces the non-performing loan ratio of municipal commercial banks. The effect is more pronounced in cities with low fiscal transparency and market fragmentation, and a strong rule of law. Furthermore, we argue that the bank’s loan provision and provision coverage ratio is the crucial intermediate variable in the relationship between bankruptcy court establishment and credit risk management. Our findings demonstrate the critical role of judicial system reform in promoting financial stability in China.\u0000\u0000JEL classification numbers: G21, G32, G33.\u0000Keywords: Bankruptcy court, Credit risk, Judicial reform.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130401124","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Impact of Corporate Political Connections on Analyst Forecast Quality 企业政治关系对分析师预测质量的影响
Journal of Applied Finance & Banking Pub Date : 2023-07-13 DOI: 10.47260/jafb/1361
Tzu-Ching Weng, Kai-Jui Hsu, Yihong He
{"title":"The Impact of Corporate Political Connections on Analyst Forecast Quality","authors":"Tzu-Ching Weng, Kai-Jui Hsu, Yihong He","doi":"10.47260/jafb/1361","DOIUrl":"https://doi.org/10.47260/jafb/1361","url":null,"abstract":"Abstract\u0000\u0000The purpose of this study is to investigate whether the companies have significant impact of political connections on analyst forecasts quality. Refer to the literature on relevant analyst information in the past, especially distinguish the information obtained by analysts into public information and private information, and check whether it will affect the quality of analysts’ forecast information. Our empirical results show that there is a significant negative correlation between companies with political ties and the accuracy of analysts' public information. It indicates that when companies have political connections, companies are only willing to disclose information to specific stakeholders, resulting in information asymmetry. Meanwhile, the accuracy of public information obtained by analysts is relatively low, while the accuracy of private information is relatively high for the companies with political connections.\u0000\u0000JEL classification numbers: G30, M41.\u0000Keywords: Political Connections, Analyst Forecast Quality.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115434523","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Accounting vs. Politics: Effects of China-US Audit Cooperation on China Concept Stocks 会计与政治:中美审计合作对中国概念股的影响
Journal of Applied Finance & Banking Pub Date : 2023-06-19 DOI: 10.47260/jafb/1356
Shijie Wang
{"title":"Accounting vs. Politics: Effects of China-US Audit Cooperation on China Concept Stocks","authors":"Shijie Wang","doi":"10.47260/jafb/1356","DOIUrl":"https://doi.org/10.47260/jafb/1356","url":null,"abstract":"Abstract\u0000\u0000Since 1993, Chinese companies have entered the US capital market, becoming a crucial platform for their public listing and fundraising. However, inconsistent accounting policies between China and the US have resulted in the delisting of certain China Concepts Stocks (CCS) in the US. Nonetheless, the recent accounting review cooperation agreement between the China Securities Regulatory Commission and the US PCAOB has altered the future prospects of CCS in the US. This study aims to quantify the economic value of this bilateral collaboration using the Audit Supervision Cooperation Agreement, signed by China and the US on August 26, 2022, as a natural experiment. Our findings reveal that in the three months following the agreement, CCS with political connections and accounting issues related to the Chinese government exhibited returns of 4.63% and 1.13% respectively. We conducted robustness tests including parallel trend tests, experimental and control groups based on VIE architecture interference, and sub analysis samples and placebo tests. Additionally, trading volume and price volatility of politically affiliated companies also experienced positive effects. In conclusion, our study underscores the significant impact of the political friendship between China and the US on the economic development of both nations and the global economy.\u0000\u0000JEL classification numbers: F42, G14, G15.\u0000Keywords: Political connections, Chinese concept stock, Accounting collaboration.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123408254","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Measuring the Cost Efficiency of Lebanese Commercial Banks using the Stochastic Frontier Approach 用随机前沿法衡量黎巴嫩商业银行的成本效率
Journal of Applied Finance & Banking Pub Date : 2023-06-19 DOI: 10.47260/jafb/1355
Nasma A. Berro
{"title":"Measuring the Cost Efficiency of Lebanese Commercial Banks using the Stochastic Frontier Approach","authors":"Nasma A. Berro","doi":"10.47260/jafb/1355","DOIUrl":"https://doi.org/10.47260/jafb/1355","url":null,"abstract":"Abstract\u0000\u0000This paper attempts to measure the cost efficiency of 44 banks operating in Lebanon throughout the period 1992-2016, using the stochastic frontier technique. The additional purpose of this study is to detect the impact of some endogenous and exogenous factors on the cost efficiency scores calculated. The empirical results show a stabilization in the cost efficiency of Lebanese banks over the period studied and that on average those banks could reduce up to 12% of their allocated resources while maintaining the same level of their final outputs. We also found that cost efficiency among Lebanese banks is driven by 1) macroeconomic factors such as economic growth and inflation development and 2) by banks specific factors such as liquidity, capitalization, profitability and the diversification strategy.\u0000\u0000JEL classification numbers: C10, C67, D61, G20, G21.\u0000Keywords: Stochastic frontier, Parametric approach, Cost efficiency, Banks, Efficiency determinants.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130612166","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Corporate ESG Performance and Financing Constraints: Empirical Evidence from Chinese Listed Companies 企业ESG绩效与融资约束:来自中国上市公司的经验证据
Journal of Applied Finance & Banking Pub Date : 2023-06-16 DOI: 10.47260/jafb/1354
Xiaoyu Hou
{"title":"Corporate ESG Performance and Financing Constraints: Empirical Evidence from Chinese Listed Companies","authors":"Xiaoyu Hou","doi":"10.47260/jafb/1354","DOIUrl":"https://doi.org/10.47260/jafb/1354","url":null,"abstract":"Abstract\u0000\u0000In recent years, corporate ESG performance has received extensive attention from academic and practical circles around the world. This paper examines the impact of corporate ESG performance on financing constraints based on data from 2012-2019 Chinese A-share listed companies. The findings show that corporate ESG performance can mitigate corporate financing constraints. The results remain robust after using the new Environmental Protection Law, a quasi-natural experiment, with the difference-in-difference model to mitigate endogeneity. The mechanism test shows that ESG performance can mitigate corporate financing constraints by attracting more analyst attention to mitigate information asymmetry and obtaining more commercial credit. Heterogeneity analysis shows that corporate ESG performance has a more pronounced effect on alleviating financing constraints for non-state and high-tech firms.\u0000\u0000Keywords: ESG, Financing constraints, Analyst attention, Commercial credit.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125613057","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Development of a Transition Matrix Model of Credit Rating of Companies based onForecasted Macro Factors: the Case of Greece 基于预测宏观因素的企业信用评级过渡矩阵模型的建立——以希腊为例
Journal of Applied Finance & Banking Pub Date : 2023-06-12 DOI: 10.47260/jafb/1353
J. Leventides, Konstantinos Lefkaditis, Anna Donatou, E. Melas, C. Poulios
{"title":"Development of a Transition Matrix Model of Credit Rating of Companies based on\u0000Forecasted Macro Factors: the Case of Greece","authors":"J. Leventides, Konstantinos Lefkaditis, Anna Donatou, E. Melas, C. Poulios","doi":"10.47260/jafb/1353","DOIUrl":"https://doi.org/10.47260/jafb/1353","url":null,"abstract":"Abstract\u0000\u0000In this paper, we develop a model for the rating transition matrices for corporates. These matrices quantify the credit quality of the business sector and, hence, they are related to the financial stability and growth of the economy. The main objective is to estimate how a corporate portfolio behaves under various macroeconomic conditions and (to show the link between the quality of a corporate portfolio with macro variables) and to build a new transition matrix based on specific forecasted macroeconomic variables according to IFRS 9 requirements for the calculation of ECL. The model has been developed based on historical transition rates of credit risk assessments provided by ICAP SA and historical values of various macro factors provided by Hellenic Statistical Authority (ΕΛΣΤΑΤ).\u0000\u0000JEL classification numbers: G2, M1.\u0000Keywords: Rating transition matrices, Credit quality, Business sector, Macroeconomic factors.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132011541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do Female Fund Managers outperform their Male Counterparts? A Quantitative Analysis of UK Retail Funds 女性基金经理的表现优于男性基金经理吗?英国零售基金的定量分析
Journal of Applied Finance & Banking Pub Date : 2023-06-08 DOI: 10.47260/jafb/1352
Jacob H Schmidt, Bianca Hutton Chimes
{"title":"Do Female Fund Managers outperform their Male Counterparts? A Quantitative Analysis of UK Retail Funds","authors":"Jacob H Schmidt, Bianca Hutton Chimes","doi":"10.47260/jafb/1352","DOIUrl":"https://doi.org/10.47260/jafb/1352","url":null,"abstract":"Abstract\u0000\u0000Why are there so few women in finance and even fewer managing funds? There is a major discrepancy between the number of female and male fund managers worldwide. The aim of this paper is to ascertain if gender is a contributing factor to fund managers’ performance. This is examined through analysis of data from 2012-2022 attained from eight major IA sectors of funds (Asian, European, North American, UK All Companies and UK Income equity funds; Targeted Absolute Return, Sterling Corporate Bond and 40-85 Sector funds) which are available to UK retail investors. This paper aims to compare the performance of all funds in the data pool with funds that involve one or more female managers through a quantitative and qualitative analysis. There is no significant research on the performance of women fund managers for UK investors. The authors intend to fill this gap with this paper. We find that funds managed by women or mixed teams produce similar and sometimes better risk-adjusted returns than male-only managed funds but are few in numbers and find it difficult to raise significant amounts of assets. \u0000\u0000JEL classification numbers: D61, G11, G14, J16, M14.\u0000Keywords: Gender, Investment, Asset Management, Wealth, Diversity.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125881949","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Construction Portfolio Using Elton Gruber Model: COVID-19 使用Elton Gruber模型的建筑投资组合:COVID-19
Journal of Applied Finance & Banking Pub Date : 2023-05-26 DOI: 10.47260/jafb/1346
Adler Haymans Manurung, Nita Yudhaningsih Sinaga, Amran Manurung
{"title":"Construction Portfolio Using Elton Gruber Model: COVID-19","authors":"Adler Haymans Manurung, Nita Yudhaningsih Sinaga, Amran Manurung","doi":"10.47260/jafb/1346","DOIUrl":"https://doi.org/10.47260/jafb/1346","url":null,"abstract":"Abstract\u0000\u0000This research aims to examine construction of the portfolio and also to explore factor variable affected on portfolio return. Portfolio stock derived the Elton Gruber model and compared it with portfolio returns calculated using the Equal Weighted and market capitalization weighted. This research used stock that is member of the Sri-Kehati Business Index, and monthly data from January 2015 to June 2022. This research has finding that there are 6 stocks to become member of stocks portfolio using Elton Gruber Model. By using Coefficient of Variation (CV), the equal weighted has the good portfolio because it has lowest of variation. Using t-test, there are no significant differences for three portfolios. Market Shock, Exchange Rate, Interest Rate and COVID-19 significantly affect Portfolio Return of Elton Gruber Model. Equal Weighted and Market Capitalization Portfolio only affect by Market shock. Based on this research results, it has implication that Investors do not need Fund Manager to manage their portfolio if investor use equal weighted or market capitalization weighted mode.\u0000\u0000JEL classification numbers: B26, B41, C01, C13, C51, D53, E44.\u0000Keywords: Construction Portfolio, Return Portfolio, Market Capitalization, Equal Weighted, Oil Price, Exchange Rate and interest rate, COVID-19.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116334191","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Can Digital Inclusive Finance better serve the development of the real economy? 数字普惠金融能否更好地服务实体经济发展?
Journal of Applied Finance & Banking Pub Date : 2023-05-25 DOI: 10.47260/jafb/1345
Saisai Zhang, Jianbin Wei
{"title":"Can Digital Inclusive Finance better serve the development of the real economy?","authors":"Saisai Zhang, Jianbin Wei","doi":"10.47260/jafb/1345","DOIUrl":"https://doi.org/10.47260/jafb/1345","url":null,"abstract":"Abstract\u0000\u0000For a long time, the development of financial services for the real economy has faced many dilemmas. However, can the digitalization of finance based on the new generation of information and communication technology solve this dilemma? By combining the CGSS2017 data, the digital financial inclusion data (2011-2018) of Peking University and the 2017 provincial statistical yearbooks, we choose to reflect the development of financial digitization by \"whether or not to use WeChat payment/Alipay\", and conduct an empirical analysis of the overall and heterogeneity of the impact of financial digitization on entrepreneurial activities. The study finds: (1) digital finance can promote entrepreneurial choice and performance in general, but the differential impact on both shows opposite trends; (2) by testing the mechanism, we find that digital finance eases the information constraint faced by entrepreneurs and improves the regional market environment, but leads to a slight decrease in the maximum loan amount received by entrepreneurs. Further analysis of variance across contexts finds: (1) the marginal effects of digital finance on entrepreneurial choice and entrepreneurial performance are higher in both better institutional contexts than in worse institutional contexts; (2) in both cultural and economic contexts, the facilitation effect of digital finance on entrepreneurial choice is significantly higher in better contexts than in worse contexts, but the opposite effect of digital finance on entrepreneurial performance is found, i.e., the marginal effect is higher in the poorer context than in the better context. The study reveals the complexity and multidimensionality of the impact of digital finance on entrepreneurial activity, and the heterogeneity of entrepreneurial choice and performance, reflecting that digital finance is a \"double-edged sword\" that can create a \"digital divide\" while promoting entrepreneurial activity the problem. The analysis of different contexts suggests that building the institutional environment, creating a cultural climate and ensuring macroeconomic stability are key to digital finance for entrepreneurial activities.\u0000\u0000JEL classification numbers: C36, G10, F35, F37.\u0000Keywords: Digital finance, Entrepreneurial activity, Digital divide, Digital financialization, Entrepreneurial performance.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131397676","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory 累积前景理论下具有可持续态度的最优投资组合
Journal of Applied Finance & Banking Pub Date : 2023-05-22 DOI: 10.47260/jafb/1344
M. Kaucic, Filippo Piccotto, Gabriele Sbaiz, G. Valentinuz
{"title":"Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory","authors":"M. Kaucic, Filippo Piccotto, Gabriele Sbaiz, G. Valentinuz","doi":"10.47260/jafb/1344","DOIUrl":"https://doi.org/10.47260/jafb/1344","url":null,"abstract":"Abstract\u0000\u0000In the last five years, extreme events such as the COVID-19 pandemic and the Ukrainian crisis have highlighted the importance of corporate social responsibility and sustainable principles. Consequently, the investment process is changing toward more ethical choices. In this context, we extend the classical optimization framework under the cumulative prospect theory (CPT) in two directions. We first consider an agent who maximizes a financial CPT-value function preselecting the assets to be included in the portfolio based on their environmental, social, and governance (ESG) scores. Then, we develop a bi-objective model that optimizes financial and sustainable CPT-value functions at the same time. Numerical results obtained on an investable universe from the constituents of the STOXX Europe 600 show that introducing ESG information improves the portfolio’s financial performance.\u0000\u0000JEL classification numbers: C63, G11, G17.\u0000Keywords: Cumulative prospect theory, ESG scores, portfolio optimization, genetic algorithm, European stock exchange.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"681 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123822446","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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